Advances in Econometrics, Volume 43: Essays in Honor of M. Hashem Pesaran

Editors: Alexander Chudik (Federal Reserve Bank of Dallas, USA), Cheng Hsiao (University of Southern California, USA), and Allan Timmermann (University of California, USA). 

PART A: PREDICTION AND MACRO MODELING

DOI 10.1108/S0731-9053202143A Publication date 2022-01-18 Series copyright holder: Emerald Publishing Limited ISBN 978-1-80262-062-7 eISBN 978-1-80262-061-0 Book series ISSN 0731-9053

• Introduction Alexander Chudik, Cheng Hsiao and Allan Timmermann

PART A1 PREDICTION

• On the Evolution of US Temperature Dynamics, Francis X. Diebold and Glenn D. Rudebusch
• Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity,Kajal Lahiri, Huaming Peng and Xuguang Simon Sheng
• Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression, James Mitchell, Aubrey Poon and Gian Luigi Mazzi
• Multi‐step Forecasting with Large Vector Autoregressions, Andreas Pick and Matthijs Carpay
• Gains from Switching Between Forecasts, Allan Timmermann and Yinchu Zhu

PART A2 MODEL INSTABILITY AND BREAKS

• Efficient Combined Estimation under Structural Breaks, Tae‐Hwy Lee, Shahnaz Parsaeian and Aman Ullah
• Smooth Robust Multi‐Horizon Forecasts, Andrew B. Martinez, Jennifer L. Castle and David F. Hendry
• Finite Sample Forecast Properties and Window Length under Breaks in Cointegrated Systems, Luca Nocciola

PART A3 MACRO MODELING AND POLICY ANALYSIS

• A Meta Model Analysis of Exchange Rate Determination, Chrystalleni Aristidou, Kevin Lee and Kalvinder Shields
• Dancing Alone or Together: The Dynamic Effects of Independent and Common Monetary Policies, Povilas Lastauskas and Julius Stakėnas
• Measuring Productivity Growth and Technology Spillovers through Global Value Chains: Analysis of a US–Sino Decoupling, Weilin Liu, Robin C. Sickles and Yao Zhao
• Checking if the Straitjacket Fits, Adrian Pagan and Michael Wickens
• An Event Study of COVID‐19 Central Bank Quantitative Easing in Advanced and Emerging Economies, Alessandro Rebucci, Jonathan S. Hartley and Daniel Jiménez
• Government Debt, Deficits and Interest Rates, 1870–2016, Ron P. Smith

Note: To request the supplementary teaching resources, please visit: https://books.emeraldinsight.com/page/detail/Essays-in-Honor-of-MHashem-Pesaran/?k=9781802620627 and click on ‘Online Resources.’

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PART B: PANEL MODELING, MICRO APPLICATIONS, AND ECONOMETRIC METHODOLOGY

DOI 10.1108/S0731-9053202143B Publication date 2022-01-18 Series copyright holder: Emerald Publishing Limited ISBN 978-1-80262-066-5 eISBN 978-1-80262-065-8 Book series ISSN 0731-9053

• Introduction Alexander Chudik, Cheng Hsiao and Allan Timmermann

PART B1 PANEL DATA METHODS

• A Panel Data Model with Generalized Higher-Order Network Effects, Badi H. Baltagi, Sophia Ding and Peter H. Egger
• Spatial and Spatio-Temporal Error Correction, Networks and Common Correlated Effects, Arnab Bhattacharjee, Jan Ditzen and Sean Holly
• Heterogeneity and Dynamic Dependence in Panel Analysis of Individual Behavior, Kannika Damrongplasit and Cheng Hsiao
• Multiple Treatment Effects in Panel-Heterogeneity and Aggregation, Cheng Hsiao, Yan Shen and Qiankun Zhou
• Backward Mean Transformation in Panel Data with Predetermined Regressors, Artūras Juodis
• Various Asymptotic Distributions of the ErrorComponents Test for Cross-Sectional Correlation, CY (Chor-yiu) Sin
• Trimmed Mean Group Estimation Yoonseok Lee and Donggyu Sul

PART B2 MICRO MODELING

• Corporate Indebtedness and Low Productivity Growth of Italian Firms, Gareth Anderson and Mehdi Raissi
• Women’s Potential Earnings Distributions, Esfandiar Maasoumi and Le Wang

PART B3 ECONOMETRIC METHODOLOGIES

• Where (and by How Much) Does a Theory Break Down? With an Application to the Expectation Hypothesis, Karim M. Abadir and Christina Atanasova
• Gaussian Rank Correlation and Regression, Dante Amengual, Enrique Sentana and Zhanyuan Tian
• Robust Dynamic Panel Data Models using ε-Contamination, Badi H. Baltagi, Georges Bresson, Anoop Chaturvedi and Guy Lacroix
• Identification-Robust Inference for Endogeneity Parameters in Models with an Incomplete Reduced Form, Jean-Marie Dufour and Vinh Nguyen

Note: To request the supplementary teaching resources, please visit https://books. emeraldinsight.com/page/detail/Essays-in-Honor-of-M-Hashem-PesaranEssaysin-Honor-of-M.-Hashem-Pesaran/?k=9781802620665 and click on ‘Online Resources.’

Emerald Press website for this volume

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