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Article

Pesaran, M.H. and Smith, Ron (2024) High dimensional forecasting with known knowns and known unknowns. National Institute Economic Review , ISSN 1741-3036.

Pesaran, M.H. and Smith, Ron (2024) Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors. Journal of Financial Econometrics , ISSN 1479-8409. (In Press)

Chudik, A. and Pesaran, M.H. and Smith, Ron P. (2023) Revisiting the Great Ratios Hypothesis. Oxford Bulletin of Economics and Statistics , ISSN 0305-9049.

Pesaran, M.H. and Smith, Ron P. (2023) Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios. Econometrics and Statistics 26 , pp. 17-30. ISSN 2452-3062.

Pesaran, M.H. and Smith, Ron P. (2018) A Bayesian analysis of linear regression models with highly collinear regressors. Econometrics and Statistics 11 , pp. 1-21. ISSN 2452-3062.

Pesaran, M.H. and Smith, Ron P. (2017) Tests of policy interventions in DSGE models. Oxford Bulletin of Economics and Statistics 80 (3), pp. 457-484. ISSN 0305-9049.

Dees, S. and Pesaran, M.H. and Smith, V. and Smith, Ron P. (2014) Constructing multi-country rational expectations models. Oxford Bulletin of Economics and Statistics 76 (6), pp. 812-840. ISSN 0305-9049.

Pesaran, M.H. and Smith, Ron P. (2014) Signs of impact effects in time series regression models. Economics Letters 122 (2), pp. 150-153. ISSN 0165-1765.

Koop, G. and Pesaran, M.H. and Smith, Ron P. (2013) On identification of Bayesian DSGE models. Journal of Business & Economic Statistics 31 (3), pp. 300-314. ISSN 0735-0015.

Pesaran, M.H. and Smith, Ron P. (2011) Beyond the DSGE straitjacket. The Manchester School 79 , pp. 5-16. ISSN 1463-6786.

Pesaran, M.H. and Smith, Ron P. and Yamagata, T. and Hvozdyk, L. (2009) Pairwise tests of purchasing power parity. Econometric Reviews 28 (6), pp. 495-521. ISSN 0747-4938.

Dees, S. and Pesaran, M.H. and Smith, L.V. and Smith, Ron P. (2009) Identification of new Keynesian Phillips curves from a global perspective. Journal of Money, Credit and Banking 41 (7), pp. 1481-1502. ISSN 0022-2879.

Pesaran, M.H. and Smith, L.V. and Smith, Ron P. (2007) What if the UK or Sweden had joined the Euro in 1999? An empirical evaluation using a global VAR. International Journal of Finance and Economics 12 (1), pp. 55-87. ISSN 1076-9307.

Pesaran, M.H. and Smith, Ron P. (2006) Macroeconometric modelling with a global perspective. The Manchester School 74 (1), pp. 24-49. ISSN 1463-6786.

Pesaran, M.H. and Shin, Y. and Smith, Ron P. (1999) Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association 94 (466), pp. 621-634. ISSN 0162-1459.

Pesaran, M.H. and Lee, K. and Smith, Ron P. (1998) Growth empirics: a panel data approach: a comment. Quarterly Journal of Economics 113 (1), pp. 319-324. ISSN 0033-5533.

Pesaran, M.H. and Smith, Ron P. (1998) Structural analysis of cointegrating VARS. Journal of Economic Surveys 12 (5), pp. 471-505. ISSN 1467-6419.

Lee, K. and Pesaran, M.H. and Smith, Ron P. (1997) Growth and convergence in a multi-country empirical stochastic solow model. Journal of Applied Econometrics 12 (4), pp. 357-392. ISSN 0883-7252.

Pesaran, M.H. and Smith, Ron P. (1995) Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics 68 (1), pp. 79-113. ISSN 0304-4076.

Pesaran, M.H. and Smith, Ron P. (1995) The role of theory in econometrics. Journal of Econometrics 67 (1), pp. 61-79. ISSN 0304-4076.

Pesaran, M.H. and Smith, Ron P. (1985) Evaluation of macroeconometric models. Economic Modelling 2 (2), pp. 125-134. ISSN 0264-9993.

