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  • "Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models", by Matthew Harding, Carlos Lamarche and M. Hashem Pesaran, forthcoming in Journal of Applied Econometrics, December 2019

    Abstract: This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under similar conditions to the ones used in the literature. The new quantile regression estimator is shown to be consistent and its asymptotic distribution is derived. Monte Carlo studies are carried out to study the small sample behavior of the proposed approach. The evidence shows that the estimator can significantly improve on the performance of existing estimators as long as the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using a large randomized control trial.
    JEL Classifications: C21, C31, C33, D12, L94
    Key Words: Common Correlated Effects; Dynamic Panel; Quantile Regression; Smart Meter; Randomized Experiment.
    Full Text: http://www.econ.cam.ac.uk/people-files/emeritus/mhp1/fp20/qmg40-rev21.pdf
    Appendix: http://www.econ.cam.ac.uk/people-files/emeritus/mhp1/fp20/qmg40-rev21-online-appendix.pdf
     

  • "Uncertainty and Economic Activity: A Multi-Country Perspective", by Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci, forthcoming in The Review of Financial Studies, June 2019

    Abstract: This paper develops an asset pricing model with heterogeneous exposure to a persistent world growth factor to identify global growth and financial shocks in a multi-country panel VAR model for the analysis of the relationship between volatility and the business cycle. The econometric estimates yield three sets of empirical results regarding (i) the importance of global growth for the interpretation of the correlation between volatility and growth over the business cycle and the possible presence of omitted variable bias in single-country VARs studies, (ii) the extent to which output shocks drive volatility, and (iii) the transmission of volatility shocks to output growth.
    JEL Classifications: E44, F44, G15
    Key Words: Uncertainty, Business Cycle, Global Shocks, Multi-Country Asset Pricing Model, Panel VAR, Identification, Realized Volatility, Impulse Responses.
    Full Text: http://www.econ.cam.ac.uk/people-files/emeritus/mhp1/fp19/CPR_FinalManuscript.pdf
    Supplement: http://www.econ.cam.ac.uk/people-files/emeritus/mhp1/fp19/CPR_Supplement.pdf
    Data: http://www.econ.cam.ac.uk/people-files/emeritus/mhp1/fp19/REPLICATIONFILES-Submittedon19-08-2019.zip