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Faculty of Economics

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Pesaran, M.H. and Chudik, A.

Econometric analysis of high dimensional VARs featuring a dominant unit

European Central Bank Working Papers

Vol. 1194(keywords: IVAR Models; Dominant Units; Large Panels; Weak and Strong Cross Section Dependence; Factor Models.Working Paper Series 1194, European Central Bank (2010)) (2010)

Abstract: 0

Author links: M. Hashem Pesaran  

Publisher's Link: http://www.econ.cam.ac.uk/faculty/person.html?id=pesaran&group=faculty;http://econpapers.repec.org/RePEc:ecb:ecbwps:20101194


Papers and Publications



Recent Publications


Carvalho, V. M. and Grassi, B. Large Firm Dynamics and the Business Cycle American Economic Review [2019]

Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs Econometrica [2018]

Chen, J., Li, D., & Linton, O. A new semiparameteric estimation approach for large dynamic covariance matrices with multiple conditioning variables Journal of Econometrics [2019]

Corsetti, G., Mavroeidi, E., Thwaites, G. and Wolf, M. Step away from the zero lower bound: small open economies in a world of secular stagnation Journal of International Economics [2019]