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Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
This second volume, Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, focuses on econometric applications related, some closely and some very loosely, to Professor Park’s more recent work before concluding with a retrospective summarizing four decades of Advances in Econometrics.
Yoosoon Chang is Professor of Economics at Indiana University, USA, with a Ph.D. in Economics from Yale. Dr Chang's current research interests include the application of various time series, panel data and machine learning models.
Sokbae Lee is Professor of Economics at Columbia University, USA. Professor Lee’s research focuses on theoretical and applied econometrics.
J. Isaac Miller is Professor and Associate Chair of the Economics Department at University of Missouri USA. Professor Miller’s research focuses on econometrics, energy, climate, and time series.
Introduction
Part I: Macroeconometrics
Chapter 1. Aggregate output measurement: 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
Part II: Financial Econometrics
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; Zheyu Xing and Rustam Ibragimov
Part III: Pandemic, Climate, and Disaster
Chapter 8. Predicting crashes in oil price 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 modelling 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
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?; Chang Hsiao and Qiankun Zhou
Chapter 14. Informational content of factor structures in simultaneous binary response models; Shakeeb Khan, Arnaud Maurel, and Yichong Zhang
Part V: Retrospective
Chapter 15. Forty years of Advances in Econometrics; Asli Ogunc and Randall C. Campbell