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ESSAYS IN HONOR OF M. HASHEM PESARAN
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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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No part of this book may be reproduced, stored in a retrieval system, transmitted in any form or by any means electronic, mechanical, photocopying, recording or otherwise without either the prior written permission of the publisher or a licence permitting restricted copying issued in the UK by The Copyright Licensing Agency and in the USA by The Copyright Clearance Center. Any opinions expressed in the chapters are those of the authors. Whilst Emerald makes every effort to ensure the quality and accuracy of its content, Emerald makes no representation implied or otherwise, as to the chapters’ suitability and application and disclaims any warranties, express or implied, to their use.
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 |
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