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.
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
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