Norman R. Swanson : Citation Profile


Are you Norman R. Swanson?

Rutgers University-New Brunswick

29

H index

50

i10 index

2645

Citations

RESEARCH PRODUCTION:

76

Articles

101

Papers

2

Chapters

EDITOR:

5

Books edited

RESEARCH ACTIVITY:

   27 years (1994 - 2021). See details.
   Cites by year: 97
   Journals where Norman R. Swanson has often published
   Relations with other researchers
   Recent citing documents: 219.    Total self citations: 95 (3.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psw10
   Updated: 2023-03-25    RAS profile: 2022-02-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Cheng, Mingmian (2)

Kim, Hyun Hak (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Norman R. Swanson.

Is cited by:

Rossi, Barbara (55)

GUPTA, RANGAN (55)

McCracken, Michael (49)

van Dijk, Dick (46)

Vahey, Shaun (46)

Clark, Todd (46)

Mitchell, James (34)

Phillips, Peter (28)

Teräsvirta, Timo (25)

Clements, Michael (24)

Croushore, Dean (22)

Cites to:

Diebold, Francis (138)

Corradi, Valentina (81)

Ng, Serena (76)

Watson, Mark (68)

Bai, Jushan (60)

Reichlin, Lucrezia (60)

McCracken, Michael (55)

Forni, Mario (46)

Stock, James (44)

Andrews, Donald (38)

Bollerslev, Tim (37)

Main data


Where Norman R. Swanson has published?


Journals with more than one article published# docs
Journal of Econometrics20
International Journal of Forecasting6
Journal of Business & Economic Statistics5
Econometric Theory3
Journal of Empirical Finance3
Journal of Forecasting2
Studies in Nonlinear Dynamics & Econometrics2
Econometrics2
Econometric Reviews2
Macroeconomic Dynamics2
Economics Letters2
Oxford Bulletin of Economics and Statistics2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of Philadelphia4
Discussion Papers / University of Exeter, Department of Economics3
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Yale School of Management Working Papers / Yale School of Management2

Recent works citing Norman R. Swanson (2022 and 2021)


YearTitle of citing document
2022DATING COMMON COMMODITY PRICE AND INFLATION SHOCKS WITH ALTERNATIVE APPROACHES. (2022). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:469.

Full description at Econpapers || Download paper

2022WHO MOVES FIRST? COMMODITY PRICE INTERDEPENDENCE THROUGH TIME-VARYING GRANGER CAUSALITY. (2022). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:471.

Full description at Econpapers || Download paper

2021NEU Meta-Learning and its Universal Approximation Properties. (2019). Hyndman, Cody B ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1809.00082.

Full description at Econpapers || Download paper

2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

Full description at Econpapers || Download paper

2023Testing Many Restrictions Under Heteroskedasticity. (2020). Anatolyev, Stanislav ; Solvsten, Mikkel. In: Papers. RePEc:arx:papers:2003.07320.

Full description at Econpapers || Download paper

2021Inference with Many Weak Instruments. (2020). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2004.12445.

Full description at Econpapers || Download paper

2021How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?. (2020). Pötscher, Benedikt ; Preinerstorfer, David ; Potscher, Benedikt M. In: Papers. RePEc:arx:papers:2005.04089.

Full description at Econpapers || Download paper

2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

Full description at Econpapers || Download paper

2022Discordant Relaxations of Misspecified Models. (2020). Li, Lixiong ; D'esir'e K'edagni, ; Mourifi, Ismael . In: Papers. RePEc:arx:papers:2012.11679.

Full description at Econpapers || Download paper

2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

Full description at Econpapers || Download paper

2022Predicting Recession Probabilities Using Term Spreads: New Evidence from a Machine Learning Approach. (2021). Choi, Jaehyuk ; Sohn, Sungbin ; Ge, Desheng. In: Papers. RePEc:arx:papers:2101.09394.

Full description at Econpapers || Download paper

2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

Full description at Econpapers || Download paper

2022Valid Heteroskedasticity Robust Testing. (2021). Potscher, Benedikt M ; Preinerstorfer, David. In: Papers. RePEc:arx:papers:2104.12597.

