Andreas Pick

Erasmus University Rotterdam (EUR) - Department of Econometrics

P.O. Box 1738

3000 DR Rotterdam

Netherlands

De Nederlandsche Bank

PO Box 98

1000 AB Amsterdam

Amsterdam, 1000 AB

Netherlands

  • Erasmus University Rotterdam (EUR) - Department of Econometrics

  • De Nederlandsche Bank

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 19,589

SSRN RANKINGS

Top 19,589

in Total Papers Downloads

4,100

SSRN CITATIONS
Rank 11,984

SSRN RANKINGS

Top 11,984

in Total Papers Citations

32

CROSSREF CITATIONS

71

Scholarly Papers (11)

Actions:
Email selected abstracts
1.

Credit and Economic Recovery: Demystifying Phoenix Miracles

Number of pages: 25 Posted: 24 May 2010
Michael Biggs, Thomas Mayer and Andreas Pick
Deutsche Bank, London, Centre for European Policy Studies (CEPS) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 2,614 (8,166)
Citation 20

Abstract:

Loading...

Credit, economic recovery, financial crises

2.

Econometric Issues in the Analysis of Contagion

Number of pages: 50 Posted: 02 Jan 2004
Andreas Pick and M. Hashem Pesaran
Erasmus University Rotterdam (EUR) - Department of Econometrics and University of Southern California - Department of Economics
Downloads 388 (118,743)
Citation 6

Abstract:

Loading...

Contagion, Inter-dependence, Identification, Financial Crises

3.

Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models

IZA Discussion Paper No. 2756, CESifo Working Paper Series No. 1984, IEPR Working Paper No. 07.17
Number of pages: 25 Posted: 26 Apr 2007
Cheng Hsiao, M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics, University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 368 (126,144)
Citation 7

Abstract:

Loading...

cross-section dependence, nonlinear panel data model

4.

Forecasting Random Walks under Drift Instability

Downloads 164 (277,378)
Citation 3

Forecasting Random Walks under Drift Instability

IEPR Working Paper No. 08.6
Number of pages: 39 Posted: 27 Mar 2008
M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 96 (416,627)
Citation 5

Abstract:

Loading...

Forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks

Forecasting Random Walks Under Drift Instability

CESifo Working Paper Series No. 2293
Number of pages: 43 Posted: 01 May 2008
M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 68 (512,714)

Abstract:

Loading...

forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks

5.

Forecasting the Fragility of the Banking and Insurance Sector

DIW Berlin Discussion Paper No. 882
Number of pages: 29 Posted: 12 Jul 2009
Kerstin Bernoth and Andreas Pick
German Institute for Economic Research (DIW Berlin) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 132 (330,300)
Citation 2

Abstract:

Loading...

Financial stability, financial linkages, banking, insurances, unobserved common factors, forecasting

6.

Optimal Forecasts in the Presence of Structural Breaks

De Nederlandsche Bank Working Paper No. 327
Number of pages: 55 Posted: 27 Dec 2011
M. Hashem Pesaran, Andreas Pick, Mikhail Pranovich and Mikhail Pranovich
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of CambridgeInternational Monetary Fund (IMF)
Downloads 106 (386,779)
Citation 12

Abstract:

Loading...

forecasting, structural breaks, optimal weights, robust weights, exponential smoothing

7.

Variable Selection and Inference for Multi-Period Forecasting Problems

Downloads 87 (439,868)

Variable Selection and Inference for Multi-Period Forecasting Problems

CESifo Working Paper Series No. 2543
Number of pages: 40 Posted: 11 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 85 (450,456)

Abstract:

Loading...

Variable Selection and Inference for Multi-Period Forecasting Problems

CEPR Discussion Paper No. DP7139
Number of pages: 38 Posted: 18 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 2 (974,289)
  • Add to Cart

Abstract:

Loading...

factor-augmented VAR, forecast horizon, macroeconomic forecasting

8.

Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems

De Nederlandsche Bank Working Paper No. 250
Number of pages: 39 Posted: 24 Oct 2011
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 83 (452,366)
Citation 11

Abstract:

Loading...

Multi-period forecasts, direct and iterated methods, factor augmented VARs

9.

Optimal Forecasts from Markov Switching Models

De Nederlandsche Bank Working Paper No. 452
Number of pages: 48 Posted: 16 Dec 2014
Tom Boot and Andreas Pick
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 64 (521,965)

Abstract:

Loading...

Markov switching models, forecasting, optimal weights, GNP forecasting

10.

Adaptive Learning and Survey Data

De Nederlandsche Bank Working Paper No. 411
Number of pages: 43 Posted: 29 Jan 2014
Agnieszka Markiewicz and Andreas Pick
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 56 (556,572)
Citation 5

Abstract:

Loading...

expectations, survey of professional forecasters, adaptive learning, bounded rationality

11.

A Near Optimal Test for Structural Breaks When Forecasting Under Square Error Loss

TI 2017-039/III Tinbergen Institute Discussion Paper
Number of pages: 56 Posted: 19 Apr 2017
Tom Boot and Andreas Pick
University of Groningen and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 38 (650,838)

Abstract:

Loading...

structural break test, forecasting, squared error loss