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

Kim, Hyun Hak; Swanson, Norman R. - In: Journal of econometrics 178 (2014) 1, pp. 352-367

Persistent link: https://www.econbiz.de/10010256842

Mixing mixed frequency and diffusion indices in good times and in bad : an assessment based on historical data around the great recession of 2008

Kim, Kihwan; Kim, Hyun Hak; Swanson, Norman R. - In: Empirical economics : a quarterly journal of the … 64 (2023) 3, pp. 1421-1469

Persistent link: https://www.econbiz.de/10014226366

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

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

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

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

Corradi, Valentina; Swanson, Norman R. - 2009

Persistent link: https://www.econbiz.de/10003893393

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

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi (contributor); Swanson, Norman R. (contributor) - 2006

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10003698518

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

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 161 (2011) 2, pp. 304-324

Persistent link: https://www.econbiz.de/10009242123

In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982 - 2008

Cai, Lili; Swanson, Norman R. - In: Journal of empirical finance 18 (2011) 4, pp. 743-764

Persistent link: https://www.econbiz.de/10009306528