Full description at Econpapers || Download paper

2022Culling the herd of moments with penalized empirical likelihood. (2021). Shi, Zhentao ; Zhang, Jia ; Chang, Jinyuan. In: Papers. RePEc:arx:papers:2108.03382.

Full description at Econpapers || Download paper

2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

Full description at Econpapers || Download paper

2021Bilinear Input Normalization for Neural Networks in Financial Forecasting. (2021). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tran, Dat Thanh. In: Papers. RePEc:arx:papers:2109.00983.

Full description at Econpapers || Download paper

2021Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621.

Full description at Econpapers || Download paper

2021Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

Full description at Econpapers || Download paper

2022Binary response model with many weak instruments. (2022). Seong, Dakyung. In: Papers. RePEc:arx:papers:2201.04811.

Full description at Econpapers || Download paper

2022Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380.

Full description at Econpapers || Download paper

2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

Full description at Econpapers || Download paper

2022Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032.

Full description at Econpapers || Download paper

2022Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data. (2022). Lamarche, Carlos ; Muris, Chris ; Harding, Matthew. In: Papers. RePEc:arx:papers:2203.03051.

Full description at Econpapers || Download paper

2022Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

Full description at Econpapers || Download paper

2022Timing Matters: Bitcoin Returns, Public Attention to COVID-19, and Individualism. (2022). Wang-Lu, Huaxin. In: Papers. RePEc:arx:papers:2205.04290.

Full description at Econpapers || Download paper

2022Nonparametric Value-at-Risk via Sieve Estimation. (2022). Ratz, Philipp. In: Papers. RePEc:arx:papers:2205.07101.

Full description at Econpapers || Download paper

2022On the instrumental variable estimation with many weak and invalid instruments. (2022). Fan, Qingliang ; Song, Xinyuan ; Windmeijer, Frank ; Lin, Yiqi. In: Papers. RePEc:arx:papers:2207.03035.

Full description at Econpapers || Download paper

2022A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137.

Full description at Econpapers || Download paper

2022Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

Full description at Econpapers || Download paper

2022Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments. (2022). Rose, Christiern ; Gautier, Eric. In: Papers. RePEc:arx:papers:2211.02249.

Full description at Econpapers || Download paper

2022Forecasting Inflation: The Use of Dynamic Factor Analysis and Nonlinear Combinations. (2022). Wang, Yongli ; Tavlas, George S ; Hall, Stephen G. In: Discussion Papers. RePEc:bir:birmec:22-12.

Full description at Econpapers || Download paper

2022Forecasting Unemployment in Russia Using Machine Learning Methods. (2022). Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:1:p:73-87.

Full description at Econpapers || Download paper

2022Land certification, rental market participation, and household welfare in rural China. (2022). Du, Xiaodong ; Xu, Licheng. In: Agricultural Economics. RePEc:bla:agecon:v:53:y:2022:i:1:p:52-71.

Full description at Econpapers || Download paper

2021Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed. (2021). Hurn, Stan ; Tian, Jing ; Xu, Lina. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:319:p:525-547.

Full description at Econpapers || Download paper

2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

Full description at Econpapers || Download paper

2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

Full description at Econpapers || Download paper

2022Testing the volatility jumps based on the high frequency data. (2022). Lin, Jinguan ; Liu, Meiyao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:669-694.

Full description at Econpapers || Download paper

2021Forecasting UK inflation bottom up. (2021). Potjagailo, Galina ; Kapetanios, George ; Kalamara, Eleni ; Joseph, Andreas. In: Bank of England working papers. RePEc:boe:boeewp:0915.

Full description at Econpapers || Download paper

2021Forecasting UK GDP growth with large survey panels. (2021). Kapetanios, George ; Kalamara, Eleni ; Anesti, Nikoleta. In: Bank of England working papers. RePEc:boe:boeewp:0923.

Full description at Econpapers || Download paper

2022An interpretable machine learning workflow with an application to economic forecasting. (2022). Joseph, Andreas ; Buckmann, Marcus. In: Bank of England working papers. RePEc:boe:boeewp:0984.

Full description at Econpapers || Download paper

2021Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395.

Full description at Econpapers || Download paper

2022An Econometrician amongst Statisticians: T. W. Anderson. (2022). Phillips, Peter. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2333.

