Research

Working Papers

• Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks, with M. H. Pesaran and M. Sharifvaghefi  (2023), Dallas Fed Globalization Institute Working Paper No. 394r2. Supplement

• Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels , with M. H. Pesaran and R. P. Smith (2023), Dallas Fed Globalization Institute Working Paper No. 409r1. Codes and data  Supplement  Stata codes

• Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels , with C. Y. Choi, Dallas Fed Globalization Institute Working Paper No. 423.

Publications

• Revisiting the Great Ratios Hypothesis, with M. H. Pesaran and R. P. Smith (2023), Oxford Bulletin of Economics and Statistics, 85, 1023-1047  Codes and data

• Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe, with M. H. Pesaran and A. Rebucci (2023), IMF Economic Review, 71, 474-508, DOI: 10.1057/s41308-022-00181-9. Codes and data  

• An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels, with M. H. Pesaran (2022), Econometric Reviews , 41:4, 416-447, DOI: 10.1080/07474938.2021.1971388. Codes  

• Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables, with G. Georgiadis  (2022),  Journal of Business & Economic Statistics, 40:3, 965-979, DOI: 10.1080/07350015.2021.1889567.  Codes and data 

• A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model, with K. Mohaddes, M. Hashem Pesaran, M. Raissi and Alessandro Rebucci (2021), Journal of International Money and Finance, Volume 119, 102477. Codes and data  

• Covid-19 Fiscal Support and its Effectiveness, with K. Mohaddes and M. Raissi (2021), Economics Letters, 205, 109939

• The Heterogeneous Effects of Global and National Business Cycles on Employment in U.S. States and Metropolitan Areas, with J. Koech and M.A. Wynne  (2021), Oxford Bulletin of Economics and Statistics, 83, 495-517.  Codes and data 

• Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR, with M. H. Pesaran and K. Mohaddes (2020), Advances in Econometrics, 41, Essays in Honor of Cheng Hsiao, 143–189.

• Regional Inequality in the U.S.: Evidence from City-Level Purchasing Power, with C-Y. Choi and H. Choi (2020), Journal of Regional Science, 60, 738-774

• Estimating Impulse Response Functions When the Shock Series is Observed, with C-Y. Choi (2019), Economics Letters, 180, 71-75

• Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators, with M. H. Pesaran (2019), Economics Letters, 175, 101-105

• A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, with M. H. Pesaran and G. Kapetanios (2018), Econometrica, 86, 1479-1512

• Half-Panel Jackknife Fixed Effects Estimation of Linear Panels with Weakly Exogenous Regressors, with M. H. Pesaran and Jui-Chung Yang (2018), Journal of Applied Econometrics, 33, 816-836

• Is There a Debt-threshold Effect on Output Growth?, with K. Mohaddes, M. H. Pesaran, and M. Raissi (2017), Review of Economics and Statistics, 99, 135-150

• Size, Openness, and Macroeconomic Interdependence, with R. Straub (2017), International Economic Review, 58, 33-55

• A Multi-Country Approach to Forecasting Output Growth Using PMIs, with V. Grossman, and M. H. Pesaran (2016), Journal of Econometrics, 192, 349-365

• Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors, with K. Mohaddes, M. H. Pesaran, and M. Raissi (2016), Advances in Econometrics, 36, Essays in Honor of Aman Ullah, 85-135

• Theory and Practice of GVAR Modeling, with M. H. Pesaran (2016), Journal of Economic Surveys, 30, 165-197

• Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors, with M.H. Pesaran (2015), Journal of Econometrics, 188, 393-420

• Aggregation in Large Dynamic Panels, with M.H. Pesaran (2014), Journal of Econometrics, 178, 273-285

• How Have Global Shocks Impacted the Real Effective Exchange Rates of Individual Euro Area Countries Since the Euro's Creation?, with M. Bussière and A. Mehl (2013), The B.E. Journal of Macroeconomics, 13, 1-48

• Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, with M.H. Pesaran (2013), Econometric Reviews, 32, 592-649

