Essays in Honor of Joon Y. Park

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