Full description at Econpapers || Download paper

2021EXPORT LED GROWTH VIA INTRA-REGIONAL TRADING AN ECONOMETRIC ANALYSIS OF ASEAN, EU, NAFTA, MERCOSUR AND COMESA. (2021). Syazwan, Muhammad Saiful ; Abd, Abi Sofian ; Omar, Khatijah ; Hazman, Samsudin. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:21:y:2021:i:2_1.

Full description at Econpapers || Download paper

2021How persistent is unemployment in major Latin American economies?. (2021). Clavijo-Cortes, Pedro. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00415.

Full description at Econpapers || Download paper

2021Nowcasting euro area GDP with news sentiment: a tale of two crises. (2021). Kalamara, Eleni ; Ashwin, Julian ; Saiz, Lorena. In: Working Paper Series. RePEc:ecb:ecbwps:20212616.

Full description at Econpapers || Download paper

2022Solar and wind power generation forecasts using elastic net in time-varying forecast combinations. (2022). Musgens, Felix ; Kaso, Mathias ; Nikodinoska, Dragana . In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s0306261921012861.

Full description at Econpapers || Download paper

2021Does robo-advisory help reduce the likelihood of carrying a credit card debt? Evidence from an instrumental variable approach. (2021). Bai, Zefeng. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635021000058.

Full description at Econpapers || Download paper

2022Multi-layered rational inattention and time-varying volatility. (2022). Hobler, Stephan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200077x.

Full description at Econpapers || Download paper

2021On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting. (2021). Costantini, Mauro ; Paradiso, Antonio ; Casarin, Roberto. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002339.

Full description at Econpapers || Download paper

2022Estimation of high-dimensional factor models with multiple structural changes. (2022). Wu, Jianhong ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003321.

Full description at Econpapers || Download paper

2021Estimating and testing high dimensional factor models with multiple structural changes. (2021). Baltagi, Badi ; Wang, FA ; Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:349-365.

Full description at Econpapers || Download paper

2021The implied arbitrage mechanism in financial markets. (2021). Liu, Qingfu ; Chng, Michael T ; Chen, Shiyi. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:468-483.

Full description at Econpapers || Download paper

2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

Full description at Econpapers || Download paper

2021Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

Full description at Econpapers || Download paper

2022Understanding temporal aggregation effects on kurtosis in financial indices. (2022). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:25-46.

Full description at Econpapers || Download paper

2022Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps. (2022). Zhang, Zhiyuan ; Liu, Guangying. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:422-451.

Full description at Econpapers || Download paper

2022Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:483-509.

Full description at Econpapers || Download paper

2021Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression. (2021). SIN, Chor-yiu (CY) ; Lee, Cheng-Few. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:117-142.

Full description at Econpapers || Download paper

2021Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo. (2021). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:22-46.

Full description at Econpapers || Download paper

2021Blockwise Euclidean likelihood for spatio-temporal covariance models. (2021). Crudu, Federico ; Bevilacqua, Moreno ; Morales-Oate, Victor. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:176-201.

Full description at Econpapers || Download paper

2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

Full description at Econpapers || Download paper

2021Diversification benefits in the cryptocurrency market under mild explosivity. (2021). Arvanitis, Stelios ; Anyfantaki, Sofia ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:378-393.

Full description at Econpapers || Download paper

2021Robust low-rank multiple kernel learning with compound regularization. (2021). Xiong, Ren ; Dong, Yao ; Tao, Changqi ; Jiang, HE. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:634-647.

Full description at Econpapers || Download paper

2022The hinging hyperplanes: An alternative nonparametric representation of a production function.. (2022). Ruggiero, J ; Olesen, O B. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:254-266.

Full description at Econpapers || Download paper

2021Oil price and US dollar exchange rate: Change detection of bi-directional causal impact. (2021). Albulescu, Claudiu ; Ajmi, Ahdi Noomen. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002863.

Full description at Econpapers || Download paper

2022Electricity retailing and price dispersion. (2022). Fange, Kari-Anne. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006058.

Full description at Econpapers || Download paper

2022Forecasting crude oil volatility with uncertainty indicators: New evidence. (2022). Umar, Muhammad ; Chen, Zhonglu ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001141.

