Research

Editor

Government Debt Management, (2009) Henry Stewart Talks

Articles

• Dennis Kant, Andreas Pick and Jasper de Winter (2025) “Nowcasting GDP using machine learning methods” Advances in Statistical Analysis 109(1), 1–24
  Working paper version, Online appendix, Code on GitHub

• Andreas Pick and Allan Timmermann (2024) “Panel data forecasting” Chapter 4 in Handbook of Research Methods and Applications in Macroeconomic Forecasting ed. Mike Clements and Ana Galvao (forthcoming)
  Working paper version

• Andreas Pick and Matthijs Carpay (2022) “Multi-step forecasting with large vector autoregressions” Advances in Econometrics (Essays in the Honor of M. Hashem Pesaran) 43A, 73–-98
  Working paper version

• Tom Boot and Andreas Pick (2020) “Does modeling a structural break improve forecast accuracy?” Journal of Econometrics 215(1) 35–59
  Working paper version, Online appendix

• Tom Boot and Andreas Pick (2018) “Optimal forecasts from Markov switching models” Journal of Business & Economic Statistics 36(4) 628–642
  Working paper version, Online appendix

• Agnieszka Markiewicz and Andreas Pick (2014) “Adaptive learning and survey expectations” Journal of Economic Behavior & Organization 107(B) 684-707
  Working paper version

• Hashem Pesaran, Andreas Pick and Mikhail Pranovich (2013) “Optimal forecasts in the presence of structural breaks” Journal of Econometrics, 177(2) 134-152
  Working paper version, Web supplement - A kind discussion of the paper on Frank Diebold’s blog

• Cheng Hsiao, Hashem Pesaran and Andreas Pick (2012) “Diagnostic tests of cross section independence in limited dependent variable panel data models” Oxford Bulletin of Economics & Statistics, 74(2) 253-277
  Working paper version

• Hashem Pesaran, Andreas Pick and Allan Timmermann (2011) “Variable selection, estimation and inference for multi-period forecasting problems” Journal of Econometrics, 164(1) 173–187
  Working paper version

• Hashem Pesaran and Andreas Pick (2011) “Forecast combination across estimation windows” Journal of Business & Economic Statistics, 29(2) 307-318
  Working paper version

• Kerstin Bernoth and Andreas Pick (2011) “Forecasting the fragility of the banking and insurance sector” Journal of Banking & Finance, 35(4) 807-818
  Working paper version - Awarded price of best refereed publication at DIW

• Hashem Pesaran and Andreas Pick (2007) “Econometric issues in the analysis of contagion” Journal of Economic Dynamics & Control, 31(4) 1245-1277
  Working paper version

• Don Egginton, Andreas Pick and Shaun Vahey (2002) “‘Keep it real!’: a real-time UK macro data set” Economics Letters, 77(1) 15-20
  Working paper version

Other Publications

• Andreas Pick and Jasper de Winter (2023) “Can machine learning methods help nowcast GDP?” SUERF Policy Brief, 521

• Michael Biggs, Thomas Mayer and Andreas Pick (2010) “The myth of the ‘Phoenix Miracle’” VoxEU.org, 14 May 2010

• Michael Biggs, Thomas Mayer and Andreas Pick (2009) “The myth of the credit-less recovery” Deutsche Securities: Global Macro Issues

• Andreas Pick and Myrvin Anthony (2006) “A simulation model for the analysis of the UK’s sovereign debt strategy” DMO Research Paper

Working Papers

• Hashem Pesaran, Andreas Pick and Allan Timmermann (2025) “Forecasting with panel data: estimation uncertainty versus parameter heterogeneity“
  Presentation of previous version by Hashem Pesaran on YouTube, Code on GitHub

• Michael Biggs, Thomas Mayer and Andreas Pick (2010) “Credit and economic recovery: Demystifying Phoenix Miracles” SSRN
  The paper has been discussed by Econbrowser, Handelsblatt, and Business Spectator.

• Andreas Pick (2007) “Financial contagion and tests using instrumental variables” DNB Working Paper 139