CEU Electronic Theses and Dissertations, 2021
| Author | Wang, Xinqi |
|---|---|
| Title | Choosing the Best Model - An Out-of-sample Testing for Gradual Physical Impact Model |
| Summary | Physical risks are often categorized into gradual (slow-onset) impacts and extreme weather events. This article estimates the gradual physical impacts using the relationship between increasing temperature and aggregate productivity (GDP) on 37 countries from 1961 to 2019. I follow the econometric model developed by Burke et al. (2018) and Burke and Tanutama (2019) to first perform an in-sample forecasting of a static and a dynamic model. I confirm that country-specific linear and quadratic time trends are statistically significant in the model. I then perform an out-of-sample forecasting with rolling window to compare models and to check whether a dynamic panel model is statistically more appropriate than a static panel model. I later confirm the results with a Giacomini and White test that a dynamic panel model is indeed a better model to use, and this outperformance of the dynamic panel model is statistically significant comparing with the static panel model. |
| Supervisor | Bogel, Gyorgy |
| Department | Economics MSc |
| Full text | https://www.etd.ceu.edu/2021/wang_xinqi.pdf |
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