Full description at Econpapers || Download paper

2022A step forward on sustainability: The nexus of environmental responsibility, green technology, clean energy and green finance. (2022). Taskin, Dilvin ; Dogan, Eyup ; Madaleno, Mara. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001220.

Full description at Econpapers || Download paper

2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

Full description at Econpapers || Download paper

2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

Full description at Econpapers || Download paper

2023Forecasting crude oil price returns: Can nonlinearity help?. (2023). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024756.

Full description at Econpapers || Download paper

2021Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important. (2021). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001526.

Full description at Econpapers || Download paper

2022Economic policy uncertainty and bankruptcy filings. (2022). Drogovoz, Pavel ; Ledyaeva, Svetlana ; Fedorova, Elena ; Nevredinov, Alexandr. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001375.

Full description at Econpapers || Download paper

2022Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study. (2022). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002095.

Full description at Econpapers || Download paper

2021The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets. (2021). Mefteh-Wali, Salma ; Gharib, Cheima ; ben Jabeur, Sami. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320308497.

Full description at Econpapers || Download paper

2022Relationship between the news-based categorical economic policy uncertainty and US GDP: A mixed-frequency Granger-causality analysis. (2022). Pan, Zhigang ; Wang, LU ; Xu, Pengfei ; Hong, Yanran. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002641.

Full description at Econpapers || Download paper

2022Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?. (2022). Fromentin, Vincent. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s154461232200304x.

Full description at Econpapers || Download paper

2022The world uncertainty index and GDP growth rate. (2022). Gao, Fumin ; Liu, NA. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003609.

Full description at Econpapers || Download paper

2021Climate sentiments, transition risk, and financial stability in a stock-flow consistent model. (2021). Naqvi, Syed Ali Asjad ; Monasterolo, Irene ; Dunz, Nepomuk. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000322.

Full description at Econpapers || Download paper

2021Nowcasting Russian GDP using forecast combination approach. (2021). Zhemkov, Michael. In: International Economics. RePEc:eee:inteco:v:168:y:2021:i:c:p:10-24.

Full description at Econpapers || Download paper

2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

Full description at Econpapers || Download paper

2021Boosting nonlinear predictability of macroeconomic time series. (2021). Virtanen, Timo ; Kauppi, Heikki. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:151-170.

Full description at Econpapers || Download paper

2021Bagging weak predictors. (2021). Wei, Wei ; Lukas, Manuel ; Hillebrand, Eric. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:237-254.

Full description at Econpapers || Download paper

2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

Full description at Econpapers || Download paper

2021Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions. (2021). Yen, Tso-Jung. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:733-758.

Full description at Econpapers || Download paper

2021Sparse structures with LASSO through principal components: Forecasting GDP components in the short-run. (2021). Leipus, Remigijus ; Celov, Dmitrij ; Jokubaitis, Saulius. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:759-776.

Full description at Econpapers || Download paper

2021Nonparametric tests for Optimal Predictive Ability. (2021). Potì, Valerio ; Karabati, Selcuk ; Poti, Valerio ; Post, Thierry ; Arvanitis, Stelios. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:881-898.

Full description at Econpapers || Download paper

2021Forecasting exchange rates with elliptically symmetric principal components. (2021). Tsang, Kwok Ping ; Solat, Karo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1085-1091.

Full description at Econpapers || Download paper

2021Macroeconomic data transformations matter. (2021). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1338-1354.

Full description at Econpapers || Download paper

2021Modelling non-stationary ‘Big Data’. (2021). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1556-1575.

Full description at Econpapers || Download paper

2022The kernel trick for nonlinear factor modeling. (2022). Kutateladze, Varlam. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:165-177.

Full description at Econpapers || Download paper

2022Artificial bee colony-based combination approach to forecasting agricultural commodity prices. (2022). Zhou, Hao ; Li, Xiang ; Wang, Zhen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:21-34.

Full description at Econpapers || Download paper

2022Optimal probabilistic forecasts: When do they work?. (2022). Ramírez Hassan, Andrés ; Loaiza Maya, Rubén ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406.

Full description at Econpapers || Download paper

2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2022Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals. (2022). Wang, Xinyu ; Vivian, Andrew ; Sirichand, Kavita ; Tan, Xueping. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:944-969.

