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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 - Rev.

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/10009130733

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

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

particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …). -- block bootstrap ; forecasting ; recursive estimation scheme ; rolling estimation scheme ; model misspecification ; nonlinear …

Persistent link: https://www.econbiz.de/10009130740

Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Ai͏̈t-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index....

Persistent link: https://www.econbiz.de/10009151972

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

Density and conditional distribution based specification analysis

Duong, Diep; Swanson, Norman R. - 2013

spirit of the conditional Kolmogorov test of Andrews (1997) that rely on block bootstrap resampling methods in order to …

Persistent link: https://www.econbiz.de/10009766693

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman R. - 2013

, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap …

Persistent link: https://www.econbiz.de/10009766717

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Duong, Diep; Swanson, Norman R. - 2013

Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility...

Persistent link: https://www.econbiz.de/10009771770

Prediction and simulation using simple models characterized by nonstationarity and seasonality

Swanson, Norman R.; Urbach, Richard - 2013

In this paper, we provide new evidence on the empirical usefulness of various simple seasonal models, and underscore the importance of carefully designing criteria by which one judges alternative models. In particular, we underscore the importance of both choice of forecast or simulation horizon...

Persistent link: https://www.econbiz.de/10009777938

A simulation based specification test for diffusion processes

Bhardwaj, Geetesh (contributor); … - 2005

valid critical values are obtained via appropriate use of the block bootstrap. The suggested test has power against a larger … testing methodology can be applied. -- Block bootstrap ; diffusion processes ; parameter estimation error ; simulated GMM …

Persistent link: https://www.econbiz.de/10003698268

Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes

Corradi, Valentina (contributor); … - 2005

Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid … operational using our new bootstrap procedures. In one application, we outline a consistent test for out-of-sample nonlinear … Ploberger (1997) to the case of out-of-sample prediction. In both examples, appropriate re-centering of the bootstrap score is …

Persistent link: https://www.econbiz.de/10003698514