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M. Hashem Pesaran FBA Professor of Economics Fellow of Trinity College| Room: | 16 | | Tel: | +44-(0) 1223-335216 (Faculty Office)
+44-(0) 1223 338403 (Trinity Office) | | Email: | mhp1@cam.ac.uk | | Interests: | Econometric Analysis of Heterogeneous Panels with Unobserved Common Effects. Panel unit root tests. Analysis of Panel Vector Autoregressive Models(PVAR). Long-run Structural Macroeconometric Modelling. Global Vector Autoregressive Modelling (GVAR). Economic and Financial Forecasting in the Presence of Structural Breaks. Financial Econometrics - credit risk analysis and portfolio optimization. Econometric Analysis of Non-nested Models. Empirics of Growth. |
Research Projects, Grants, and End of Award Reports
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A Research Associate and a Principal Investigator of the Cambridge Growth
Project, Department of Applied Economics, 1982-86.
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ESRC grant for research on Disaggregation in Econometric Models (Department
of Applied Economics, Cambridge), 1988-1990.
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ESRC grant for research on Expectations Formation in Disaggregate Models.
Ref: R000 23 1813 (with K. Lee), 1989-1991. £46,890)
End of Award Report
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Research and travel grant from the Newton Trust, Trinity College, Cambridge,
1989-1991.
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Grants from the Academic Senate and the Near Eastern Center of UCLA for
research on the Iranian economy.
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Research grants from the Newton Trust, Trinity College. 1991-1993. (£52,000)
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Research grants from the Newton Trust, Trinity College. 1992-1994. (£84,000)
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ESRC grant for research on Modelling Exchange Rates in Target Zones (with
Hossein Samiei). Ref: R00023 3427. 1992-1994. (£54,000). ESRC grading:
Outstanding.
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ESRC grant for research on An Empirical Analysis of Business Cycle Fluctuations
in the Context of a Multisectoral Model (with Kevin Lee). Ref: R00023 3608.
1992-1994. (£120,000). ESRC grading: Outstanding.
End of Award Report
Non-technical Summary
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ESRC grant for research on Integration of Micro and Macro Analysis in Data
Fields. (Within the ESRC initiative for the Analysis of Large and Complex
Datasets Ref: H519 25 5003). 1994-1996. (£94,000) - Additional matching
grants of £50,500 from Newton Trust.
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ESRC grant for research on "Econometric Analysis of Nonlinear Dynamic Models
with Applications in International Macroeconomics", September 1995 for
two years. Ref: R000 23 5524 (£100,090). ESRC grading: Outstanding.
End of Award Report
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ESRC grant for research on "Structural Modelling of the UK Economy within
a VAR Framework using Quarterly and Monthly Data", June 1995 for five years.
Ref: L116 25 1016 (£205,130). Additional matching grant of £50,000
from Newton Trust. ESRC grading: Outstanding.
End of Award Report
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European Commission Marie Curie Research Training Grant for research on
"Optimal Consumption under Precautionary Savings: A Dynamic Heterogeneous
Panel Approach" (with Michael Binder). Ref: ERBFMBICT983303. (23,256 ECU).
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ESRC grant for research on “Debt Management and the Evolving Macroeconomy”
(with Shaun Vahey). October 1999 for two years. Ref: L 13825
1021. (£87,771).
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ESRC grant for research on "Dynamic Panel Analysis of Interactions and Nonlinearities" (with Sean Holly) January 2004 for three years. Ref:35419. (£153,525.44). ESRC grading: Outstanding.
End of Award Report
- ECB grant for Project ‘International economic linkages and synchronisation in business cycles’ (with Sean Holly), June 2004 for one year. 60,000 euros.
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Cambridge Finance Sinopia Research Fellowship, Forecasting in Presence of Structural Instability. Starting October 2006 for three years. £166,000.
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