Peter L. Pedroni

Photo of Peter L. Pedroni

William Brough Professor of Economics

Schapiro Hall Rm 303


B.A. Miami University (1986)
Ph.D. Columbia University, Economics (1993)
M.A. Columbia University (1993)

Areas of Expertise

  • Panel Time Series Methods
  • Nonstationary Panels
  • International Money, Macro and Finance
  • Growth and Development


ECON 513 / ECON 356 SEM

Empirical Methods in Macroeconomics (not offered 2024/25)

Papers and Publications by Subject

Google Scholar Profile

A. Panel Time Series Methods

“Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the Purchasing Power Parity Hypothesis,” Econometric Theory, 20, 597-625, 2004.

Earlier working paper versions: IU WP 95-013, IU 97

“Fully-Modified OLS for Heterogeneous Cointegrated Panels,” Advances in Econometrics, 15, 93-130, 2000.

Earlier working paper versions: IU WP 96-020

“Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,” Oxford Bulletin of Economics and Statistics, 61, 4, 653-670, 1999.

“Nonparametric Rank Tests for Nonstationary Panels,” Journal of Econometrics, 185 (2), 378-91, 2015. (with Timothy Vogelsang, Michigan State University, Martin Wagner, Institute for Advanced Studies, Vienna, Joakim Westerlund, Deakin University).

Earlier working paper versions: WC WP 2005-04

“Structural Panel VARs,,” Econometrics, vol. 1, issue 2, 180-206, 2013, Feature Paper.

Nonlinear Panel Cointegration; Exchange Rate Fundamentals And Capital Account Liberalization,” presented to Festschrift in Honor of Giancarlo Gandolfo, Rome (with Luca Ricci).

B. International Money and Finance Topics

“Purchasing Power Parity Tests in Cointegrated Panels,” The Review of Economics and Statistics, 83, 727-31, 2001.

Earlier working paper versions: IU WP 96-020

“Monetary Policy and Bank Lending Rates in Low-Income Countries: Heterogeneous Panel Estimates,” Journal of Development Economics, 111, 117-131, 2014. (with Prachi Mitra, IMF, Peter Montiel, Williams College, and Antonio Spilimbergo, IMF).

“Comment on Chung and Tauchen’s Testing Target Zone Models Using Efficient Methods of Moments,” Journal of Business Economics and Statistics, 19, 3, 271-73, 2001.

“Nonlinearities in Financial Development; The Good, the Bad and the Beautiful,” with Diala Al Masri, Williams College working paper. Dec 2016 Version

“Financial Integration in LICs: Empirical Measurement and Consequences for Monetary Policy,” with Peter Montiel, Williams College working paper.

“International Equity Investments and Long Run Stock Market Linkages,” IHS working paper (with Andreas Reschreiter, Institute for Advanced Studies, Vienna).

“International Financial Crisis and Emerging Market Responses,” working paper, Williams College (with Kausik Chowdhuri, Indian Statistical Institute and Jeffrey Gerlach, William and Mary, VA).

“Cross Sectional Dependence in Cointegration Tests of Purchasing Power Parity in Panels,” presented for invited session at the Southern Economic Association Meetings.

“The Contribution of Housing Markets to the Great Recession,” (with Stephen Sheppard, Williams College), presented to the Regional and Urban Economics Association Conference, Denver.

C. Empirical Growth and Development Topics

“Social Capital, Barriers to Production and Capital Shares; Implications for the Importance of Parameter Heterogeneity from a Nonstationary Panel Approach,” Journal of Applied Econometrics, 22, 429-51, 2007.

Earlier working paper versions: WC WP 2004-03

“Regional Income Divergence in China,” Journal of Asian Economics, 17, 294-315, 2006 (with James Yudong Yao, International Monetary Fund).

“Infrastructure, Long Run Economic Growth and Causality Tests for Cointegrated Panels” The Manchester School, 76, 504-527, 2008. (with David Canning, Harvard University).

Earlier working paper versions: WC WP 2004-04

“The Relationship Between Illicit Coca Production and Legal Economic Activity in Peru,” (with Concepcion Verdugo Yepes, IMF), IMF Working Paper, 11-182.

