Papers

Some of the papers available for download are preliminary. Comments welcome. All files are PDF unless otherwise noted.





Unpublished Working Papers

Ali Kabiri, John Landon-Lane, Kaiwen Qiu, Norman R. Swanson, Jacob Turton, and David Tuckett, 2023, The Impact of Sentiment on Judgement and Econometric Model Based Forecasts
John C. Chao, Yang Liu, Kaiwen Qui and Norman R. Swanson, 2024, Consistent Estimation, Variable Selection, and Forecasting in Factor-Augmented VAR Models
          Online Supplement for "Consistent Estimation, Variable Selection, and Forecasting in Factor-Augmented VAR Models"
          John C. Chao and Norman R. Swanson, 2022, Consistent Estimation, Variable, Selection, and Forecasting in Factor-Augmented VAR Models
          This paper is an extended and earlier 'not-for-publication' version of the above paper
          Technical Appendix
Arpita Mukherjee and Norman R. Swanson, 2021, Evidence on the Importance of Volatility Density Forecasting for Financial Risk Management
Patrick Gaughan, Norman R. Swanson, and Ji Zhang 2013, An Analysis of Macroeconomic Fluctuations on the Number of Patents Awarded in the United States
John Chao and Norman R. Swanson, 2004, Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments

Published Papers

Kenwin Maung and Norman R. Swanson, 2025, A Survey of Models and Methods for Forecasting Financial Market Returns and Risk, International Journal of Forecasting
Spyros Makridakis, Evangelos Spiliotis, Ross Hollyman, Fotios Petropoulos, Norman R. Swanson, and Anil Gaba, 2025, The M6 Forecasting Competition: Bridging the Gap Between Forecasting and Investment Decisions, International Journal of Forecasting
Weijia Peng, Norman R. Swanson, Xiye Yang, and Chun Yao, 2023, Macroeconomic and Financial Uncertainty Measures in a Big Data Environment, Journal of the Royal Statistical Society, Series C
          Supplemental Appendix
Yang Liu and Norman R. Swanson, 2023, An Assessment of the Marginal Predictive Content of Economic Uncertainty Indexes and Business Conditions Predictors, International Journal of Forecasting
          Online Supplement for "An Assessment of the Marginal Predictive Content of Economic Uncertainty Indexes and Business Conditions Predictors"
John C. Chao, Norman R. Swanson, and Tiemen Woutersen 2022, Jackknife Estimation of a Cluster-Sample IV Regression Model with Many Weak Instruments, Journal of Econometrics
          Supplemental Appendix
          Additional Online Appendix
Valentina Corradi, Sainan Jin, and Norman R. Swanson, 2022, Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters, Journal of Applied Econometrics
          Supplemental Appendix
Kihwan Kim, Hyun Hak Kim and Norman R. Swanson, 2022, Mixing Mixed Frequency and Diffusion Indices in Good Times and in Bad: An Assessment Based on Historical Data Around the Great Recession of 2008, Empirical Economics.
Mingmian Cheng, Norman R. Swanson and Xiye Yang, 2021, Forecasting Volatility Using Double Shrinkage Methods, Journal of Empirical Finance.
Bo Yu, Bruce Mizrach, and Norman R. Swanson 2020, New Evidence of the Marginal Predictive Content of Small and Large Jumps, Econometrics.
          Supplemental Appendix
Norman R. Swanson, Weiqi Xiong, and Xiye Yang, 2020, Predicting Interest Rates Using Shrinkage Methods, Real-Time Diffusion Indexes, and Model Combinations, Journal of Applied Econometrics.
Oguzhan Cepni, I. Ethem Guney, and Norman R. Swanson, 2020, Forecasting and Nowcasting Emerging Market GDP Growth Rates: The Role of Latent Global Economic Policy Uncertainty and Macroeconomic Data Surprise Factors, Journal of Forecasting.
          Supplemental Appendix
Arpita Mukherjee, Weijia Peng, Norman R. Swanson, and Xiye Yang, 2020, Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps, Handbook of Statistics.
Mingmian Cheng, Norman R. Swanson, and Chun Yao, 2020, Forecast Evaluation, Macroeconomic Forecasting in the Era of Big Data.
Jessica Schlossberg and Norman R. Swanson, 2020, Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession, Handbook of Financial Econometrics, Mathematics, Statistics and Technology.
Mingmian Cheng and Norman R. Swanson, 2019, Fixed and Long Time Span Jump Tests: Further Monte Carlo and Empirical Evidence, Econometrics.
Hal Pedersen and Norman R. Swanson, 2019, A Survey of Dynamic Nelson-Siegel Models, Diffusion Indexes, and Big Data Methods for Predicting Interest Rates, Quantitative Finance and Economics.
Oguzhan Cepni, I. Ethem Guney and Norman R. Swanson, 2019, Nowcasting and Forecasting GDP in Emerging Markets Using Global Financial and Macroeconomic Diffusion Indexes, International Journal of Forecasting.
