Norman R. Swanson : Citation Profile


Are you Norman R. Swanson?

Rutgers University-New Brunswick

27

H index

48

i10 index

2186

Citations

RESEARCH PRODUCTION:

76

Articles

101

Papers

2

Chapters

EDITOR:

7

Books edited

RESEARCH ACTIVITY:

   27 years (1994 - 2021). See details.
   Cites by year: 80
   Journals where Norman R. Swanson has often published
   Relations with other researchers
   Recent citing documents: 151.    Total self citations: 89 (3.91 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psw10
   Updated: 2021-09-18    RAS profile: 2021-08-03    
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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 (46)

McCracken, Michael (46)

Clark, Todd (46)

Vahey, Shaun (46)

GUPTA, RANGAN (44)

van Dijk, Dick (39)

Mitchell, James (33)

Phillips, Peter (23)

Ratti, Ronald (21)

Garratt, Anthony (21)

Vespignani, Joaquin (21)

Cites to:

Diebold, Francis (129)

Corradi, Valentina (81)

White, Halbert (69)

Ng, Serena (63)

Watson, Mark (60)

Bai, Jushan (57)

McCracken, Michael (53)

Christoffersen, Peter (52)

Granger, Clive (43)

Reichlin, Lucrezia (39)

Stock, James (38)

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
Econometric Reviews2
Journal of Applied Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
Macroeconomic Dynamics2
Econometrics2
Journal of Forecasting2
Economics Letters2
Oxford Bulletin of Economics and Statistics2

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
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Yale School of Management Working Papers / Yale School of Management2
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics2

Recent works citing Norman R. Swanson (2021 and 2020)


YearTitle of citing document
2020On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03.

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2020Land certification, rental market participation, and income dynamics in rural China. (2020). Du, Xiaodong ; Xu, Licheng. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304247.

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2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2020Limit Theorems for Factor Models. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.06338.

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2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2020Theory of Weak Identification in Semiparametric Models. (2019). Kaji, Tetsuya. In: Papers. RePEc:arx:papers:1908.10478.

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

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2021Testing Many Restrictions Under Heteroskedasticity. (2020). Anatolyev, Stanislav ; Solvsten, Mikkel. In: Papers. RePEc:arx:papers:2003.07320.

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2020Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182.

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

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2020Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach. (2020). Carbone, Anna ; Ponta, Linda ; Murialdo, Pietro. In: Papers. RePEc:arx:papers:2004.14736.

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2020Variable Selection in Macroeconomic Forecasting with Many Predictors. (2020). Yu, Cindy ; Zhu, Zhengyuan ; Wang, Zhenzhong. In: Papers. RePEc:arx:papers:2007.10160.

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

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2020Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592.

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2020Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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

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2021Predicting 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.

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

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

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2020Does Trade Elasticity Vary Across Regimes? New Evidence from Korean Exports, Incorporating Regime Changes. (2020). Choi, Moonjung ; Kim, Seiwan. In: Asian Economic Journal. RePEc:bla:asiaec:v:34:y:2020:i:4:p:379-403.

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2020Approximation of bias and mean‐squared error in two‐sample Mendelian randomization analyses. (2020). Yu, Kai ; Song, Lei ; Zhang, Han ; Deng, LU. In: Biometrics. RePEc:bla:biomet:v:76:y:2020:i:2:p:369-379.

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2020A Note on Specification Testing in Some Structural Regression Models. (2020). Beckert, Walter. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:3:p:686-695.

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2020Instruments with Heterogeneous Effects: Bias, Monotonicity, and Localness. (2020). Nick, Huntington-Klein. In: Journal of Causal Inference. RePEc:bpj:causin:v:8:y:2020:i:1:p:182-208:n:1.

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2020Instruments with Heterogeneous Effects: Bias, Monotonicity, and Localness. (2020). Huntington-Klein, Nick. In: Journal of Causal Inference. RePEc:bpj:causin:v:8:y:2020:i:1:p:182-208:n:9.

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2020Optimal Feasible Expectations in Economics and Finance. (2020). Lake, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20105.

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2020Second-order refinements for t-ratios with many instruments. (2020). Otsu, Taisuke ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:612.

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2020Jackknife Lagrange multiplier test with many weak instruments. (2020). Otsu, Taisuke ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:613.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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

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2020Nowcasting GDP growth using data reduction methods: Evidence for the French economy. (2020). Charles, Amelie ; Darne, Olivier. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00680.

