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Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Chao, John C.; Swanson, Norman R. - 2022

In the context of latent factor models that are widely used in economics, a common assumption made is one of factor pervasiveness, which implies that all available predictor or informative variables in a dataset, with the possible exception of a negligible number of them, load significantly on...

Persistent link: https://www.econbiz.de/10013306504

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

Comments on "Forecasting economic and financial variables with global VARs"

Swanson, Norman R. - In: International journal of forecasting 25 (2009) 4, pp. 697-702

Persistent link: https://www.econbiz.de/10003921327

Essays in forecasting stationary and nonstationary stochastic processes

Swanson, Norman R. - 1994

Persistent link: https://www.econbiz.de/10000916507

A model selection approach to real-time macroeconomic forecasting using linear models and artificial neural networks

Swanson, Norman R. - In: The review of economics and statistics 79 (1997) 4, pp. 540-550

Persistent link: https://www.econbiz.de/10001229897

Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models

Swanson, Norman R. - In: International journal of forecasting 13 (1997) 4, pp. 439-461

Persistent link: https://www.econbiz.de/10001240454

A model-selection approach to assessing the information in the term structure using linear models and artificial neural networks

Swanson, Norman R. - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 3, pp. 265-275

Persistent link: https://www.econbiz.de/10001182360

Predictive ability with cointegrated variables

Corradi, Valentina; Swanson, Norman R.; Olivetti, Claudia - In: Journal of econometrics 104 (2001) 2, pp. 315-358

Persistent link: https://www.econbiz.de/10001606596

Choosing among competing econometric forecasts : regression-based forecast combination using model selection

Swanson, Norman R.; Zeng, Tian - In: Journal of forecasting 20 (2001) 6, pp. 425-440

Persistent link: https://www.econbiz.de/10001611475

A new definition for time-dependent price mean reversion in commodity markets

Kocagil, Ahmet Enis; Swanson, Norman R.; Zeng, Tian - In: Economics letters 71 (2001) 1, pp. 9-16

Persistent link: https://www.econbiz.de/10001564044