| List of Contributors | vii |
| Introduction | ix |
| Part I: Macroeconometrics |
| Chapter 1: Aggregate Output Measurements: A Common Trend Approach | |
| Martín Almuzara, Gabriele Fiorentini and Enrique Sentana | 3 |
| Chapter 2: Markov Switching Rationality | |
| Florens Odendahl, Barbara Rossi and Tatevik Sekhposyan | 35 |
| Chapter 3: The Econometrics of Oil Market VAR Models | |
| Lutz Kilian and Xiaoqing Zhou | 65 |
| Part II: Financial Econometrics |
| Chapter 4: Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance | |
| Whayoung Jung and Ji Hyung Lee | 99 |
| Chapter 5: Risk Neutral Density Estimation with a Functional Linear Model | |
| Marine Carrasco and Idriss Tsafack | 133 |
| Chapter 6: Estimating Diffusion Models of Interest Rates at the Zero Lower Bound: From the Great Depression to the Great Recession and Beyond | |
| Lealand Morin | 159 |
| Chapter 7: A Market Crash or Tail Risk? Heavy Tails and Asymmetry of Returns in the Chinese Stock Market | |
| Zeyu Xing and Rustam Ibragimov | 181 |
| Part III: Pandemic, Climate, and Disaster |
| Chapter 8: Predicting Crashes in Oil Prices During the COVID-19 Pandemic with Mixed Causal-Noncausal Models | |
| Alain Hecq and Elisa Voisin | 209 |
| Chapter 9: Depth-Weighted Forecast Combination: Application to COVID-19 Cases | |
| Yoonseok Lee and Donggyu Sul | 235 |
| Chapter 10: Identification of Beliefs in the Presence of Disaster Risk and Misspecification | |
| Saraswata Chaudhuri, Eric Renault and Oscar Wahlstrom | 261 |
| Chapter 11: A New Model for Agricultural Land-Use Modeling and Prediction in England Using Spatially High-Resolution Data | |
| Namhyun Kim, Patrick Wongsa-art and Ian J. Bateman | 291 |
| Chapter 12: Local Climate Sensitivity: What Can Time Series of Distributions Reveal About Spatial Heterogeneity of Climate Change? | |
| J. Isaac Miller | 319 |
| Part IV: Microeconometrics and Panel Data |
| Chapter 13: Maximum Likelihood Estimation of Dynamic Panel Data Models with Interactive Effects: Quasi-Differencing Over Time or Across Individuals? | |
| Cheng Hsiao and Qiankun Zhou | 353 |
| Chapter 14: Informational Content of Factor Structures in Simultaneous Binary Response Models | |
| Shakeeb Khan, Arnaud Maurel and Yichong Zhang | 385 |
| Part V: Retrospective |
| Chapter 15: Forty Years of Advances in Econometrics | |
| Asli Ogunc and Randall C. Campbell | 413 |