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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
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Diffusion index model specification and estimation using mixed frequency datasets
Kim, Kihwan; Swanson, Norman R. - 2013
In this chapter, we discuss the use of mixed frequency models and diffusion index approximation methods in the context of prediction. In particular, select recent specification and estimation methods are outlined, and an empirical illustration is provided wherein U.S. unemployment forecasts are...
Persistent link: https://www.econbiz.de/10009766691
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Mixing mixed frequency and diffusion indices in good times and in bad : an assessment based on historical data around the great recession of 2008
Kim, Kihwan; Kim, Hyun Hak; Swanson, Norman R. - In: Empirical economics : a quarterly journal of the … 64 (2023) 3, pp. 1421-1469
Persistent link: https://www.econbiz.de/10014226366
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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. - In: Journal of econometrics 132 (2006) 1, pp. 195-229
Persistent link: https://www.econbiz.de/10003320260
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The effect of data transformation on common cycle, cointegration, and unit root tests : Monte Carlo results and a simple test
Corradi, Valentina (contributor);  … - 2003 - [Elektronische Ressource], Rev
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/10001848931
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Tests of nonnested hypotheses in nonstationary regressions with an application to modeling industrial production
Chao, John C.; Swanson, Norman R. - In: Macroeconomic dynamics 4 (2000) 1, pp. 42-72
Persistent link: https://www.econbiz.de/10001497768
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Data transformation and forecasting in models with unit roots and cointegration
Chao, John C.; Corradi, Valentina; Swanson, Norman R. - In: Annals of economics and finance 2 (2001) 1, pp. 59-76
Persistent link: https://www.econbiz.de/10001732255
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The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test
Swanson, Norman R.; Corradi, Valentina - 2003
In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests … cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …
Persistent link: https://www.econbiz.de/10014075928
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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
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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. - 2008
Persistent link: https://www.econbiz.de/10003763975