Prelims
Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling
ISBN: 978-1-80262-062-7, eISBN: 978-1-80262-061-0
ISSN: 0731-9053
Publication date: 18 January 2022
Citation
(2022), "Prelims", Chudik, A., Hsiao, C. and Timmermann, A. (Ed.) Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling (Advances in Econometrics, Vol. 43A), Emerald Publishing Limited, Leeds, pp. i-vi. https://doi.org/10.1108/S0731-90532021000043A016
Publisher
:Emerald Publishing Limited
Copyright © 2022 Alexander Chudik, Cheng Hsiao and Allan Timmermann
Half Title Page
ESSAYS IN HONOR OF M. HASHEM PESARAN
Series Page
ADVANCES IN ECONOMETRICS
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Title Page
ADVANCES IN ECONOMETRICS - Volume 43A
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
and
ALLAN TIMMERMANN
University of California, USA
United Kingdom – North America – Japan – India – Malaysia – China
Copyright Page
Emerald Publishing Limited
Howard House, Wagon Lane, Bingley BD16 1WA, UK
First edition 2022
Editorial matter and selection © 2022 Alexander Chudik, Cheng Hsiao and Allan Timmermann
Individual chapters © 2022 the authors
Published under exclusive license by Emerald Publishing Limited.
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British Library Cataloguing in Publication Data
A catalogue record for this book is available from the British Library
ISBN: 978-1-80262-062-7 (Print)
ISBN: 978-1-80262-061-0 (Online)
ISBN: 978-1-80262-063-4 (Epub)
ISSN: 0731-9053 (Series)
Contents
| Introduction | |
| Alexander Chudik, Cheng Hsiao and Allan Timmermann | 1 |
| PART A1 PREDICTION | |
| Chapter 1: On the Evolution of US Temperature Dynamics | |
| Francis X. Diebold and Glenn D. Rudebusch | 9 |
| Chapter 2: Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity | |
| Kajal Lahiri, Huaming Peng and Xuguang Simon Sheng | 29 |
| Chapter 3: Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression | |
| James Mitchell, Aubrey Poon and Gian Luigi Mazzi | 51 |
| Chapter 4: Multi-step Forecasting with Large Vector Autoregressions | |
| Andreas Pick and Matthijs Carpay | 73 |
| Chapter 5: Gains from Switching Between Forecasts | |
| Allan Timmermann and Yinchu Zhu | 99 |
| Part A2 Model Instability and Breaks | |
| Chapter 6: Efficient Combined Estimation under Structural Breaks | |
| Tae-Hwy Lee, Shahnaz Parsaeian and Aman Ullah | 119 |
| Chapter 7: Smooth Robust Multi-Horizon Forecasts | |
| Andrew B. Martinez, Jennifer L. Castle and David F. Hendry | 143 |
| Chapter 8: Finite Sample Forecast Properties and Window Length under Breaks in Cointegrated Systems | |
| Luca Nocciola | 167 |
| Part A3 Macro Modeling and Policy Analysis | |
| Chapter 9: A Meta Model Analysis of Exchange Rate Determination | |
| Chrystalleni Aristidou, Kevin Lee and Kalvinder Shields | 199 |
| Chapter 10: Dancing Alone or Together: The Dynamic Effects of Independent and Common Monetary Policies | |
| Povilas Lastauskas and Julius Stakėnas | 217 |
| 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 | 243 |
| Chapter 12: Checking if the Straitjacket Fits | |
| Adrian Pagan and Michael Wickens | 269 |
| 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 | 291 |
| Chapter 14: Government Debt, Deficits and Interest Rates 1870–2016 | |
| Ron P. Smith | 323 |
| Index | 341 |
To request the supplementary teaching resources, please visit: https://books.emeraldinsight.com/page/detail/Essays-in-Honor-of-M-Hashem-Pesaran/?k=9781802620627 and click on ‘Online Resources.’
- Prelims
- Introduction
- Part A1: Prediction
- Chapter 1: On the Evolution of US Temperature Dynamics
- Chapter 2: Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
- Chapter 3: Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression
- Chapter 4: Multi-step Forecasting with Large Vector Autoregressions
- Chapter 5: Gains from Switching Between Forecasts
- Part A2: Model Instability and Breaks
- Chapter 6: Efficient Combined Estimation under Structural Breaks
- Chapter 7: Smooth Robust Multi-Horizon Forecasts
- Chapter 8: Finite Sample Forecast Properties and Window Length Under Breaks in Cointegrated Systems
- Part A3: Macro Modeling and Policy Analysis
- Chapter 9: A Meta Model Analysis of Exchange Rate Determination
- Chapter 10: Dancing Alone or Together: The Dynamic Effects of Independent and Common Monetary Policies
- Chapter 11: Measuring Productivity Growth and Technology Spillovers Through Global Value Chains: Analysis of a US–Sino Decoupling
- Chapter 12: Checking if the Straitjacket Fits
- Chapter 13: An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies
- Chapter 14: Government Debt, Deficits and Interest Rates 1870–2016
- Index