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 Hashems 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.
