Essays in honor of M. Hashem Pesaran : prediction and macro modeling / edited by Alexander Chudik (Federal Reserve Bank of Dallas, USA), Cheng Hsiao (University of Southern California, USA), Allan Timmermann (University of California, USA).

Format:

Book

Contributor:

Chudik, Alexander, editor.

Xiao, Cheng, editor.

Timmermann, Allan, editor.

Series:

Advances in econometrics ; v. 43A.

Advances in econometrics ; volume 43A

Language:

English

Subjects (All):

Econometrics.

Physical Description:

1 online resource (357 pages)

Place of Publication:

London, England : Emerald Publishing, [2022]

Summary:

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.

Contents:

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.

Notes:

Includes index.

Includes bibliographical references.

Print version record.

Other Format:

Print version: Chudik, Alexander Essays in Honor of M. Hashem Pesaran

ISBN:

9781802620610

1802620613

9781802620634

180262063X

OCLC:

1292359604