Essays in Honor of Joon Y. Park

Introduction

Part I: Macroeconometrics

Chapter 1. Aggregate output measurement: A common trend approach; Martin 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