Boot, T. and Pick, A. (2019). Does modeling a structural break improve forecast accuracy? Journal of Econometrics, 215(1):35--59.
Andreas Pick
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Applied Econometrics, Econometrics, Macroeconometrics, Panel Data, Time Series Econometrics
Website
Biography
Andreas Pick is an associate professor at the Econometric Institute of Erasmus School of Economics and former Director of Graduate Studies at Tinbergen Institute. In a part time position, he is also an economist in the research department of the Dutch Central Bank and Fellow of Tinbergen Institute and the Erasmus Research Institute of Management. Previously, he was a research fellow at the University of Cambridge and a research economist at the UK Debt Management Office. He holds a PhD from the University of Cambridge and a Masters degree from Humboldt-Universität Berlin. His research interests are in the areas of applied and theoretical econometrics.
Key publications
Boot, T. and Pick, A. (2018). Optimal forecasts from Markov switching models Journal of Business and Economic Statistics, 36(4):628--642.
Pesaran, M., Pick, A. and Pranovich, M. (2013). Optimal Forecasts in the Presence of Structural Breaks Journal of Econometrics, 177(2):134--152.
Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318.
Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187.
List of publications
Boot, T. and Pick, A. (2019). Does modeling a structural break improve forecast accuracy? Journal of Econometrics, 215(1):35--59.
Boot, T. and Pick, A. (2018). Optimal forecasts from Markov switching models Journal of Business and Economic Statistics, 36(4):628--642.
Pick, A. and Markiewicz, A. (2014). Adaptive learning and survey expectations Journal of Economic Behavior and Organization, 107(Part B):685--707.
Pesaran, M., Pick, A. and Pranovich, M. (2013). Optimal Forecasts in the Presence of Structural Breaks Journal of Econometrics, 177(2):134--152.
Pesaran, H., Pick, A. and Hsiao, C. (2011). Diagnostic tests of cross section independence in limited dependent variable panel data models Oxford Bulletin of Economics and Statistics, 74(2):253--277.
Bernoth, K. and Pick, A. (2011). Forecasting the fragility of the banking and insurance sector Journal of Banking and Finance, 35(4):807--818.
Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318.
Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187.
Pick, A. and Pesaran, H. (2007). Econometric issues in the analysis of contagion Journal of Economic Dynamics and Control, 31(4):1245--1277.
Egginton, D., Pick, A. and Vahey, S. (2002). ''Keep it real!': a real-time UK macro data set' Economics Letters, 77(1):15--20.