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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.

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2020A multilevel index of heterogeneous short-term and long-term debt dynamics. (2020). Golinelli, Roberto ; Bottazzi, Laura ; Bontempi, Maria. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301103.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Functional monetary aggregates, monetary policy, and business cycles. (2020). Serletis, Apostolos ; Xu, Libo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301627.

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2020Macroeconomic transmission of Eurozone shocks to India—A mean-adjusted Bayesian VAR approach. (2020). Swamy, Vighneswara. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:126-150.

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2020Economic forecasting with evolved confidence indicators. (2020). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:576-585.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020The effect of green roofs on the reduction of mortality due to heatwaves: Results from the application of a spatial microsimulation model to four European cities. (2020). Rugani, Benedetto ; Koppelaar, Rembrandt ; Marvuglia, Antonino. In: Ecological Modelling. RePEc:eee:ecomod:v:438:y:2020:i:c:s0304380020304178.

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2020Robust estimation with many instruments. (2020). Solvsten, Mikkel. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:495-512.

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2020Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:257-285.

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2020Ill-posed estimation in high-dimensional models with instrumental variables. (2020). Simoni, Anna ; Breunig, Christoph ; Mammen, Enno. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:171-200.

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2020Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:66-100.

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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.

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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.

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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.

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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.

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2020Integration reforms in the European natural gas market: A rolling-window spillover analysis. (2020). Li, Raymond ; Wang, Linjin ; Broadstock, David C. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302796.

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2020Relationship between green bonds and financial and environmental variables: A novel time-varying causality. (2020). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302814.

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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.

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2020Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654.

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2020Non-parametric quantile dependencies between volatility discontinuities and political risk. (2020). Vasiliadis, Lavrentios ; Vortelinos, Dimitrios ; Boako, Gideon ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829.

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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.

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2020The role of an aligned investor sentiment index in predicting bond risk premia of the U.S. (2020). GUPTA, RANGAN ; Epni, Ouzhan ; Wohar, Mark E ; Guney, Ethem I. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300100.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2020Comparing density forecasts in a risk management context. (2020). Fang, Hao ; Diks, Cees. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:531-551.

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2020A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2020Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844.

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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.

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2020The motivational factors of business venturing: Opportunity versus necessity? A gendered perspective on European countries. (2020). Jafari-Sadeghi, Vahid. In: Journal of Business Research. RePEc:eee:jbrese:v:113:y:2020:i:c:p:279-289.

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2020Nonlinear forecast combinations: An example using euro-area real GDP growth. (2020). Tavlas, George ; Hall, Stephen ; Gibson, Heather D. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:180:y:2020:i:c:p:579-589.

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2020Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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2020Macroeconomic forecasting using factor models and machine learning: an application to Japan. (2020). Shintani, Mototsugu ; Maehashi, Kohei. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:58:y:2020:i:c:s0889158320300411.

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2020Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks. (2020). Kanazawa, Nobuyuki. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070420301361.

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2020Gender differences in the volatility of work hours and labor demand. (2020). Guisinger, Amy. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:66:y:2020:i:c:s0164070420301798.

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2020A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility. (2020). Nonejad, Nima. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:20:y:2020:i:c:s2405851319300868.

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2020Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation. (2020). Nonejad, Nima. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300013.

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2020Deep belief network for gold price forecasting. (2020). Ci, Bicong ; Zhang, Pinyi. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s030142072030307x.

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2020.

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2020Identifying the sources of model misspecification. (2020). Rossi, Barbara ; Kuo, Chun-Hung ; Inoue, Atsushi. In: Journal of Monetary Economics. RePEc:eee:moneco:v:110:y:2020:i:c:p:1-18.

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2021Detecting stock market turning points using wavelet leaders method. (2021). Chen, Juanjuan ; Liu, Juan ; Tan, Zhengxun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s037843712030858x.

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2021Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory. (2021). Huang, Yirong ; Lin, Yan ; Luo, YI ; Ding, Liang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309018.

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2021On the link between the shadow economy and stock market development: An asymmetry analysis. (2021). Hayes, Linda A ; Stringer, Donna Y ; Hajilee, Massomeh. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:303-316.

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2020Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

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2020Volatility persistence in cryptocurrency markets under structural breaks. (2020). Madigu, Godfrey ; Gil-Alana, Luis ; Romero-Rojo, Fatima ; Aikins, Emmanuel Joel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691.