Pesaran, M.H. and Smith, Ron P. and Yeo, J.S. (1985) Testing for structural stability and predictive failure: a review. The Manchester School of Economic and Social Studies 53 (3), pp. 280-295.

Book Section

Pesaran, M.H. and Smith, Ron P. (1998) Structural analysis of cointegrating VARS. In: McAleer, M. and Oxley, L. (eds.) Practical Issues in Cointegration Analysis. Blackwell. ISBN 9780631211983.

Monograph

Smith, Ron P. and Pesaran, M.H. (2019) The role of factor strength and pricing errors for estimation and inference in asset pricing models. Working Paper. Munich Society for the Promotion of Economic Research - CESifo GmbH, Munich, Germany.

Pesaran, M.H. and Smith, Ron P. (2014) Tests of policy ineffectiveness in macroeconometrics. Working Paper. Birkbeck College, University of London, London, UK.

Pesaran, M.H. and Smith, Ron P. (2014) Counterfactual analysis in macroeconometrics: an empirical investigation into the effects of quantitative easing. Working Paper. Birkbeck College, University of London, London, UK.

Pesaran, M.H. and Smith, Ron P. (2012) Counterfactual analysis in macroeconometrics: an empirical investigation into the effects of quantitative easing. Working Paper. CESifo Group, Munich, Germany.

Pesaran, M.H. and Smith, Ron P. (2011) Beyond the DSGE straitjacket. Working Paper. CESifo Group, Munich, Germany.

Dees, S. and Pesaran, M.H. and Smith, V. and Smith, Ron P. (2010) Supply, demand and monetary policy shocks in a multi-country new Keynesian model. Working Paper. European Central Bank, Frankfurt, Germany.

Smith, Ron P. and Pesaran, M.H. (2007) Monetary policy transmission and the Phillips Curve in a global context. Working Paper. Kiel Institute for the World Economy.

Pesaran, M.H. and Smith, Ron P. and Yamagata, T. and Hvozdyk, L. (2006) Pairwise tests of purchasing power parity using aggregate and disaggregate price measures. Working Paper. Cambridge University, Cambridge, UK.

Pesaran, M.H. and Smith, V. and Smith, Ron P. (2005) What if the UK had joined the Euro in 1999? An empirical evaluation using a global VAR. Working Paper. CESifo.

Pesaran, M.H. and Smith, L.V. and Smith, Ron P. (2005) What if the UK has joined the Euro in 1999? An empirical evaluation using a global VAR. Working Paper. Cambridge University, Cambridge, UK.

Pesaran, M.H. and Shin, Y. and Smith, Ron P. (1997) Pooled estimation of long-run relationships in dynamic heterogeneous panels. Working Paper. Faculty of Economics, University of Cambridge.

Lee, K. and Pesaran, M.H. and Smith, Ron P. (1995) Growth and convergence: a multi-country empirical analysis of the solow growth model. Working Paper. Faculty of Economics, University of Cambridge.

Pesaran, M.H. and Smith, Ron P. (1995) New directions in applied macroeconomic modelling. Working Paper. Faculty of Economics, University of Cambridge.

Pesaran, M.H. and Smith, Ron P. (1993) The natural rate hypothesis and its testable implications. Working Paper. Faculty of Economics, University of Cambridge.

Pesaran, M.H. and Smith, Ron P. (1992) Theory and evidence in economics. Working Paper. Faculty of Economics, University of Cambridge.

Pesaran, M.H. and Smith, Ron P. (1992) The interaction between theory and observation in economics. Working Paper. Faculty of Economics, University of Cambridge.

Book

Garratt, Anthony and Lee, K. and Pesaran, M.H. and Shin, Y. (2006) Global and national macroeconometric modelling: a long-run structural approach. Oxford, UK: Oxford University Press. ISBN 9780199296859.

Smith, Ron P. and Pesaran, M.H. and Akiyama, T. (1998) Energy demand in Asian developing economies. Oxford, UK: The Oxford Institute for Energy Studies. ISBN 9780197300206.