Essays in Honor of M. Hashem Pesaran
Prediction and Macro Modeling
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- Description
- Contents
- About
The collection in Volume 43 Part A of Advances in Econometrics serves as a tribute to Professor M. Hashem Pesaran. Hashem is one of the most innovative, influential, and productive econometricians of his generation, with over 200 papers published in leading scientific journals to his credit along with highly influential books on both theoretical and applied topics, significantly pushing forward the frontiers of knowledge in econometrics and economics. Thanks to his profound and pioneering work on theoretical and empirical questions, the economics profession has gained a much better understanding of both the power and limitations of econometric analysis.
Consistent with Hashem’s contributions, this volume comprises of chapters on a variety of topics covering prediction and macroeconomic modelling. The list of topics includes studies on Bayesian Quantile regression methods, forecasting implications from the economic impact of global warming, assessment of DSGE models, and parameter estimation in the presence of multiple breaks.
Introduction; Alexander Chudik, Cheng Hsiao, and Allan Timmermann
- Part A1. Prediction
- Chapter 1. On the Evolution of U.S. Temperature Dynamics; Francis X. Diebold and Glenn D. Rudebusch
- Chapter 2. Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity; Kajal Lahiri, Huaming Peng, and Xuguang Simon Sheng
- Chapter 3. Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression; James Mitchell, Aubrey Poon, and Gian Luigi Mazzi
- Chapter 4. Multi-step Forecasting with Large Vector Autoregressions; Andreas Pick and Matthijs Carpay
- Chapter 5. Gains from Switching Between Forecasts; Allan Timmermann and Yinchu Zhu
- Part A2. Model Instability and Breaks
- Chapter 6. Efficient Combined Estimation under Structural Breaks; Tae-Hwy Lee, Shahnaz Parsaeian, and Aman Ullah
- Chapter 7. Smooth Robust Multi-Horizon Forecasts; Andrew B. Martinez, Jennifer L. Castle, and David F. Hendry
- Chapter 8. Finite Sample Forecast Properties and Window Length under Breaks in Cointegrated Systems; Luca Nocciola
- Part A3. Macro Modeling and Policy Analysis
- Chapter 9. A Meta Model Analysis of Exchange Rate Determination; Chrystalleni Aristidou, Kevin Lee, and Kalvinder Shields
- Chapter 10. Dancing Alone or Together: The Dynamic Effects of Independent and Common Monetary Policies; Povilas Lastauskas and Julius Stakenas
- Chapter 11. Measuring Productivity Growth and Technology Spillovers through Global Value Chains: Analysis of a US-Sino Decoupling; Weilin Liu, Robin C. Sickles, and Yao Zhao
- Chapter 12. Checking if the Straightjacket Fits; Adrian Pagan and Michael Wickens
- Chapter 13. An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies; Alessandro Rebucci, Jonathan S. Hartley, and Daniel Jiménez
- Chapter 14. Government Debt, Deficits and Interest Rates 1870-2016; Ron Smith
Alexander Chudik works as an Economic Policy Advisor and Senior Economist at the Federal Reserve Bank of Dallas, USA. His main research interests are theoretical and applied econometrics.
Cheng Hsiao is Professor of Economics at the University of Southern California, USA. His main research interests are theoretical and applied econometrics.
Alan Timmerman is Professor of Finance and Economics at the University of California, San Diego, USA. His main research interests are financial modelling, time-series econometrics as well as economic forecasting.