“On the Role of Human Capital in Growth Models; Evidence from a Nonstationary Panel of Developing Countries,” presented to the North American Econometric Society Meetings.

“Heterogeneous European Regional Income Dynamics; A Structural Panel VAR Approach,” presented to the University of Barcelona Workshop on Regional and Urban Economics.

“The Economic Consequences of Culture Organizations,” The Arts, New Growth and Development, Brookings Institute Press, 2013. (with Stephen Sheppard, Williams College).

“Culture Shocks and Consequences: The Causal Line Between the Arts and Economic Growth, Center for Creative Community Development Working Paper, 2013. (with Stephen Sheppard, Williams College).

D. Teaching Related Publications and Manuscripts

INSTRUCTORS MANUAL AND TEST BANK for Daniels & Vanhoose INTERNATIONAL MONETARY AND FINANCIAL ECONOMICS, South-Western College Publishing, I.T.P., First Edition, New York, 1998.

“Review of The Econometric Modelling of Financial Time Series,” Journal of the American Statistical Association, 9, 3, 271-273, 2001.

“Economic Research Citations and Liberal Arts Colleges,” working paper (with Stephen Sheppard, Williams College).

INTERNATIONAL MONETARY THEORY; LECTURE NOTES, Copyrighted, 1999-2012, Williams College.

MACROECONOMICS; LECTURE NOTES, Copyrighted, 2006-12, Williams College.

EMPIRICAL METHODS FOR MACROECONOMICS; LECTURE NOTES, Part I, Copyrighted, 1999-2012, Williams College.





E. Other Selected Works in Progress

“THE ECONOMETRICS OF NONSTATIONARY PANELS,” book manuscript, to appear in Oxford University Press Advanced Texts in Econometrics monograph series, (with Jean-Pierre Urbain, Maastricht University).

“Sources of Nominal and Real Exchange Rate Rigidity; A Structurally Identified Panel VAR Study,” presented to the American Economic Association.

“Interpreting Panel Tests with Mixed Panels; An Exchange Rate Illustration”. (with Mahmood Kahn and Mazhar Kahn, Bank of Pakistan, former CDE fellows)

“Culture Shocks and Consequences: The connection between the arts and urban economic growth,” working paper, Williams College (with Stephen Sheppard, Williams College).

“Heterogeneous European Regional Income Dynamics; A Structural Panel VAR Approach,” presented to the University of Barcelona Workshop on Regional and Urban Economics.

“Heterogeneous Country Spillovers from Global Monetary Normalization and Systemic Global Risk: A Panel Structural VAR Analysis ,” with Luca Ricci (IMF).

F. Miscellaneous Unpublished Working Papers

“Does Trade Affect Growth? Estimating R&D Driven Models of Trade and Growth at the Industry Level,” working paper, University of Texas and Indiana University, (with Wolfgang Keller, University of Texas, Austin and NBER).

“Government and Dynamic Efficiency,” working paper, Cornell University and Indiana University (with Yi Wen, Cornell University).

Selected Work Experience

Visiting Associate Professor, Rice University, 2004-05.

Assistant Professor, Indiana University, 1994-2002

Visiting Assistant Professor, Cornell University, 1999-2000

Visiting Assistant Professor, Boston College, 1997-98

Researcher/Internal Consultant, World Bank, 1989-91

Graduate Intern, Federal Reserve Bank of New York, 1988.

Researcher/Internal Consultant, United Nations, 1987

Short Intensive Courses

2013 Central Bank of Azerbaijan (3 week intensive training course on panel econometric methods)

2013 Javeriana University, Colombia (summer 2 week course on panel cointegration methods)

2012 Coimbra University, Portugal (spring course on panel time series).

2005-14 International Monetary Fund (two 5 day training courses)

Course 1: (since 2005) “Introduction to nonstationary macro panels”

Course 2: (since 2009) “Recent developments in nonstationary macro panels”

2006 Institute for Advanced Studies, Vienna (2 week Ph.D. course on nonstationary panels)

2003 Bank of England (5 day course on nonstationary panels – joint with J. Urbain)