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

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 13,164

in Total Papers Downloads

3,009

CITATIONS
Rank 7,989

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Top 7,989

in Total Papers Citations

58

Scholarly Papers (12)

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 1,514 (6,275)
Citation 2

Abstract:

Credit, economic recovery, financial crises

2.

Econometric Issues in the Analysis of Contagion

CESifo Working Paper Series No. 1176
Number of pages: 50 Posted: 02 Jan 2004
Andreas Pick and M. Hashem Pesaran
Erasmus University Rotterdam (EUR) - Department of Econometrics and USC Dornsife Institute for New Economic Thinking
Downloads 334 (70,471)
Citation 28

Abstract:

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, USC Dornsife Institute for New Economic Thinking and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 217 (96,099)
Citation 1

Abstract:

cross-section dependence, nonlinear panel data model

4.
Downloads 128 (188,814)
Citation 5

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
USC Dornsife Institute for New Economic Thinking and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 72 (280,637)
Citation 5

Abstract:

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
USC Dornsife Institute for New Economic Thinking and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 56 (320,922)
Citation 5

Abstract:

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 103 (212,945)
Citation 5

Abstract:

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

Variable Selection and Inference for Multi-Period Forecasting Problems

CESifo Working Paper Series No. 2543
Number of pages: 40 Posted: 11 Feb 2009
USC Dornsife Institute for New Economic Thinking, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of California, San Diego (UCSD) - Department of Economics
Downloads 66 (294,682)
Citation 6

Abstract:

Variable Selection and Inference for Multi-Period Forecasting Problems

CEPR Discussion Paper No. DP7139
Number of pages: 38 Posted: 18 Feb 2009
USC Dornsife Institute for New Economic Thinking, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of California, San Diego (UCSD) - Department of Economics
Downloads 2 (572,049)
Citation 6
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Abstract:

factor-augmented VAR, forecast horizon, macroeconomic forecasting

7.

Optimal Forecasts in the Presence of Structural Breaks

De Nederlandsche Bank Working Paper No. 327
Number of pages: 55 Posted: 27 Dec 2011
USC Dornsife Institute for New Economic Thinking, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of Cambridge
Downloads 66 (275,530)
Citation 3

Abstract:

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

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
USC Dornsife Institute for New Economic Thinking, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of California, San Diego (UCSD) - Department of Economics
Downloads 38 (345,634)
Citation 6

Abstract:

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

9.

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 21 (416,755)

Abstract:

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

10.

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 16 (391,073)

Abstract:

Markov switching models, forecasting, optimal weights, GNP forecasting

11.

Diagnostic Tests of Cross‐Section Independence for Limited Dependent Variable Panel Data Models*

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 253-277, 2012
Number of pages: 25 Posted: 10 Feb 2012
Cheng Hsiao, M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics, USC Dornsife Institute for New Economic Thinking and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 1 (544,931)
Citation 2
  • Add to Cart

Abstract:

12.

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 0 (488,729)

Abstract:

structural break test, forecasting, squared error loss