Norman R. Swanson

Available identifiers

zbMath Open swanson.norman-rasmusMaRDI QIDQ197312

List of research outcomes

Publication	Date of Publication	Type
Jackknife estimation of a cluster-sample IV regression model with many weak instruments	2023-06-29	Paper
Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession	2020-12-09	Paper
Combining Two Consistent Estimators	2020-11-10	Paper
An Expository Note on the Existence of Moments of Fuller and HFUL Estimators	2020-11-10	Paper
Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps	2020-07-10	Paper
Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps	2020-07-10	Paper
Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets	2018-12-13	Paper
Instrumental variable estimation with heteroskedasticity and many instruments	2018-12-04	Paper
Testing for jumps and jump intensity path dependence	2018-05-25	Paper
ROBUST FORECAST COMPARISON	2017-10-25	Paper
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models	2016-08-10	Paper
Predictive density estimators for daily volatility based on the use of realized measures	2016-07-04	Paper
The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test	2016-06-10	Paper
Predictive density and conditional confidence interval accuracy tests	2016-06-10	Paper
An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series	2016-06-10	Paper
Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction	2016-05-04	Paper
Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data	2016-05-02	Paper
Bootstrap conditional distribution tests in the presence of dynamic misspecification	2016-04-25	Paper
Bootstrap specification tests for diffusion processes	2016-03-24	Paper
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction	2015-06-08	Paper
Testing overidentifying restrictions with many instruments and heteroskedasticity	2014-08-07	Paper
Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence	2014-08-06	Paper
Testing for structural stability of factor augmented forecasting models	2014-06-04	Paper
A test for the distributional comparison of simulated and historical data	2013-01-01	Paper
ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS	2012-03-29	Paper
Predictive Inference for Integrated Volatility	2012-03-22	Paper
Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments	2010-12-15	Paper
Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects	2007-07-23	Paper
Temporal aggregation and spurious instantaneous causality in multiple time series models	2007-05-29	Paper
Consistent Estimation with a Large Number of Weak Instruments	2006-10-24	Paper
A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS	2006-03-08	Paper
Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data	2006-01-27	Paper
Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets	2006-01-27	Paper
A consistent test for nonlinear out of sample predictive accuracy.	2003-02-17	Paper
https://portal.mardi4nfdi.de/entity/Q2783447	2002-07-02	Paper
The econometric consequences of the ceteris paribus condition in economic theory	2001-09-17	Paper
A new definition for time-dependent price mean reversion in commodity markets	2001-08-20	Paper
TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION	2001-06-11	Paper
Predictive ability with cointegrated variables	2001-01-01	Paper
Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes	2000-01-01	Paper
Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations	1999-10-05	Paper
An introduction to stochastic unit-root processes	1998-05-03	Paper
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions	1997-11-18	Paper

Research outcomes over time

Doctoral students

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