Valentina Corradi, Mervyn J. Silvapulle and Norman R. Swanson, 2018, Testing for Jumps and Jump Intensity Path Dependence, Journal of Econometrics.
          Supplemental Monte Carlo Results
          Supplemental Empirical Results
Arpita Mukherjee, Weijia Peng, Norman R. Swanson and Xiye Yang, 2018, Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps, Handbook of Statistics.
Hyun Hak Kim and Norman R. Swanson, 2017, Methods for Pastcasting, Nowcasting and Forecasting Using Factor-MIDAS: With An Application to Korean GDP, Journal of Forecasting.
          Online Appendix
Norman R. Swanson and Weiqi Xiong, 2017, Big Data Analytics In Economics: What Have We Learned So Far, And Where Should We Go From Here?, Canadian Journal of Economics.
Sainan Jin, Valentina Corradi, and Norman R. Swanson, 2017, Robust Forecast Comparison, Econometric Theory.
          Supplemental Materials
Andres Fernandez and Norman R. Swanson, 2017, Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release and Forecasting, Quantitative Finance and Economics.
Hyun Hak Kim and Norman R. Swanson, 2017, Mining Big Data Using Parsimonious Factor Machine Learning, Variable Selection, and Shrinkage Methods, replaces Mining Big Data Using Parsimonious Factor and Shrinkage Methods, International Journal of Forecasting.
          Preprint Version
Norman R. Swanson, 2016, Comment on: In-Sample Inference and Forecasting in Misspecified Factor Models by M. Carrasco and B. Rossi, Journal of Business and Economic Statistics.
          Preprint Version
Diep Duong and Norman R. Swanson, 2015, Empirical Evidence on The Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction, Journal of Econometrics.
Norman R. Swanson and Richard Urbach, 2015, Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality, International Review of Economics and Finance.
Valentina Corradi and Norman R. Swanson, 2014, Testing for Structural Stability of Factor Augmented Forecasting Models, Journal of Econometrics.
John C. Chao, Jerry H. Hausman, Whitney K. Newey, Norman R. Swanson, and Tiemen Woutersen, 2014, Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity, Journal of Econometrics.
Hyun Hak Kim and Norman R. Swanson, 2014, Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence, Journal of Econometrics.
Kihwan Kim and Norman R. Swanson, 2013, Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets, Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance.
John C. Chao, Jerry H. Hausman, Whitney K. Newey, Norman R. Swanson, and Tiemen Woutersen, 2012, An Expository Note on the Existence of Moments of Fuller and HFUL Estimators, Essays in Honor of Jerry Hausman: Advances in Econometrics vol. 29.
John C. Chao, Jerry H. Hausman, Whitney K. Newey, Norman R. Swanson, and Tiemen Woutersen, 2012, Combining Two Consistent Estimators, Essays in Honor of Jerry Hausman: Advances in Econometrics vol. 29.
Jerry H. Hausman, Whitney K. Newey, Tiemen Woutersen, John C. Chao and Norman R. Swanson, 2012, Instrumental Variable Estimation with Heteroskedasticity and Many Instruments, Quantitative Economics.
Valentina Corradi and Norman R. Swanson, 2012, A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance, Recent Advances and Future Directions in Causality, Prediction and Specification Analysis: Essays in Honor of Halber L. White Jr, Springer.
Diep Duong and Norman R. Swanson, 2012, Density and Conditional Distribution Based Specification Analysis, Handbook of Financial Econometrics and Statistics.
John C. Chao, Norman R. Swanson, Jerry H. Hausman, Whitney K. Newey and Tiemen Woutersen, 2012, Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments, Econometric Theory.
Valentina Corradi, Walter Distaso and Norman R. Swanson, 2011, Predictive Inference for Integrated Volatility, Journal of the American Statistical Association.
Expanded earlier working paper version: Predictive Inference for Integrated Volatility
Valentina Corradi and Norman R. Swanson, 2011, Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models, Journal of Econometrics.
Lili Cai and Norman R. Swanson, 2011, In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008, Journal of Empirical Finance.
Diep Duong and Norman R. Swanson, 2011, Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps, Missing Data Methods: Advances in Econometrics.
Nii Ayi Armah and Norman R. Swanson, 2011, Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators, Applied Financial Economics.
Nii Ayi Armah and Norman R. Swanson, 2010, Diffusion Index Models and Index Proxies: Recent Results and New Directions, European Journal of Pure and Applied Mathematics.
Nii Ayi Armah and Norman R. Swanson, 2010, Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments, Econometric Reviews.
