Essays in honor of M. Hashem Pesaran : prediction and macro modeling

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 wi...

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Bibliographic Details
Other Authors Chudik, Alexander (Editor), Hsiao, Cheng (Editor), Timmermann, Allan (Editor)
Format Electronic eBook
LanguageEnglish
Published Bingley, U.K. : Emerald Publishing Limited, 2022.
SeriesAdvances in econometrics ; v. 43A.
Subjects
Econometrics.
elektronické knihy
electronic books
Online AccessFull text
ISBN9781802620634
DOI10.1108/S0731-9053202143A
Physical Description1 online resource (vi, 350 pages)

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Table of 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.

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