List of Downloadable Papers
Please note that some of the papers available for download are preliminary. Comments are most welcome!!! All files are PDF unless otherwise noted.
Jerry H. Hausman, Whitney K. Newey, Tieman Woutersen, John C. Chao and Norman R. Swanson, 2008,
Instrumental Variable Estimation with Heteroskedasticity and Many Instruments
John C. Chao, Norman R. Swanson, Jerry H. Hausman, Whitney K. Newey and Tieman Woutersen, 2007,
Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments
Valentina Corradi, Walter Distaso and Norman R. Swanson, 2007,
UNDER REVISION -- Predictive Inference for Integrated Volatility
Corradi, Valentina, Andres Fernandez and Norman R. Swanson, 2007,
Information in the Revision Process of Real-Time Data
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
Armah, Nii Ayi and Norman R. Swanson, 2006,
Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output
Korenok, Oleg and Norman R. Swanson, 2006,
International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence
Valentina Corradi, Walter Distaso and Norman R. Swanson, revised 2006,
Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
Korenok, Oleg and Norman R. Swanson, 2005,
The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives
Bhardwaj, Geetesh, Valentina Corradi and Norman R. Swanson, Working Paper Version, 2005,
A Simulation Based Specification Test for Diffusion Processes
Bhardwaj, Geetesh, Valentina Corradi and Norman R. Swanson, Working Paper Version, Revised Version, 2007,
A Simulation Based Specification Test for Diffusion Processes
Swanson, Norman R. and Richard Urbach, 2007,
Simulation and Prediction Evidence on the Usefulness of Seasonal Models under revision
Swanson, Norman R. and Richard Urbach, 2005,
Simulation and Prediction Evidence on the Usefulness of Seasonal Unit Root Models (old and substantially revised working paper version) under revision
Swanson, Norman R. and Richard Urbach, 2007,
Appendix to Accompany Simulation and Prediction Evidence on the Usefulness of Seasonal Unit Root Models
Bhardwaj, Geetesh and Norman R. Swanson, 2005,
A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects.
Korenok, Oleg and Norman R. Swanson, 2006a,
How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version
Korenok, Oleg and Norman R. Swanson, 2006b,
How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models.
Corradi, V. and N.R. Swanson, 2005,
Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.
Corradi, V. and N.R. Swanson, 2005,
Predictive Density Evaluation.
Handbook of Forecasting.
Chao, J. and N.R. Swanson, 2004,
Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments -- Under Revision.
Corradi, V. and N.R. Swanson, 2004 (revised),
Predictive Density and Conditional Confidence Interval Accuracy Tests,
Journal of Econometrics.
Chao, J. and N.R. Swanson, final revision 2005
Consistent Estimation With a Large Number of Weak Instruments,
Econometrica.
Chao, J. and N.R. Swanson, 2002,
Consistent Estimation With a Large Number of Weak Instruments
Bhardwaj, Geetesh and Norman R. Swanson, revised 2004,
An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series,
Journal of Econometrics.
Clements, Mike, Philip Hans Franses and Norman R. Swanson, 2003,
Forecasting Economic and Financial Time-Series With Non-Linear Models,
International Journal of Forecasting.
Bachmeier, Lance and Norman R. Swanson, 2004,
Predicting Inflation: Does The Quantity Theory Help?
Economic Inquiry.
Chao, John C. and Norman R. Swanson, 2003,
Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments.
Corradi, V. and N.R. Swanson, 2005 (final version),
Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data,
Journal of Econometrics.
Corradi, V. and N.R. Swanson, 2003,
A Test for the Distributional Comparison of Simulated and Historical Data,
Economic Letters.
Corradi, V. and N.R. Swanson, 2003,
Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification,
Journal of Econometrics.
Corradi, V. and N.R. Swanson, final revision 2005,
A Test For Comparing Multiple Misspecified Conditional Interval Models,
Econometric Theory.
Corradi, V. and N.R. Swanson, revised 2003,
A Bootstrap Specification Test For Diffusion Processes,
Journal of Econometrics.
Corradi, V. and N.R. Swanson, revised 2003,
The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test,
Journal of Econometrics.
Chao, J.C. and N.R. Swanson, 2005 (final),
Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with Application to Bias Correction.
Chao, J.C. and N.R. Swanson, 2000, revised 2001,
(early version of the above paper) Bias and MSE Analysis of the IV Estimator Under Weak Identification with Application to Bias Correction.
Note: 2 figures are missing from this pdf file - all else is there!!
Swanson, N.R. and D. van Dijk, revised 2004,
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry.
Corradi, V. and N.R. Swanson, revised 2003,
Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
, International Journal of Forecasting.
Bachmeier, L., P. Gaughan and N.R. Swanson, 2003,
Volume of Federal Litigation and the Macroeconomy
, International Review of Law and Economics.
