Scholar
M. Hashem Pesaran, M H Pesaran, Mohammad H Pesaran, Mohammad Pesaran, M. Pesaran
Google Scholar ID: 4wHTKPUAAAAJ
Distinguished Professor Emeritus of Economics at USC, and Fellow of Trinity College, Cambridge
Citations & Impact
Citations
102,609
H-index
77
i10-index
199
Publications
20
Co-authors
46
list available
Contact
Publications
Browse publications on Google Scholar (top-right) ↗
Resume (English only)
Academic Achievements
- Invented the Global Vector Autoregressive (GVAR) model, transforming understanding of interconnectedness in international financial systems
- Published 'Heterogeneous Autoregressions in Short T Panel Data Models' in Journal of Applied Econometrics (2024)
- Published two papers in Journal of Financial Econometrics (2024): 'Identifying and Exploiting Alpha in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors' and 'Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities'
- Published 'Identifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage' in Journal of Applied Econometrics (2023)
- Published 'Identification and Estimation of Categorical Random Coefficient Models' in Empirical Economics (2023)
- Published 'Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios' in Econometric Theory (2023)
- Authored book: 'Time Series Econometrics Using Microfit 5.0: A User's Manual' (2010)
- Book chapter: 'Predictability of Asset Returns and the Efficient Market Hypothesis' (2010)
- Book chapter: 'Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors' (2016)
Background
- Emeritus Professor of Economics, and Fellow of Trinity College, University of Cambridge
- Distinguished Professor Emeritus of Economics at University of Southern California, USA
- Research interests: Econometric Analysis of Heterogeneous Panels, Panel/Global Vector Autoregressive Models (PVAR/GVAR), Long-run Structural Macroeconometrics
- Made significant contributions in time series and panel data econometrics
- Developer of the Global Vector Autoregressive (GVAR) approach, widely used by IMF, ECB, and the World Bank to study international spillover effects and global economic interdependencies
