Similar Search Results

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

particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …

Persistent link: https://www.econbiz.de/10010282865

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/10010334248

Monetary Policy Rules with Model and Data Uncertainty

Callan, Myles; Ghysels, Eric; Swanson, Norman R. - Centre Interuniversitaire de Recherche en Analyse des … - 1998

We examine the prevalence of data, specification, and parameter uncertainty in the formation of simple rules which mimic monetary policy-making decisions. Our approach is to build real-time datasets, simulate a real-time policy-setting environment, and provide a set of prescriptions and...

Persistent link: https://www.econbiz.de/10005100926

Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated

Swanson, Norman R.; Corradi, Valentina - Econometric Society - 2004

provides a new block bootstrap procedure that mimics the limiting distribution of the scaled sum of the difference between the … observations are used more frequently than temporally subsequent observations. This introduces a bias to the usual block bootstrap … additional P resampled observations from the remaining sample. Construct a sequence of P bootstrap estimators, using the …

Persistent link: https://www.econbiz.de/10005063601

A Test for Comparing Multiple Misspecified Conditional Distributions

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

bootstrap which properly captures the e®ect of parameter estimation error. The results of a small Monte Carlo experiment …

Persistent link: https://www.econbiz.de/10005626676

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

Duong, Diep; Swanson, Norman R. - 2013

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

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