Full description at Econpapers || Download paper

2022Firms’ response to macroeconomic estimation errors. (2022). Nallareddy, Suresh ; Mayew, William J ; Binz, Oliver. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:73:y:2022:i:2:s0165410121000690.

Full description at Econpapers || Download paper

2021Mixed-frequency approaches to nowcasting GDP: An application to Japan. (2021). Kido, Yosuke ; Hirakata, Naohisa ; Otaka, Kazuki ; Chikamatsu, Kyosuke. In: Japan and the World Economy. RePEc:eee:japwor:v:57:y:2021:i:c:s0922142521000049.

Full description at Econpapers || Download paper

2021Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models. (2021). Anghel, Dan Gabriel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000716.

Full description at Econpapers || Download paper

2021A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam ; Daniel, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417.

Full description at Econpapers || Download paper

2022Housing networks and driving forces. (2022). Hurn, Stan ; Wang, Ben ; Shi, Shuping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002685.

Full description at Econpapers || Download paper

2022CEO incentives and bank risk over the business cycle. (2022). Ciamarra, Elif Ili ; Iliciamarra, Elif ; Savaer, Tanseli ; Ongena, Steven. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000607.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Norman R. Swanson has edited the books:


YearTitleTypeCited

Works by Norman R. Swanson:


YearTitleTypeCited
1995A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks. In: Journal of Business & Economic Statistics.
[Citation analysis]
article111
2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article64
2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
2008A Simulation-Based Specification Test for Diffusion Processes In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article13
2006A Simulation Based Specification Test for Diffusion Processes.(2006) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2009Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2009Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article53
2008Information in the revision process of real-time datasets.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
paper
2011Information in the Revision Process of Real-Time Datasets.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
paper
2000The real-time predictive content of money for output In: BIS Working Papers.
[Full Text][Citation analysis]
paper29
2002Temporal aggregation and spurious instantaneous causality in multiple time series models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article30
1996Future Developments in the Study of Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article24
2005The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article11
1999Finite sample properties of a simple LM test for neglected nonlinearity in error?correcting regression equations In: Statistica Neerlandica.
[Full Text][Citation analysis]
article4
1996Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article28
1996Forecasting Using First Available Versus Fully Revised Economic Time Series data..(1996) In: Pennsylvania State - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 28
paper
1998Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article22
1997Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets..(1997) In: Pennsylvania State - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 22
paper
2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper22
2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
article
2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
1998Monetary Policy Rules with Model and Data Uncertainty In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper17
2002Monetary Policy Rules with Model and Data Uncertainty.(2002) In: Southern Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2018Big data analytics in economics: What have we learned so far, and where should we go from here? In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article6
2018Big data analytics in economics: What have we learned so far, and where should we go from here?.(2018) In: Canadian Journal of Economics/Revue canadienne d'économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2001Data Transformation and Forecasting in Models with Unit Roots and Cointegration In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article0
2005A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article9
2012ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS In: Econometric Theory.
[Full Text][Citation analysis]
article55
2010Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments.(2010) In: Economics Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2011Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2017ROBUST FORECAST COMPARISON In: Econometric Theory.
[Full Text][Citation analysis]
article8
2015Robust Forecast Comparison.(2015) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2000TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article0
1997Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production..(1997) In: Pennsylvania State - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2001OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article68
2000An Out of Sample Test for Granger Causality.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2003Consistent Estimation with a Large Number of Weak Instruments In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper172
2005Consistent Estimation with a Large Number of Weak Instruments.(2005) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 172
article
2004Consistent Estimation with a Large Number of Weak Instruments.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 172
paper
2004Consistent Estimation with a Large Number of Weak Instruments.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 172
paper
2003Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper22
2007Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
article
2003Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2004Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2004Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]
paper8
2004Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2004Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper0
2004Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper0
2012Instrumental variable estimation with heteroskedasticity and many instruments In: Quantitative Economics.
[Full Text][Citation analysis]
article88
2007Instrumental variable estimation with heteroskedasticity and many instruments.(2007) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
paper
2009Instrumental Variable Estimation with Heteroskedasticity and Many Instruments.(2009) In: Economics Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
paper
2011Instrumental Variable Estimation with Heteroskedasticity and Many Instruments.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
paper
2003Trade, investment and growth: nexus, analysis and prognosis In: Journal of Development Economics.
[Full Text][Citation analysis]
article26
