Search Results - subject:"Parameter estimation error"

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - 2003

that reflect data dependence and parameter estimation error (PEE). In order to obtain asymptotically valid critical values …

Persistent link: https://www.econbiz.de/10010263219

Diffusion Index Models and Index Proxies: Recent Results and New Directions

Swanson, Norman R.; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 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/10009372742

Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators

Swanson, Norman R.; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 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”...

Persistent link: https://www.econbiz.de/10009372766

Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments

Swanson, Norman R.; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 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/10009372769

Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models

Swanson, Norman R.; Corradi, Valentina - Department of Economics, Rutgers University-New Brunswick - 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/10009372770

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 - In: Econometric Reviews 29 (2010) 5-6, pp. 476-510

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 article, we begin by surveying the extant literature on diffusion indexes....

Persistent link: https://www.econbiz.de/10008691630

Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error

Corradi, Valentina; Swanson, Norman R. - Business School, University of Exeter - 2001

that accounts for data dependence and parameter estimation error. The proposed bootstrap procedure additionally leads to … estimation error. One important feature of this new bootstrap is that one need not specify the conditional distribution given the …) stationary bootstrap. First we provide an empirical process version of this bootstrap, and second, we account for parameter …

Persistent link: https://www.econbiz.de/10008852284

A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects

Swanson, Norman; Bhardwaj, Geetesh - Department of Economics, Rutgers University-New Brunswick - 2006

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the “empty box” category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we...

Persistent link: https://www.econbiz.de/10005750183

A Simulation Based Specification Test for Diffusion Processes

Corradi, Valentina; Swanson, Norman; Bhardwaj, Geetesh - Department of Economics, Rutgers University-New Brunswick - 2006

This paper makes two contributions. First, we outline a simple simulation based framework for constructing conditional distributions for multi-factor and multi-dimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be...

Persistent link: https://www.econbiz.de/10005750196

Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

Swanson, Norman; Corradi, Valentina - Department of Economics, Rutgers University-New Brunswick - 2006

vanishing parameter estimation error, and extend the integrated conditional moment tests of Bierens (1982, 1990) and Bierens and …

Persistent link: https://www.econbiz.de/10005750213