Time Series and Panel Data Econometrics

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Forecasting Economics and Financial Time Series: ARIMA vs. LSTM (2018, methodology): “ARIMA [Pesaran, 2015] is a generalized model of Autoregressive Moving Average (ARMA) that combines Autoregressive (AR) process and Moving Average (MA) processes and builds a composite model of the time series.”
Fair Weather or Foul? The Macroeconomic Effects of El Niño* (2015, background): “8An exception is Mohaddes and Pesaran (2015) which explicitly models the oil market as a dominant unit in the GVAR framework.”
Econometric analysis of production networks with dominant units (2020, background): “The production and price networks considered in this paper are static, but the proposed statistical framework can be extended to allow for dynamics, along similar lines as in Pesaran and Chudik (2014) who consider aggregation of large dynamic panels.”
A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model (2020, background): “For an extensive survey of the latest theoretical developments in GVARmodelling and the numerous empirical analyses, see Chudik and Pesaran (2016) and Chapter 33 of Pesaran (2015).”