* Computer Programs *

*Bruce Mizrach, Norman R. Swanson and Bo Yu, 2018, Disentangling the Effects of News, Small Jumps, and Large Jumps on Stock Return Predictability"
*· Code - contact for data files

· Readme file

*Norman R. Swanson, and Weiqi Xiong, 2018, ``Predicting Interest Rates Using Shrinkage Methods,Real-Time Diffusion Indexes, and Model Combinations"
*· Code and Readme File - contact for data files

*Mingmian Cheng, Norman R. Swanson, and Xiye Yang, 2018, ``Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility"
*· All Code and Readme File

*Mingmian Cheng and Norman R. Swanson, 2018, ``A Comparison of Fixed and Long Time Span Jump Tests: Are We Finding Too Many Jumps?"
*· All Code and Readme File

*Sainan Jin, Valentina Corradi, and Norman R. Swanson, 2018, ``Robust Forecast Superiority Testing with an Application to
Assessing Pools of Expert Forecasters**"
*· Monte Carlo Code and Readme File

*Jessica Schlossberg and Norman R. Swanson, 2018, ``Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession**"*
· All Code and Readme File (except for 5 second frequency dataset)

*Corradi, Valentina, Mervyn J. Silvapulle and Norman R. Swanson, 2018,
``Testing for Jumps and Jump Intensity Path Dependence**"*
· Monte Carlo Code for Jump and Self Excitement Tests

Supplemental Monte Carlo Results,
``Testing for Jumps and Jump Intensity Path Dependence*"*
· Monte Carlo readme pdf file, and excel files

*Swanson, Norman R. and Weiqi Xiong, 2017, ``Big Data Analytics In Economics:
What Have We Learned So Far, And Where Should We Go From Here?''*
· Empirical Code for DNS and PCA Analysis

*Kim, Hyun Hak and Norman R. Swanson, 2016,
``Methods for Pastcasting, Nowcasting and Forecasting Using Factor-MIDAS**"*
· Zip File Containing all code for the paper.

*Kim, Hyun Hak and Norman R. Swanson, 2016,
``Mining Big Data Using Parsimonious Factor, Machine Learning, Variable Selection, and Shrinkage Methods**"*
· Zip File Containing all code for the paper.

*Corradi, Valentina and Norman R. Swanson, 2014,
``Testing for Structural Stability of Factor Augmented Forecasting Models**"*
· Zip file containing Readme and programs.

*Kim, Hyun Hak and and Norman R. Swanson, 2014,
``Forecasting Financial and Macroeconomic Variables Using Data Reduction Metohds: New Empirical Evidence**"*
· Zip File Containing code for the paper.

· One additional program that was missing from zip file.

*Diep and and Norman R. Swanson, 2013,
``Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction**"*
· SAS file for filtering out 5 minute data (or whatever frequency). This is based on the last tick method.

· Gauss code for in-sample regression and out-of-sample
regressions, and DM tests, applied to time series of variations and power variations exported from SAS (One can re-arrange
the explanatory variables depending the way SAS time series are organized and exported.).

*COMING SOON Duong, Diep and and Norman R. Swanson, 2011,
``Volatility in Discrete and Contiinuous Time Models: A Survey with New Evidence on Large and Small Jumps**"*
· readme

· Programs

*Corradi, Valentina, Walter Distaso and and Norman R. Swanson, 2011,
``Predictive Inference for Integrated Volatility**" (Monte Carlo programs for no-noise or jumps, noise, and jumps cases)*
· Monte Carlo Program I

· Monte Carlo Program II

· Monte Carlo Program III

*Corradi, Valentina and Norman R. Swanson, 2009,
``Predictive Density Construction and Accuracy Testing with Multiple Possibly
Misspecified Diffusion Models**" (code for block length=5)*
· readme

· main program for calculating test, etc.

· main program for calculating test, etc. - doc version

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

*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)

*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

*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"
*
· Readme

· Zipped code

*Corradi, Valentina and Norman R. Swanson, 2004, "Predictive Density and Conditional
Confidence Interval Accuracy Tests"*
· bootstrap and test statistics program

*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