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Predicting Inflation : Does The Quantity Theory Help?

Bachmeier, Lance J.; Swanson, Norman R. - 2003

wide range of forecast horizons and allow for estimated as well as theoretically specified cointegrating relationships in … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC … models for forecasting, and helps to explain previous findings of the failure of VEC models to forecast better than VAR …

Persistent link: https://www.econbiz.de/10010263217

The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Swanson, Norman R.; Corradi, Valentina - 2003

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Persistent link: https://www.econbiz.de/10010263214

Seeing inside the black box: Using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments

Armah, Nii Ayi; Swanson, Norman R. - 2011

In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this paper, we begin by surveying the extant literature on diffusion indexes. We...

Persistent link: https://www.econbiz.de/10010282831

The Volume of Federal Litigation and the Macroeconomy

Bachmeier, Lance J.; Gaughman, Patrick; Swanson, Norman R. - 2003

In this paper we examine the extent to which fluctuations in a number of macroeconomic variables impact on the volume of federal litigation cases. In particular, the impact of aggregate U.S. GDP, consumption, inflation, unemployment, and interest rates on the volume of antitrust, bankruptcy,...

Persistent link: https://www.econbiz.de/10010270578

The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests : Monte Carlo Results and a Simple Test

Corradi, Valentina; Swanson, Norman R. - 2003

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics … substantive effect that incorrect transformation can have on the finite sample performance of common feature and cointegration …

Persistent link: https://www.econbiz.de/10010263220

Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

Swanson, Norman R.; Chao, John C. - 2003

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983),...

Persistent link: https://www.econbiz.de/10010263213

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10010271942

Predictive Density Evaluation

Corradi, Valentina; Swanson, Norman R. - 2004

This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...

Persistent link: https://www.econbiz.de/10010276815

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments

Chao, John C.; Swanson, Norman R. - 2004

This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is first shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...

Persistent link: https://www.econbiz.de/10010276816

Consistent Estimation with a Large Number of Weak Instruments

Chao, John C.; Swanson, Norman R. - 2004

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker...

Persistent link: https://www.econbiz.de/10010276817