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.