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2020Forecasting financial time-series using data mining models: A simulation study. (2020). Bou-Hamad, Imad ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191830761x.

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2020The role of political patronage in the risk-taking behaviour of banks in the Middle East and North Africa. (2020). de Peretti, Christian ; Braham, Rihem ; Belkacem, Lotfi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919301205.

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2020Impact of voluntary community-based health insurance on child stunting: Evidence from rural Uganda. (2020). von Braun, Joachim ; Gerber, Nicolas ; Mussa, Essa Chanie ; Nshakira-Rukundo, Emmanuel. In: Social Science & Medicine. RePEc:eee:socmed:v:245:y:2020:i:c:s0277953619307336.

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2020Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187.

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2021Switching it up: The effect of energy price reforms in Oman. (2021). Calì, Massimiliano ; Amann, Juergen ; Chin, Charles Fang ; Todorov, Valentin ; Cali, Massimiliano ; Cantore, Nicola. In: World Development. RePEc:eee:wdevel:v:142:y:2021:i:c:s0305750x2030379x.

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2021Tracking the Ups and Downs in Indonesia’s Economic Activity During COVID-19 Using Mobility Index: Evidence from Provinces in Java and Bali. (2021). Kusumawardhani, Stella ; Priyadi, Lionel ; Aswicahyono, Haryo ; Tyas, Prabaning ; Damuri, Yose Rizal ; Yazid, Ega Kurnia. In: Working Papers. RePEc:era:wpaper:dp-2021-18.

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2021Modelling and forecasting monthly Brent crude oil prices: a long memory and volatility approach. (2021). Ismail, Mohd Tahir ; Algounmeein, Remal Shaher. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:1:p:29-54.

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2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

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2021Arbitrage Capital of Global Banks. (2021). Schlusche, Bernd ; Du, Wenxin ; Anderson, Alyssa G. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-32.

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2021Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets. (2021). Wong, Wing-Keung ; Hassan, Arshad ; Zada, Hassan. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:92-:d:576215.

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2020The Implications of Policy Uncertainty on Solar Photovoltaic Investment. (2020). Byrne, Julie ; Assereto, Martina. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6233-:d:451620.

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2020Sources and Types of Big Data for Macroeconomic Forecasting. (2019). Me, Philip. In: Working Papers. RePEc:hae:wpaper:2019-3.

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2020Nowcasting GDP growth using data reduction methods: Evidence for the French economy. (2020). Charles, Amelie ; Darne, Olivier. In: Post-Print. RePEc:hal:journl:hal-02948802.

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2021Another look into the factor model black box: factor interpretation and structural (in)stability. (2020). Doz, Catherine ; Despois, Thomas. In: Working Papers. RePEc:hal:wpaper:halshs-02235543.

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2021How Local is the Local Inflation Factor? Evidence from Emerging European Countries. (2021). Clements, Michael ; Cepni, Oguzhan. In: Working Papers. RePEc:hhs:cbsnow:2021_008.

