Advances in Econometrics, Volume 45A: Essays in Honor of Joon Y. Park

Econometric Theory

Chapter 1 Discrete Fourier Transforms of Fractional Processes With Econometric Applications, Peter C. B. Phillips
Chapter 2 Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes With Fractional Gaussian Noise, Xiaohu Wang, Weilin Xiao and Jun Yu
Chapter 3 Powerful Self-normalizing Tests for Stationarity Against the Alternative of a Unit Root, Uwe Hassler and Mehdi Hosseinkouchack
Chapter 4 A Sequential Test for a Unit Root in Monitoring a p-th Order Autoregressive Process, Kohtaro Hitomi, Keiji Nagai, Yoshihiko Nishiyama and Junfan Tao

Chapter 5 Functional-coefficient Cointegrating Regression With Endogeneity, Han-Ying Liang, Yu Shen and Qiying Wang
Chapter 6 A Specification Test Based on Convolution-type Distribution Function Estimates for Non-linear Autoregressive Processes, Kun Ho Kim, Hira L. Koul and Jiwoong Kim
Chapter 7 Transformation Models With Cointegrated and Deterministically Trending Regressors, Yingqian Lin and Yundong Tu
Chapter 8 Minimax Risk in Estimating Kink Threshold and Testing Continuity Javier Hidalgo, Heejun Lee, Jungyoon Lee and Myung Hwan Seo

Chapter 9 Semiparametric Independence Tests Between Two Infinite-order Cointegrated Series, Chafik Bouhaddioui, Jean-Marie Dufour and Masaya Takano
Chapter 10 Inference in Conditional Vector Error Correction Models With a Small Signal-to-Noise Ratio, Nikolay Gospodinov, Alex Maynard and Elena Pesavento
Chapter 11 Some Extensions of Asymptotic F and t Theory in Nonstationary Regressions Yixiao Sun
Chapter 12 Non-stationary Parametric Single-index Predictive Models: Simulation and Empirical Studies Ying Zhou, Hsein Kew and Jiti Gao
Chapter 13 Best Linear Prediction in Cointegrated Systems Yun-Yeong Kim

Chapter 1 Aggregate Output Measurements: A Common Trend Approach Martín Almuzara, Gabriele Fiorentini and Enrique Sentana
Chapter 2 Markov Switching Rationality Florens Odendahl, Barbara Rossi and Tatevik Sekhposyan
Chapter 3 The Econometrics of Oil Market VAR Models Lutz Kilian and Xiaoqing Zhou

Chapter 4 Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance, Whayoung Jung and Ji Hyung Lee
Chapter 5 Risk Neutral Density Estimation with a Functional Linear Model,Marine Carrasco and Idriss Tsafack
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
Chapter 7 A Market Crash or Tail Risk? Heavy Tails and Asymmetry of Returns in the Chinese Stock Market, Zeyu Xing and Rustam Ibragimov

Chapter 8 Predicting Crashes in Oil Prices During the COVID-19 Pandemic with Mixed Causal-Noncausal Models, Alain Hecq and Elisa Voisin
Chapter 9 Depth-Weighted Forecast Combination: Application to COVID-19 Cases, Yoonseok Lee and Donggyu Sul
Chapter 10 Identification of Beliefs in the Presence of Disaster Risk and Misspecification, Saraswata Chaudhuri, Eric Renault and Oscar Wahlstrom
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
Chapter 12 Local Climate Sensitivity: What Can Time Series of Distributions Reveal About Spatial Heterogeneity of Climate Change?, J. Isaac Miller

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
Chapter 14 Informational Content of Factor Structures in Simultaneous Binary Response Models, Shakeeb Khan, Arnaud Maurel and Yichong Zhang

Chapter 15 Forty Years of Advances in Econometrics, Asli Ogunc and Randall C. Campbell