• A Simple Model of Price Dispersion (2012),  Economics Letters, 117, 344-347

• Thousands of Models, One Story: Current Account Imbalances in the Global Economy, with M. Ca’ Zorzi and A. Dieppe (2012), Journal of International Money and Finance, 31, 1319-1338

• And Then Current Accounts (Over)Adjusted, with M. Ca’Zorzi and A. Dieppe (2012), Empirical Economics, 43, 245-270

• Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model, with M. Fratzscher (2011), European Economic Review, 55, 325-339

• Weak and Strong Cross Section Dependence and Estimation of Large Panels, with E. Tosetti and M.H. Pesaran (2011), Econometrics Journal, 14, C45-C90

• Infinite Dimensional VARs and Factor Models, with M.H. Pesaran (2011), Journal of Econometrics, 163, 4-22

Book Chapters

• Large Panel Data Models with Cross-Sectional Dependence: A Survey, with M.H. Pesaran (2015), in B. Baltagi (Ed.), The Oxford Handbook on Panel Data, Oxford University Press

Federal Reserve System Publications and Social Media (Non-Academic)

• Location, location, location: Mortgage rate impact varies by metro, with A. Kumar, Dallas Fed Economics Blog Post, August 15, 2023

• Vaccines were key to curbing COVID-19 in Europe; other measures also useful, with M. H. Pesaran, and A. Rebucci, Dallas Fed Economics Blog Post, August 23, 2022

• ‘Great Ratios’ in Economics Don’t All Add Up, with M. H. Pesaran, and R. P. Smith, Dallas Fed Economics Blog Post, October 1, 2019

• Economic consequences of Covid-19: A multi-country analysis, with K. Mohaddes, M. H. Pesaran, M. Raissi and A. Rebucci, VoxEU column, 19 October 2020

• Early Mandated Social Distancing Does Best to Control COVID–19 Spread, with with M.H. Pesaran and A. Rebucci, Dallas Fed Economics Blog Post, May 28, 2020

• Crude Oil Price Changes Quicker to Register at Gasoline Pump, Dallas Fed Economics Blog Post, October 1, 2019

• Global, National Business Cycles and Energy Explain Texas Metro Growth, with  J. Koech and M. Wynne, Federal Reserve Bank of Dallas Economic Letters, Volume 13, No. 4, March 2018

• Rising Public Debt to GDP Can Harm Economic Growth, with K. Mohaddes, M. H. Pesaran and M. Raissi, Federal Reserve Bank of Dallas Economic Letters, Volume 13, No. 3, March 2018

• Global and National Shocks Explain a Large Share of State Job Growth, with J. Koech and M. Wynne, Federal Reserve Bank of Dallas Economic Letters, Volume 12, No. 10, October 2017

• Risk, Uncertainty Separately Cloud Global Growth Forecasting, with E. Martínez-García and V. Grossman, Federal Reserve Bank of Dallas Economic Letters, Volume 11, No. 9, July 2016

• Impact of Chinese Slowdown on U.S. No Longer Negligible, with A. Hinojosa, Federal Reserve Bank of Dallas Economic Letters, Volume 11, No. 5, May 2016

• Cheaper Crude Oil Affects Consumer Prices Unevenly,  with Janet Koech, Federal Reserve Bank of Dallas Economic Letters, Volume 10, No. 11, December 2015

• Consumer Price Differences Persist Among Eight Texas Cities, with Michele Ca’ Zorzi and Chi-Young Choi, Federal Reserve Bank of Dallas Economic Letters, Volume 9, No. 14, December 2014

• The Euro and Global Turbulence: Member Countries Gain Stability, with M. Bussière and A. Mehl, Federal Reserve Bank of Dallas Economic Letters, Volume 8, No. 11, December 2013

• Economic Shocks Reverberate in World of Interconnected Trade Ties, with M. Bussière and G. Sestiery, Federal Reserve Bank of Dallas Economic Letters, Volume 8, No. 6, July 2013 

• How the Global Perspective Can Help Us to Identify Structural Shocks, with M. Fidora (2012), Federal Reserve Bank of Dallas Staff Paper No. 19, December 2012