Prediction and macro modeling
Author(s)
Bibliographic Information
Prediction and macro modeling
（Advances in econometrics, v. 43A . Essays in honor of M. Hashem Pesaran ; [pt. A]）
Emerald, 2022
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"The collection of chapters in volume 43 of Advances in econometrics (part A and B) serves as a tribute to Professor M. Hashem Pesaran."--Introd
Includes bibliographical references and index
Description and Table of Contents
Description
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.
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 Jimenez Chapter 14. Government Debt, Deficits and Interest Rates 1870-2016
- Ron Smith
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