Narrow search
Showing 1 - 10 of 89
Cover Image
Jackknife estimation of a cluster-sample IV regression model with many weak instruments
Chao, John C.; Swanson, Norman R.; Woutersen, Tiemen - In: Journal of econometrics 235 (2023) 2, pp. 1747-1769
Persistent link: https://www.econbiz.de/10014471426
Cover Image
An Expository Note on the Existence of Moments of Fuller and HFUL Estimators
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Essays in honor of Jerry Hausman, (pp. 87-106). 2012
In a recent paper, Hausman, Newey, Woutersen, Chao, and Swanson (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments...
Persistent link: https://www.econbiz.de/10015378528
Cover Image
Combining Two Consistent Estimators
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Essays in honor of Jerry Hausman, (pp. 33-53). 2012
This chapter shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...
Persistent link: https://www.econbiz.de/10015378530
Cover Image
Forecasting using first-available versus fully revised economic time-series data
Swanson, Norman R. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 47-64
Persistent link: https://www.econbiz.de/10001769610
Cover Image
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Cover Image
Testing for jumps and jump intensity path dependence
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - In: Journal of econometrics 204 (2018) 2, pp. 248-267
Persistent link: https://www.econbiz.de/10011974732
Cover Image
Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman R.; Urbach, Richard - In: International review of economics & finance : IREF 40 (2015), pp. 312-323
Persistent link: https://www.econbiz.de/10011573814
Cover Image
Robust forecast comparison
Jin, Sainan; Corradi, Valentina; Swanson, Norman R. - In: Econometric theory 33 (2017) 6, pp. 1306-1351
Persistent link: https://www.econbiz.de/10011810422
Cover Image
Forecasting volatility using double shrinkage methods
Cheng, Mingmian; Swanson, Norman R.; Yang, Xiye - In: Journal of empirical finance 62 (2021), pp. 46-61
Persistent link: https://www.econbiz.de/10012693319
Cover Image
Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes
Cepni, Oguzhan; Güney, Ethem; Swanson, Norman R. - In: International journal of forecasting 35 (2019) 2, pp. 555-572
Persistent link: https://www.econbiz.de/10012300700