About the Authors
Dr Bahram Pesaran is currently a Research Consultant at Wadhwani Asset Management.
He has also worked as a Research Analyst at Tudor Investment Corporation, The Bank of England, The National Institute of Economics and Social Research and The Confederation of British Industry.
Dr Hashem Pesaran is the John Elliot Distinguished Chair in Economics at the University of Southern California (USC), Emeritus Professor of Economics at the University of Cambridge, and a Fellow of Trinity College, Cambridge. He also holds the directorship of USC Dornsife Institute for New Economic Thinking, and the Centre for Applied Financial Economics at USC.
Previously, he was head of the Economic Research Department of the Central Bank of Iran. He has also been a Professor of Economics and the Director of the Applied Econometrics Program at UCLA, and a Visiting Professor at the Institute of Advanced Studies in Vienna.
Visit Dr Hashem Pesaran's University of Cambridge webpage.
· Can run regressions using up to 102 regressors and allows 5,000,000 observation data points
· Much enhanced graphic module allows numerous graph types and an unrestricted number of plots per screen
· Time series dimension of observations can be adjusted dynamically
· Allows Excel files to be imported and exported
· Additional root unit tests such as Phillips-Perron, ADF-GLS, ADF-WS, and ADF-MAX
· Analysis of cointegrating models, with and without weakly exogenous variables (VARX and VECMX models), essential for modelling of small open economies
· Forecasting, impulse response analysis, persistence profiles and error variance decomposition for VARX models
· Principal components and canonical correlation analysis
· Nonparametric density estimation (Gaussian and Epanechnikov kernels with Silverman rule of thumb and least squares cross-validation band widths)
· Bootstrapped critical values for tests of over-identifying restrictions and cointegrated models
· Multivariate GARCH models, allowing estimation with Gaussian and multivariate t-distributed shocks
· Small sample simulation of the critical values of unit root and cointegration tests
· Bootstrapped error bounds for impulse responses, persistence profiles, and error variance decompositions for VAR, VARX, and cointegrated VAR and VARX options
· Most files created using Microfit 4.0 can be used in Microfit 5.5
· Enhanced help files now included within the software package
· Time Series and Panel Data Econometrics, by M. Hashem Pesaran (2015), Oxford University Press, Oxford.
· Time Series Econometrics using Microfit 5.0: A User's Manual, by Bahram Pesaran and M. Hashem Pesaran (2009), Oxford University Press, Oxford.