Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

By M. Pesaran, Til Schuermann, Scott M. Weiner. 2004

1,352 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/84cb123d2d9b08f59fd125d82047c16bf5730775

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Citations in the corpus

Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns (2005, neutral): “The macroeconomic data are the same as those in Pe- saran, Schuermann, and Weiner (2004) and we refer the reader to that paper for details.”
General Diagnostic Tests for Cross Section Dependence in Panels (2020, neutral): “…extent of local dependence, and specifies the number of contiguous layers of neighbours that the ith cross 1For empirical applications where economic distance such as trade patterns are used in modelling of spatial correlations see Conley and Topa (2002) and Pesaran, Schuermann, and Weiner (2004).”
A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model (2020, methodology): “Threshold effects have been used in the literature primarily in the context of autoregressions pioneered by Tong (1990). These models are known as threshold autoregressions (TAR) and allow the parameters of the autoregressive model to switch between two or more values.”
Unit Roots and Cointegration in Panels (2005, methodology): “The global VAR (GVAR) approach of Pesaran et al. (2004) and Dees et al. (2005) implements this idea by replacing ft with the (weighted) cross section averages of zit.”
Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries (2016, positive): “2 The Empirical Analysis 2.1 The GVAR Model The analysis is based on a GVAR modeling framework as firstly developed in Pesaran et al. (2004) and extended in Dees et al. (2007).”
Self-reinforcing effects between housing prices and credit: an extended version (2013, neutral): “Alternatively, weak exogeneity can be tested along the lines of Johansen (1992), Harbo et al. (1998), Pesaran et al. (2004) and Dees et al. (2007), i.e. by including the two cointegrating vectors we document below in the marginal model for the turnover and then test their joint significance.”
Exponent of Cross-Sectional Dependence: Estimation and Inference (2016, neutral): “…Rebucci, and Xu (2012), and covers the period 1979Q2-2009Q4, which updates 19 the earlier GVAR (global vector autoregressive) data sets used in Pesaran, Schuermann, and Weiner (2004), and Dees, di Mauro, Pesaran, and Smith (2007).8 We provide both bias corrected estimates, α̃ and α̌, computed…”
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, background): “Additionally, several authors consider spatial or ‘economic distance’ formulations to allow for cross-sectional dependence, see e.g. Pesaran, Schuermann, and Weiner (2004).”