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Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Forecast evaluation

Cheng, Mingmian; Swanson, Norman R.; Yao, Chun - In: Macroeconomic forecasting in the era of big data : …, (pp. 495-537). 2020

Persistent link: https://www.econbiz.de/10012160017

Some recent developments in predictive accuracy testing with nested models and (genetic) nonlinear alternatives

Corradi, Valentina; Swanson, Norman R. - In: International journal of forecasting 20 (2004) 2, pp. 185-199

Persistent link: https://www.econbiz.de/10002033313

Out-of-sample tests or granger causality

Chao, John; Corradi, Valentina; Swanson, Norman R. - In: Macroeconomic dynamics 5 (2001) 4, pp. 598-620

Persistent link: https://www.econbiz.de/10001625176

Tests of nonnested hypotheses in nonstationary regressions with an application to modeling industrial production

Chao, John C.; Swanson, Norman R. - In: Macroeconomic dynamics 4 (2000) 1, pp. 42-72

Persistent link: https://www.econbiz.de/10001497768

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

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Journal of econometrics 178 (2014) 1, pp. 15-21

Persistent link: https://www.econbiz.de/10010254992

The effect of data transformation on common cycle, cointegration and unit root tests : Monte Carlo results and a simple test

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 132 (2006) 1, pp. 195-229

Persistent link: https://www.econbiz.de/10003320260

A simulation-based specification test for diffusion processes

Bhardwaj, Geetesh; Corradi, Valentina; Swanson, Norman R. - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 176-193

Persistent link: https://www.econbiz.de/10003675685

Robust forecast superiority testing with an application to assessing pools of expert forecasters

Corradi, Valentina; Jin, Sainan; Swanson, Norman R. - In: Journal of applied econometrics 38 (2023) 4, pp. 596-622

Persistent link: https://www.econbiz.de/10014288029