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.



  • Andres Fernandez and Norman R. Swanson, 2009, Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release and Forecasting
  • Valentina Corradi and Norman R. Swanson, 2009, Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models
  • Lili Cai and Norman R. Swanson, 2009, An Empirical Assessment of Spot Rate Model Stability
  • Jerry H. Hausman, Whitney K. Newey, Tieman Woutersen, John C. Chao and Norman R. Swanson, 2009, Instrumental Variable Estimation with Heteroskedasticity and Many Instruments
  • John C. Chao, Norman R. Swanson, Jerry H. Hausman, Whitney K. Newey and Tieman Woutersen, 2009, Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments
  • Valentina Corradi, Walter Distaso and Norman R. Swanson, 2009, Predictive Inference for Integrated Volatility
  • Valentina Corradi, Andres Fernandez and Norman R. Swanson, 2009, Information in the Revision Process of Real-Time Data
  • Nii Ayi Armah and Norman R. Swanson, 2008, Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments
  • Oleg Korenok and Norman R. Swanson, 2008, 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
  • Nii Ayi Armah and Norman R. Swanson, 2006, Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output
  • Oleg Korenok and Norman R. Swanson, 2005, The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives
  • Geetesh Bhardwaj, Valentina Corradi and Norman R. Swanson, Working Paper Version, 2005, A Simulation Based Specification Test for Diffusion Processes
    Geetesh Bhardwaj, Valentina Corradi and Norman R. Swanson, Working Paper Version, Revised Version, 2007, A Simulation Based Specification Test for Diffusion Processes
  • Norman R. Swanson and Richard Urbach, 2007, Simulation and Prediction Evidence on the Usefulness of Seasonal Models under revision
  • Norman R. Swanson 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
  • Norman R. Swanson and Richard Urbach, 2007, Appendix to Accompany Simulation and Prediction Evidence on the Usefulness of Seasonal Unit Root Models
  • Geetesh aBhardwajnd 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.
  • Oleg Korenokand Norman R. Swanson, 2006a, How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version
  • Oleg Korenokand Norman R. Swanson, 2006b, How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models.
  • Valentina Corradi and N.R. Swanson, 2005, Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.
  • Valentina Corradi and Norman R. Swanson, 2005, Predictive Density Evaluation. Handbook of Forecasting.
  • John Chao and Norman R. Swanson, 2004, Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments -- Under Revision.
  • Valentina Corradi and Norman R. Swanson, 2004 (revised), Predictive Density and Conditional Confidence Interval Accuracy Tests, Journal of Econometrics.
  • John Chao and Norman R. Swanson, final revision 2005 Consistent Estimation With a Large Number of Weak Instruments, Econometrica.
  • John Chao and Norman R. Swanson, 2002, Consistent Estimation With a Large Number of Weak Instruments
  • Geetesh Bhardwaj 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.
  • Mike Clements, Philip Hans Franses and Norman R. Swanson, 2003, Forecasting Economic and Financial Time-Series With Non-Linear Models, International Journal of Forecasting.
  • Lance Bachmeier and Norman R. Swanson, 2004, Predicting Inflation: Does The Quantity Theory Help? Economic Inquiry.
  • John C. Chao and Norman R. Swanson, 2003, Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments.
  • Valentina Corradi and Norman R. Swanson, 2005 (final version), Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data, Journal of Econometrics.
  • Valentina Corradi and Norman R. Swanson, 2003, A Test for the Distributional Comparison of Simulated and Historical Data, Economic Letters.
  • Valentina Corradi and Norman R. Swanson, 2003, Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification, Journal of Econometrics.
  • Valentina Corradi and Norman R. Swanson, final revision 2005, A Test For Comparing Multiple Misspecified Conditional Interval Models, Econometric Theory.
  • Valentina Corradi and Norman R. Swanson, revised 2003, A Bootstrap Specification Test For Diffusion Processes, Journal of Econometrics.
  • Valentina Corradi and Norman 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.
  • John C. Chao and Norman R. Swanson, 2005 (final), Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with Application to Bias Correction.
  • John C. Chao and Norman 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!!
  • Norman R. Swanson and Dick van Dijk, revised 2004, Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry.
  • Valentina Corradi and Norman R. Swanson, revised 2003, Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives, International Journal of Forecasting.
  • Lance Bachmeier, Patrick Gaughan and Norman R. Swanson, 2003, Volume of Federal Litigation and the Macroeconomy, International Review of Law and Economics.
  • Xiaohong Chen, Jeffrey Racine and Norman R. Swanson, 2001, Semiparametric ARX Neural Network Models with an Application to Forecasting Inflation, IEE Transactions in Neural Networks.
  • John C. Chao, Valentian Corradi and Norman R. Swanson, 2001, Data Transformation and Forecasting In Models With Unit Roots and Cointegration, Journal of Economics and Finance.
  • Jeffrey Amato and Norman R. Swanson, 2001, The Real-Time Predictive Content of Money for Output. Journal of Monetary Economics.
  • John C. Chao, Valentina Corradi and Norman R. Swanson, 2001, An Out-of-Sample Test for Granger Causality. Macroeconomic Dynamics.
  • Valentina Corradi and Norman R. Swanson, 2002, A Consistent Test for Nonlinear Out-of-Sample Predictive Accuracy. Journal of Econometrics.
  • Joerg Breitung and Norman R. Swanson, 2002, Temporal Aggregation and Causality in Multiple Time Series Models. Journal of Time Series Analysis.
  • Kala Krishna, Ataman Ozyildirim and Norman R. Swanson, 2002, Trade, Investment and Growth: Nexus, Analysis and Prognosis. Journal of Development Economics.
  • Eric Ghysels, Norman R. Swanson and Myles Callan, 2000, Monetary Policy Rules with Model and Data Uncertainty. Additional Tables. Southern Economic Journal.
  • Peter Christoffersen, Eric Ghysels and Norman R. Swanson, 2002, Let's Get "Real" About Using Economic Data. Journal of Empirical Finance.
  • Herman Bierens and Norman R. Swanson, 2000, The Econometric Consequences of the Ceteris Paribus Condition in Theoretical Economics, Journal of Econometrics.
  • Valentina Corradi, Norman R. Swanson, and Claudia Olivetti, 2001, Predictive Ability with Cointegrated Variables. Journal of Econometrics.
  • Ahmet Kocagil, Norman R. Swanson and Tian Zeng, 2001, A New Definition for Time-Dependent Price Mean Reversion in Commodity Markets, Economic Letters.
  • John C. Chao and Norman R. Swanson, 2000, Tests for Nonnested Hypotheses in Nonsationary Regressions With an Application to Modelling Industrial Production. Macroeconomic Dynamics.
  • Norman R. Swanson, Ataman Ozyildirim and Maria Pisu, 2001, A Comparison of Alternative Causality and Predictive Accuracy Tests in the Presence of Integrated and Cointegrated Economic Variables, Computer Aided Econometrics.
  • Norman R. Swanson, 1996, Forecasting Using First Available Versus Fully Revised Economic Time Series Data, Studies in Nonlinear Dynamics and Econometrics.
  • Tian Zeng and Norman R. Swanson, 1998, Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets, Studies in Nonlinear Dynamics and Econometrics.
  • Norman R. Swanson and Halbert 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.