Computer Programs



Software Used in Papers

Cai, Lili and Norman R. Swanson, 2009, final code - full sample ``An Empirical Assessment of Spot Rate Model Stability",

·  readme

·  code for constructing the test -- txt files are getting messed up in this internet version - use next doc version of the file until I fix the problem

·  main program for calculating test, etc.

Corradi, Valentina and Norman R. Swanson, 2009, final code - bootstrap=5 --``Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models",

·  readme

·  main program for calculating test, etc. -- txt files are getting messed up in this internet version - use next doc version of the file until I fix the problem

·  main program for calculating test, etc.

Corradi, Valentina, Andres Fernandez and Norman R. Swanson, 2008, final code - both tests plus examples, etc. --``Information in the Revision Process of Real-Time Data",

·  Zip file with readme, data, and all programs except the "two test" program that is in the next set of files and calculates both tests for a generic real-time dataset rather than just the single test used in the paper-- very user friendly!

·  Zip file with readme, data, and all programs -- two tests

Corradi, Valentina and Norman R. Swanson, 2003, "Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data"

·  test program 1

·  test program 2

·  test program 3

·  test program 4

Corradi, Valentina and Norman R. Swanson, 2004, "Predictive Density and Conditional Confidence Interval Accuracy Tests,"

·  bootstrap and test statistics program

Korenok, Oleg and Norman R. Swanson, 2005, ``How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models",

·  distributional accuracy test program (compares distributions of y(t) and inflation(t))

Bhardwaj, Geetesh and Norman R. Swanson, 2004, "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series", please contact me if you cannot obtain access to the directory with the programs in it.

·  Readme

·  Programs

Corradi, Valentina and Norman R. Swanson, 2006, "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes"

·  Monte Carlo Program I

·  Monte Carlo Program II

·  Empirical Program I

·  Empirical Program II

Bhardwaj, Geetesh, Valentina Corradi and Norman R. Swanson, 2006, "A Simulation Based Specification Test for Diffusion Processes",

·  Readme

·  Empirical Program I

·  Empirical Program II

·  Monte Carlo Program

Korenok, Oleg and Norman R. Swanson, 2006, ``International Evidence on the Efficacy of New-Keynesian Models of Inflation Persistenc",

·  Readme

·  CS tests

·  MLE

·  ResidStats

·  TheoreticalACF

·  Support Programs

Armah, Nii Ayi and Norman R. Swanson, 2008, ``Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments",

·  Readme

·  main program 1

·  main program 2

·  main program 1 procedures

·  main program 2 procedures

·  data

·  Tcodes (data transformation selections)