Chen, X., J. Racine and N.R. Swanson, 2001,
Semiparametric ARX Neural Network Models with an Application to Forecasting Inflation
, IEE Transactions in Neural Networks.
Chao, J.C., V. Corradi and N.R. Swanson, 2001,
Data Transformation and Forecasting In Models With Unit Roots and Cointegration,
Journal of Economics and Finance.
Amato, J. and N.R. Swanson, 2001,
The Real-Time Predictive Content of Money for Output.
Journal of Monetary Economics.
Chao, John C., V. Corradi, and N.R. Swanson, 2001,
An Out-of-Sample Test for Granger Causality.
Macroeconomic Dynamics.
Corradi, V. and N.R. Swanson, 2002,
A Consistent Test for Nonlinear Out-of-Sample Predictive Accuracy.
Journal of Econometrics.
Breitung, J. and N.R. Swanson, 2002,
Temporal Aggregation and Causality in Multiple Time Series Models.
Journal of Time Series Analysis.
Krishna, K., A. Ozyildirim and N.R. Swanson, 2002,
Trade, Investment and Growth: Nexus, Analysis and Prognosis.
Journal of Development Economics.
Ghysels, E., N. Swanson and M. Callan, 2000,
Monetary Policy Rules with Model and Data Uncertainty.
Additional Tables.
Southern Economic Journal.
Christoffersen, P., E. Ghysels and N.R. Swanson, 2002,
Let's Get "Real" About Using Economic Data.
Journal of Empirical Finance.
Bierens, H. and N.R. Swanson, 2000,
The Econometric Consequences of the Ceteris Paribus Condition in Theoretical Economics,
Journal of Econometrics.
Corradi, V., N.R. Swanson, and C. Olivetti, 2001,
Predictive Ability with Cointegrated Variables.
Journal of Econometrics.
Kocagil, A., N.R. Swanson and T. Zeng, 2001,
A New Definition for Time-Dependent Price Mean Reversion in Commodity Markets,
Economic Letters.
Chao, J. and N.R. Swanson, 2000,
Tests for Nonnested Hypotheses in Nonsationary Regressions With an Application to Modelling Industrial Production.
Macroeconomic Dynamics.
Swanson, N.R., A. Ozyildirim and M. Pisu, 2001,
A Comparison of Alternative Causality and Predictive Accuracy Tests in the Presence of Integrated and Cointegrated Economic Variables,
Computer Aided Econometrics.
Swanson, N.R., 1996, Forecasting Using First Available Versus Fully Revised Economic Time Series Data, Studies in Nonlinear Dynamics and Econometrics.
Zeng, T. and N.R. Swanson, 1998,
Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets,
Studies in Nonlinear Dynamics and Econometrics.
Swanson, N.R., and H. White, 1995,
A Model Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks,
Journal of Business and Economic Statistics.
Papers Available in Postcript Downloadable Form
Swanson, N.R., E. Ghysels and M. Callan, 1999,
A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator
. Cointegration, Causality and Forecasting: Festschrift in Honor of Clive W.J. Granger.
Postscript Version.
Corradi, V., N.R. Swanson, and H. White, 2000,
Testing for Stationarity-Ergodicity and for Comovement Between Nonlinear Discrete Time Markov Processes,
Journal of Econometrics, 96, 39-73.
Postscript Version.
Granger, C.W.J. and N.R. Swanson, 1997,
An Introduction to Stochastic Unit Root Processes,
Journal of Econometrics, 80, 35-62.
Postscript Version.
Swanson, N.R. and C.W.J. Granger, 1997,
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions,
Journal of the American Statistical Association, 92, 357-367.
Postscript Version.
Swanson, N.R. and H. White, 1997,
A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks,
Review of Economics and Statistics, 79, 540-550.
Postscript Version.
Swanson, N.R. and P.H. Franses, 1999,
Nonlinear Econometric Modelling: A Selective Review,
Nonlinear Time Series Analysis of Economic and Financial Data, eds. Philip Rothman. Kluwer Academic Press.
Postscript Version.
Swanson, N.R. and H. White, 1997,
Forecasting Economic Time Series Using Adaptive Versus Nonadaptive and Linear Versus Nonlinear Econometric Models,
International Journal of Forecasting, 13, 439-461.
Postscript Version.
Tables,
Postscript Version.
Swanson, N.R., 1998,
Money and Output Viewed Through a Rolling Window,
Journal of Monetary Economics, 41, 455-474.
Postscript Version.
Tables,
Postscript Version.
Figure 1,
Postscript Version.
Figure 2,
Postscript Version.
Swanson, N.R., and T. Zeng, 2000,
Choosing Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection,
Journal of Forecasting, forthcoming,
Postscript Version.