1998Trade, Investment, and Growth: Nexus, Analysis, and Prognosis.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2006Predictive Density Evaluation In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
chapter128
2004Predictive Density Evaluation.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 128
paper
2001A new definition for time-dependent price mean reversion in commodity markets In: Economics Letters.
[Full Text][Citation analysis]
article1
2004A test for the distributional comparison of simulated and historical data In: Economics Letters.
[Full Text][Citation analysis]
article0
2001Predictive ability with cointegrated variables In: Journal of Econometrics.
[Full Text][Citation analysis]
article44
2002A consistent test for nonlinear out of sample predictive accuracy In: Journal of Econometrics.
[Full Text][Citation analysis]
article49
2000A Consistent Test for Nonlinear Out of Sample Predictive Accuracy..(2000) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 49
paper
2005Bootstrap specification tests for diffusion processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article23
2003Bootstrap Specification Tests for Diffusion Processes.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2006An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article75
2004An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75
paper
2006The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test In: Journal of Econometrics.
[Full Text][Citation analysis]
article20
2003The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2006Bootstrap conditional distribution tests in the presence of dynamic misspecification In: Journal of Econometrics.
[Full Text][Citation analysis]
article70
2003Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70
paper
2006Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2006Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics.
[Full Text][Citation analysis]
article58
2004Predective Density and Conditional Confidence Interval Accuracy Tests.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58
paper
2007Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data In: Journal of Econometrics.
[Full Text][Citation analysis]
article25
2003Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2009Predictive density estimators for daily volatility based on the use of realized measures In: Journal of Econometrics.
[Full Text][Citation analysis]
article16
2006Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures.(2006) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2011Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2009Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2011Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2011Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2014Testing overidentifying restrictions with many instruments and heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]
article27
2011Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2014Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence In: Journal of Econometrics.
[Full Text][Citation analysis]
article74
2011Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74
paper
2014Testing for structural stability of factor augmented forecasting models In: Journal of Econometrics.
[Full Text][Citation analysis]
article39
2013Testing for Structural Stability of Factor Augmented Forecasting Models.(2013) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2015Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction In: Journal of Econometrics.
[Full Text][Citation analysis]
article51
2013Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction.(2013) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2018Testing for jumps and jump intensity path dependence In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
1997An introduction to stochastic unit-root processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article95
1996An introduction to stochastic Unit Root Processes..(1996) In: Pennsylvania State - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 95
paper
2000The econometric consequences of the ceteris paribus condition in economic theory In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
2000Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article31
1996Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes..(1996) In: Pennsylvania State - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 31
paper
2011In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008 In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article3
2011In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2021Forecasting volatility using double shrinkage methods In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1
1997Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article95
2004Forecasting economic and financial time-series with non-linear models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article64
2003Forecasting economic and financial time-series with non-linear models.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
2004Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives In: International Journal of Forecasting.
[Full Text][Citation analysis]
article14
2003Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2009Comments on Forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2018Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods In: International Journal of Forecasting.
[Full Text][Citation analysis]
article42
2019Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes In: International Journal of Forecasting.
[Full Text][Citation analysis]
article15
2004The volume of federal litigation and the macroeconomy In: International Review of Law and Economics.
[Full Text][Citation analysis]
article7
2003The Volume of Federal Litigation and the Macroeconomy.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2002The Volume of Federal Litigation and the Macroeconomy.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2002Comments on A vector error-correction forecasting model of the US economy In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article3
1998Money and output viewed through a rolling window In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article141
2015Prediction and simulation using simple models characterized by nonstationarity and seasonality In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article1
2013Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality.(2013) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2001Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error In: Discussion Papers.
[Full Text][Citation analysis]
paper1
2001A Randomized Procedure for Choosing Data Transformation In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2008Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments In: Working Papers.
[Full Text][Citation analysis]
paper4
2011Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2010Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments.(2010) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2009Real-time datasets really do make a difference: definitional change, data release, and forecasting In: Working Papers.
[Full Text][Citation analysis]
paper0
