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  • Search: subject:"parameter estimation error"
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Year of publication
Subject
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parameter estimation error 17 Prognoseverfahren 9 Theorie 9 block bootstrap 8 Schätztheorie 6 Zeitreihenanalyse 6 recursive estimation scheme 5 Block bootstrap 4 Bootstrap-Verfahren 4 nonlinear causality 4 Schätzung 3 USA 3 diffusion index 3 diffusion processes 3 factor 3 forecast 3 forecasting 3 macroeconometrics 3 proxy 3 reality check 3 stochastic volatility 3 Diffusion processes 2 Geldpolitik 2 Jumps 2 Konjunkturindikator 2 Modellierung 2 Nonparametric simulated quasi maximum likelihood 2 Parameter estimation error 2 Recursive estimation 2 Statistische Verteilung 2 Stochastic volatility 2 Wirkungsanalyse 2 Wirtschaftsindikator 2 long horizon prediction 2 long memory 2 specification test 2 stock returns 2 ARMA-Modell 1 Conditional p-value 1 Diffusion process 1
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Online availability
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Free 19
Type of publication
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Book / Working Paper 19
Type of publication (narrower categories)
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Working Paper 16
Language
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English 17 Undetermined 2
Author
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Swanson, Norman R. 15 Corradi, Valentina 13 Armah, Nii Ayi 4 Swanson, Norman 4 Bhardwaj, Geetesh 3
Institution
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HAL 2 Business School, University of Exeter 1
Published in...
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Working Paper 16 Post-Print / HAL 2 Discussion Papers / Business School, University of Exeter 1
Source
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EconStor 16 RePEc 3
Showing 1 - 10 of 19
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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
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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
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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
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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
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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
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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
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - HAL - 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. We then...
Persistent link: https://www.econbiz.de/10010820706
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - HAL - 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. We then...
Persistent link: https://www.econbiz.de/10010820811
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A simulation based specification test for diffusion processes
Bhardwaj, Geetesh; Corradi, Valentina; Swanson, Norman R. - 2005
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/10010266342
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Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes
Corradi, Valentina; Swanson, Norman R. - 2005
vanishing parameter estimation error, and extend the integrated conditional moment tests of Bierens (1982, 1990) and Bierens and …
Persistent link: https://www.econbiz.de/10010266361
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