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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]
article86
2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
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article52
2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 52
paper
2008A Simulation-Based Specification Test for Diffusion Processes In: Journal of Business & Economic Statistics.
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article13
2006A Simulation Based Specification Test for Diffusion Processes.(2006) In: Departmental Working Papers.
[Full Text][Citation analysis]
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paper
2009Comment In: Journal of Business & Economic Statistics.
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article0
2009Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics.
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article52
2008Information in the revision process of real-time datasets.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 52
paper
2011Information in the Revision Process of Real-Time Datasets.(2011) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 52
paper
2000The real-time predictive content of money for output In: BIS Working Papers.
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paper26
2002Temporal aggregation and spurious instantaneous causality in multiple time series models In: Journal of Time Series Analysis.
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article8
1996Future Developments in the Study of Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article20
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]
article1
1996Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article20
1996Forecasting Using First Available Versus Fully Revised Economic Time Series data..(1996) In: Pennsylvania State - Department of Economics.
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This paper has another version. Agregated cites: 20
paper
1998Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets In: Studies in Nonlinear Dynamics & Econometrics.
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article21
1997Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets..(1997) In: Pennsylvania State - Department of Economics.
[Citation analysis]
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paper
2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
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paper21
2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 21
article
2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
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This paper has another version. Agregated cites: 21
paper
1998Monetary Policy Rules with Model and Data Uncertainty In: CIRANO Working Papers.
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paper8
2018Big data analytics in economics: What have we learned so far, and where should we go from here? In: Canadian Journal of Economics.
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article4
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.
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This paper has another version. Agregated cites: 4
article
2001Data Transformation and Forecasting in Models with Unit Roots and Cointegration In: Annals of Economics and Finance.
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article0
2005A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article8
2012ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS In: Econometric Theory.
[Full Text][Citation analysis]
article39
2010Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments.(2010) In: Economics Working Paper Archive.
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paper
2011Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments.(2011) In: Departmental Working Papers.
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paper
2017ROBUST FORECAST COMPARISON In: Econometric Theory.
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article5
2015Robust Forecast Comparison.(2015) In: Departmental Working Papers.
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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.
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paper
2001OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article66
2000An Out of Sample Test for Granger Causality.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 66
paper
2003Consistent Estimation with a Large Number of Weak Instruments In: Cowles Foundation Discussion Papers.
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paper130
2005Consistent Estimation with a Large Number of Weak Instruments.(2005) In: Econometrica.
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article
2004Consistent Estimation with a Large Number of Weak Instruments.(2004) In: Departmental Working Papers.
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paper
2004Consistent Estimation with a Large Number of Weak Instruments.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
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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.
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paper18
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: 18
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]
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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.
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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.
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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.
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article70
2007Instrumental variable estimation with heteroskedasticity and many instruments.(2007) In: CeMMAP working papers.
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paper
2009Instrumental Variable Estimation with Heteroskedasticity and Many Instruments.(2009) In: Economics Working Paper Archive.
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paper
2011Instrumental Variable Estimation with Heteroskedasticity and Many Instruments.(2011) In: Departmental Working Papers.
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paper
2003Trade, investment and growth: nexus, analysis and prognosis In: Journal of Development Economics.
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article22
1998Trade, Investment, and Growth: Nexus, Analysis, and Prognosis.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2006Predictive Density Evaluation In: Handbook of Economic Forecasting.
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chapter92
2004Predictive Density Evaluation.(2004) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 92
paper
2001A new definition for time-dependent price mean reversion in commodity markets In: Economics Letters.
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article1
2004A test for the distributional comparison of simulated and historical data In: Economics Letters.
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article0
2001Predictive ability with cointegrated variables In: Journal of Econometrics.
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article44
2002A consistent test for nonlinear out of sample predictive accuracy In: Journal of Econometrics.
[Full Text][Citation analysis]
article48
2000A Consistent Test for Nonlinear Out of Sample Predictive Accuracy..(2000) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 48
paper
2005Bootstrap specification tests for diffusion processes In: Journal of Econometrics.
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article21
2003Bootstrap Specification Tests for Diffusion Processes.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2006An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series In: Journal of Econometrics.
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article67
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: 67
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.
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article16
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.
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This paper has another version. Agregated cites: 16
paper
2006Bootstrap conditional distribution tests in the presence of dynamic misspecification In: Journal of Econometrics.
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article68
2003Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification.(2003) In: Departmental Working Papers.
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paper
2006Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics.
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article3
2006Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics.
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article57
2004Predective Density and Conditional Confidence Interval Accuracy Tests.(2004) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 57
paper
2007Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data In: Journal of Econometrics.
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article22
2003Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data.(2003) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 22
paper
2009Predictive density estimators for daily volatility based on the use of realized measures In: Journal of Econometrics.
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article14
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: 14
paper
2011Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models In: Journal of Econometrics.
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article3
2009Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models.(2009) In: Working Papers.
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paper
2011Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models.(2011) In: Post-Print.
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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.
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paper
2014Testing overidentifying restrictions with many instruments and heteroskedasticity In: Journal of Econometrics.
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article17
2011Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity.(2011) In: Departmental Working Papers.
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paper
2014Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence In: Journal of Econometrics.
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article58
2011Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence.(2011) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 58