2011Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1995A Rolling Window Analysis of the Marginal Predictive Content of Money for Real Output. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper0
1995LM Tests and Nonlinear Error Correction in Economic Time Series. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper0
1995Do Formulations of the Permanent Income Hypothesis with Constant Real Interest Rates and Subjective Tiome Preferences Rates Make Sense? An Example of Random Walk with Time Varying Drift. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper0
1995A Models Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper144
1997A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks.(1997) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 144
article
1995A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks.(1995) In: Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 144
paper
1995Further Developments in the Study of Cointegrated Variables. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper5
2010Further Developments in the Study of Cointegrated Variables.(2010) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
1996Forecasting Economic Time series Using Adaptive Versus Nonadaptive and Linecar Versus Nonlinear Econometric Models. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper1
1996A Comparison of Alternatove causality and Predictive Accuracy Tests in the presence of Integrated and Co-integrated Economic Variables. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper9
1996Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper1
1994Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions. In: Pennsylvania State - Department of Economics.
[Citation analysis]
paper29
2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence In: Econometrics.
[Full Text][Citation analysis]
article1
2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section In: Econometrics.
[Full Text][Citation analysis]
article1
2007NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review.
[Full Text][Citation analysis]
article47
2006Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.(2006) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
2010International evidence on the efficacy of new-Keynesian models of inflation persistence In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article14
2006International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2006) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2011International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2006International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2010International evidence on the efficacy of new?Keynesian models of inflation persistence.(2010) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2001Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection. In: Journal of Forecasting.
[Citation analysis]
article31
2007How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models In: Journal of Money, Credit and Banking.
[Citation analysis]
article21
2007How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models.(2007) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
article
2005Predicting Inflation: Does The Quantity Theory Help? In: Economic Inquiry.
[Full Text][Citation analysis]
article36
2003Predicting Inflation: Does The Quantity Theory Help?.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
1996BOOK REVIEW of “Statistical Foundations for Econometric Techniques” by Asad Zaman In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2003Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments In: Departmental Working Papers.
[Full Text][Citation analysis]
paper4
2003The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation In: Departmental Working Papers.
[Full Text][Citation analysis]
paper1
2003A Test for Comparing Multiple Misspecified Conditional Distributions In: Departmental Working Papers.
[Full Text][Citation analysis]
paper17
2004Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection In: Departmental Working Papers.
[Full Text][Citation analysis]
paper1
2006How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2006A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2006The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives In: Departmental Working Papers.
[Full Text][Citation analysis]
paper1
2006Predictive Inference for Integrated Volatility In: Departmental Working Papers.
[Full Text][Citation analysis]
paper13
2011Predictive Inference for Integrated Volatility.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2011Predictive Inference for Integrated Volatility.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2006Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output In: Departmental Working Papers.
[Full Text][Citation analysis]
paper2
2011Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output.(2011) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006Predictive Density Evaluation. Revised. In: Departmental Working Papers.
[Full Text][Citation analysis]
paper64
2011Diffusion Index Models and Index Proxies: Recent Results and New Directions In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2011Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators In: Departmental Working Papers.
[Full Text][Citation analysis]
paper2
2011Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2011Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2011Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps In: Departmental Working Papers.
[Full Text][Citation analysis]
paper6
2013A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance In: Departmental Working Papers.
[Full Text][Citation analysis]
paper6
2013Combining Two Consistent Estimators In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2013An Expository Note on the Existence of Moments of Fuller and HFUL Estimators In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2013Density and Conditional Distribution Based Specification Analysis In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2013Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets In: Departmental Working Papers.
[Full Text][Citation analysis]
paper0
2013Mining Big Data Using Parsimonious Factor and Shrinkage Methods In: Departmental Working Papers.
[Full Text][Citation analysis]
paper1
2014Consistent Pretesting for Jumps In: Departmental Working Papers.
[Full Text][Citation analysis]
paper2
1998Book reviews In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2016Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2020Predicting interest rates using shrinkage methods, real?time diffusion indexes, and model combinations In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article2
2018Methods for backcasting, nowcasting and forecasting using factor†MIDAS: With an application to Korean GDP In: Journal of Forecasting.
[Full Text][Citation analysis]
article2
2020Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors In: Journal of Forecasting.
[Full Text][Citation analysis]
article8
2020Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
1998Temporal aggregation and causality in multiple time series models In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team