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Forecasting financial and macroeconomic variables using data reduction methods : new empirical evidence

Kim, Hyun Hak; Swanson, Norman R. - 2011

In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

Persistent link: https://www.econbiz.de/10009130513

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

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

Money and output viewed through a rolling window

Swanson, Norman R. - In: Journal of monetary economics 41 (1998) 3, pp. 455-473

Persistent link: https://www.econbiz.de/10001239596

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

Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry

Swanson, Norman R.; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 1, pp. 24-42

Persistent link: https://www.econbiz.de/10003279768

A predictive comparison of some simple long- and short memory models of daily US stock returns, with emphasis on business cycle effects

Bhardwaj, Geetesh; Swanson, Norman R. - In: Nonlinear time series analysis of business cycles, (pp. 379-405). 2006

Persistent link: https://www.econbiz.de/10003309394

Real-time datasets really do make a difference : definitional change, data release, and forecasting

Fernández, Andrés; Swanson, Norman R. - 2009 - Rev.

Persistent link: https://www.econbiz.de/10003893374

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

How sticky is sticky enough? : A distributional and impulse response analysis of new Keynesian DSGE models

Korenok, Oleg (contributor); Swanson, Norman R. (contributor) - 2006 - Rev.

In this paper, we add to the literature on the assessment of how well RBC simulated data reproduce the dynamic features of historical data. In particular, we evaluate a variety of new Keynesian DSGE models, including the standard sticky price model discussed in Calvo (1983), the sticky price...

Persistent link: https://www.econbiz.de/10003698250