paper
2014Testing for structural stability of factor augmented forecasting models In: Journal of Econometrics.
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article35
2013Testing for Structural Stability of Factor Augmented Forecasting Models.(2013) In: Departmental Working Papers.
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paper
2015Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction In: Journal of Econometrics.
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article43
2013Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction.(2013) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 43
paper
2018Testing for jumps and jump intensity path dependence In: Journal of Econometrics.
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article2
1997An introduction to stochastic unit-root processes In: Journal of Econometrics.
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article86
1996An introduction to stochastic Unit Root Processes..(1996) In: Pennsylvania State - Department of Economics.
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2000The econometric consequences of the ceteris paribus condition in economic theory In: Journal of Econometrics.
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article6
2000Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes In: Journal of Econometrics.
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article31
1996Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes..(1996) In: Pennsylvania State - Department of Economics.
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2011In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008 In: Journal of Empirical Finance.
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2011In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008.(2011) In: Departmental Working Papers.
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2021Forecasting volatility using double shrinkage methods In: Journal of Empirical Finance.
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article0
1997Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models In: International Journal of Forecasting.
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2004Forecasting economic and financial time-series with non-linear models In: International Journal of Forecasting.
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2003Forecasting economic and financial time-series with non-linear models.(2003) In: Departmental Working Papers.
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2004Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives In: International Journal of Forecasting.
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2003Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives.(2003) In: Departmental Working Papers.
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2009Comments on Forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
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2018Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods In: International Journal of Forecasting.
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2019Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes In: International Journal of Forecasting.
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2004The volume of federal litigation and the macroeconomy In: International Review of Law and Economics.
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2003The Volume of Federal Litigation and the Macroeconomy.(2003) In: Departmental Working Papers.
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2002The Volume of Federal Litigation and the Macroeconomy.(2002) In: Working Papers.
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2002Comments on A vector error-correction forecasting model of the US economy In: Journal of Macroeconomics.
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article2
1998Money and output viewed through a rolling window In: Journal of Monetary Economics.
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2015Prediction and simulation using simple models characterized by nonstationarity and seasonality In: International Review of Economics & Finance.
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2013Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality.(2013) In: Departmental Working Papers.
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2001Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error In: Discussion Papers.
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2001A Randomized Procedure for Choosing Data Transformation In: Discussion Papers.
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2008Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments In: Working Papers.
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paper3
2011Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments.(2011) In: Departmental Working Papers.
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2010Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments.(2010) In: Econometric Reviews.
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2009Real-time datasets really do make a difference: definitional change, data release, and forecasting In: Working Papers.
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2011Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting.(2011) In: Departmental Working Papers.
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1995A Rolling Window Analysis of the Marginal Predictive Content of Money for Real Output. In: Pennsylvania State - Department of Economics.
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1995LM Tests and Nonlinear Error Correction in Economic Time Series. In: Pennsylvania State - Department of Economics.
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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.
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paper0
1995A Models Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks. In: Pennsylvania State - Department of Economics.
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1997A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks.(1997) In: The Review of Economics and Statistics.
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1995A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks.(1995) In: Macroeconomics.
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1995Further Developments in the Study of Cointegrated Variables. In: Pennsylvania State - Department of Economics.
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paper5
2010Further Developments in the Study of Cointegrated Variables.(2010) In: Journal of Financial Econometrics.
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article
1996Forecasting Economic Time series Using Adaptive Versus Nonadaptive and Linecar Versus Nonlinear Econometric Models. In: Pennsylvania State - Department of Economics.
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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.
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paper9
1996Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection. In: Pennsylvania State - Department of Economics.
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paper0
1994Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions. In: Pennsylvania State - Department of Economics.
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2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence In: Econometrics.
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2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section In: Econometrics.
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2007NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review.
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2006Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.(2006) In: Departmental Working Papers.
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2010International evidence on the efficacy of new-Keynesian models of inflation persistence In: Journal of Applied Econometrics.
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2006International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2006) In: Departmental Working Papers.
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2011International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2011) In: Departmental Working Papers.
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2006International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2006) In: Working Papers.
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2010International evidence on the efficacy of new‐Keynesian models of inflation persistence.(2010) In: Journal of Applied Econometrics.
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2001Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection. In: Journal of Forecasting.
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2007How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models In: Journal of Money, Credit and Banking.
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2007How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models.(2007) In: Journal of Money, Credit and Banking.
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2005Predicting Inflation: Does The Quantity Theory Help? In: Economic Inquiry.
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2003Predicting Inflation: Does The Quantity Theory Help?.(2003) In: Departmental Working Papers.
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1996BOOK REVIEW of “Statistical Foundations for Econometric Techniques” by Asad Zaman In: MPRA Paper.
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2003Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments In: Departmental Working Papers.
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2003The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation In: Departmental Working Papers.
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2003A Test for Comparing Multiple Misspecified Conditional Distributions In: Departmental Working Papers.
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2004Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection In: Departmental Working Papers.
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2006How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version In: Departmental Working Papers.
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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.
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2006The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives In: Departmental Working Papers.
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