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Comments on: "A vector error-correction forecasting model of the US economy"

Swanson, Norman R. - In: Journal of macroeconomics 24 (2002) 4, pp. 599-606

Persistent link: https://www.econbiz.de/10001729049

An introduction to stochastic unit-root processes

Granger, C. W. J. - In: Journal of econometrics 80 (1997) 1, pp. 35-62

Persistent link: https://www.econbiz.de/10001223464

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - In: Quantitative economics : QE ; journal of the … 3 (2012) 2, pp. 211-255

This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microecono- metric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important....

Persistent link: https://www.econbiz.de/10011756822

Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods

Kim, Hyun Hak; Swanson, Norman R. - In: International journal of forecasting 34 (2018) 2, pp. 339-354

Persistent link: https://www.econbiz.de/10012030940

A comparison of alternative causality and predictive accuracy tests in the presence of integrated and cointegrated economic variables

Swanson, Norman R.; Ozyildirim, Ataman; Pisu, Maria - In: Computer-aided econometrics, (pp. 91-148). 2003

Persistent link: https://www.econbiz.de/10002594884

Predictive density estimators for daily volatility based on the use of realized measures

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of econometrics 150 (2009) 2, pp. 119-138

Persistent link: https://www.econbiz.de/10003858447

International evidence on the efficacy of new-Keynesian models of inflation persistence

Korenok, Oleg; Radchenko, Stanislav; Swanson, Norman R. - In: Journal of applied econometrics 25 (2010) 1, pp. 31-54

Persistent link: https://www.econbiz.de/10008666817

Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments

Armah, Nii Ayi; Swanson, Norman R. - In: Econometric reviews 29 (2010) 5/6, pp. 476-510

Persistent link: https://www.econbiz.de/10008668183

Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman R. - In: Applied financial economics 21 (2011) 1/3, pp. 43-60

Persistent link: https://www.econbiz.de/10009124680

Volatility in discrete and continuous-time models : a survey with new evidence on large and small jumps

Duong, Diep; Swanson, Norman R. - 2011

Persistent link: https://www.econbiz.de/10009698154