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Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence

Kim, Hyun Hak; Swanson, Norman R. - In: Journal of Econometrics 178 (2014) P2, pp. 352-367

In this paper, we empirically assess the predictive accuracy of a large group of models that are specified using principle components and other shrinkage techniques, including Bayesian model averaging and various bagging, boosting, least angle regression and related methods. Our results suggest...

Persistent link: https://www.econbiz.de/10011052271

The econometric consequences of the ceteris paribus condition in economic theory

Bierens, Herman J.; Swanson, Norman R. - In: Journal of Econometrics 95 (2000) 2, pp. 223-253

Persistent link: https://www.econbiz.de/10005115490

Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

Corradi, Valentina; Swanson, Norman R.; White, Halbert - In: Journal of Econometrics 96 (2000) 1, pp. 39-73

Persistent link: https://www.econbiz.de/10005228547

Predictive ability with cointegrated variables

Corradi, Valentina; Swanson, Norman R.; Olivetti, Claudia - In: Journal of Econometrics 104 (2001) 2, pp. 315-358

Persistent link: https://www.econbiz.de/10005228700

Bootstrap conditional distribution tests in the presence of dynamic misspecification

Corradi, Valentina; Swanson, Norman R. - In: Journal of Econometrics 133 (2006) 2, pp. 779-806

Persistent link: https://www.econbiz.de/10005239106

Predictive density and conditional confidence interval accuracy tests

Corradi, Valentina; Swanson, Norman R. - In: Journal of Econometrics 135 (2006) 1-2, pp. 187-228

Persistent link: https://www.econbiz.de/10005192367

Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

Corradi, Valentina; Swanson, Norman R. - In: Journal of Econometrics 136 (2007) 2, pp. 699-723

Persistent link: https://www.econbiz.de/10005192439

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

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Persistent link: https://www.econbiz.de/10005192513

A consistent test for nonlinear out of sample predictive accuracy

Corradi, Valentina; Swanson, Norman R. - In: Journal of Econometrics 110 (2002) 2, pp. 353-381

Persistent link: https://www.econbiz.de/10005192741

An introduction to stochastic unit-root processes

Granger, Clive W. J.; Swanson, Norman R. - In: Journal of Econometrics 80 (1997) 1, pp. 35-62

Persistent link: https://www.econbiz.de/10005192827