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Mining big data using parsimonious factor and shrinkage methods
Kim, Hyun Hak; Swanson, Norman R. - 2013
A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...
Persistent link: https://www.econbiz.de/10009766687
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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
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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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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
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Information in the revision process of real-time datasets
Corradi, Valentina; Fernández, Andrés; Swanson, Norman R. - 2008
Persistent link: https://www.econbiz.de/10003767421
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Predictive density evaluation
Corradi, Valentina; Swanson, Norman R. - 2006
Persistent link: https://www.econbiz.de/10003338397
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - 2009
Persistent link: https://www.econbiz.de/10003893393
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Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
Chao, John C.; Swanson, Norman R. - In: Journal of econometrics 137 (2007) 2, pp. 515-555
Persistent link: https://www.econbiz.de/10003441954
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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/10003376082
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Information in the revision process of real-time datasets
Corradi, Valentina; Fernández, Andrés; Swanson, Norman R. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 4, pp. 455-467
Persistent link: https://www.econbiz.de/10003913382