Search Results - subject:"Parameter estimation error"

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

Corradi, Valentina; Swanson, Norman - 2013

that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap … critical values in the case of non-vanishing parameter estimation error, under recursive estimation schemes, drawing on Corradi …

Persistent link: https://www.econbiz.de/10010334261

Estimation risk for value-at-risk and expected shortfall

Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47

Persistent link: https://www.econbiz.de/10011847463

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

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/10010282831

Diffusion index models and index proxies: Recent results and new directions

Armah, Nii Ayi; Swanson, Norman - 2011

Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years. One reason for this is that datasets with many variables are increasingly becoming available and being utilized for economic modelling, and another is that common...

Persistent link: https://www.econbiz.de/10010282837

Some variables are more worthy than others: New diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman - 2011

Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic indicators is...

Persistent link: https://www.econbiz.de/10010282848

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman - 2011

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we...

Persistent link: https://www.econbiz.de/10010282854