Oleg Korenok, Stanislav Radchenko and Norman R. Swanson, 2010, International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence, Journal of Applied Econometrics.
Valentina Corradi, Andres Fernandez and Norman R. Swanson, 2009, Information in the Revision Process of Real-Time Data, Journal of Business and Economic Statistics.
Valentina Corradi, Walter Distaso and Norman R. Swanson, 2009, Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures, Journal of Econometrics.
Nii Ayi Armah and Norman R. Swanson, 2008, Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output, Forecasting in the Presence of Structural Breaks and Model Uncertainty.
Geetesh Bhardwaj, Valentina Corradi and Norman R. Swanson, 2008, A Simulation Based Specification Test for Diffusion Processes, Journal of Business and Economic Statistics.
Oleg Korenok and Norman R. Swanson, 2007, How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models., Journal of Money, Credit, and Banking.
Oleg Korenok and Norman R. Swanson, 2007, How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version
Valentina Corradi and N.R. Swanson, 2007, Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes, International Economic Review.
Valentina Corradi and Norman R. Swanson, 2007, Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data, Journal of Econometrics.
John C. Chao and Norman R. Swanson, 2007, Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with Application to Bias Correction, Journal of Econometrics
Early working paper version: 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!!
Valentina Corradi and Norman R. Swanson, 2006, Predictive Density Evaluation, Handbook of Economic Forecasting.
Valentina Corradi and Norman R. Swanson, 2006, Predictive Density and Conditional Confidence Interval Accuracy Tests, Journal of Econometrics.
Geetesh Bhardwaj and Norman R. Swanson, 2006, An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series, Journal of Econometrics.
John C. Chao and Norman R. Swanson, 2006, Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments, Econometric Theory and Practice: Festschrift in Honour of Peter C.B. Phillips.
Geetesh Bhardwaj and Norman R. Swanson, 2006, A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects., Nonlinear Time Series Analysis of Business Cycles.
Valentina Corradi and Norman R. Swanson, 2006, Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification, Journal of Econometrics.
Valentina Corradi and Norman R. Swanson, 2006, The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test, Journal of Econometrics.
Norman R. Swanson and Dick van Dijk, 2006, Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry, Journal of Business and Economic Statistics.
John Chao and Norman R. Swanson, 2005 Consistent Estimation With a Large Number of Weak Instruments, Econometrica.
John Chao and Norman R. Swanson, 2005, Consistent Estimation With a Large Number of Weak Instruments. Extended Working Paper Version
Lance Bachmeier and Norman R. Swanson, 2005, Predicting Inflation: Does The Quantity Theory Help?, Economic Inquiry.
Valentina Corradi and Norman R. Swanson, 2005, A Test For Comparing Multiple Misspecified Conditional Interval Models, Econometric Theory.
Oleg Korenok and Norman R. Swanson, 2005, The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives, Oxford Bulletin of Economics and Statistics.
Valentina Corradi and Norman R. Swanson, 2005, A Bootstrap Specification Test For Diffusion Processes, Journal of Econometrics.
Valentina Corradi and Norman R. Swanson, 2004, A Test for the Distributional Comparison of Simulated and Historical Data, Economic Letters.
Valentina Corradi and Norman R. Swanson, 2004, 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, 2004, The Volume of Federal Litigation and the Macroeconomy, International Review of Law and Economics.
Mike Clements, Philip Hans Franses and Norman R. Swanson, 2004, Forecasting Economic and Financial Time-Series With Non-Linear Models, International Journal of Forecasting.
Kala Krishna, Ataman Ozyildirim and Norman R. Swanson, 2003, Trade, Investment and Growth: Nexus, Analysis and Prognosis, Journal of Development Economics.
Norman R. Swanson, Ataman Ozyildirim and Maria Pisu, 2003, A Comparison of Alternative Causality and Predictive Accuracy Tests in the Presence of Integrated and Cointegrated Economic Variables, Computer Aided Econometrics.
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.
Eric Ghysels, Norman R. Swanson and Myles Callan, 2002, 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.
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, 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.
Swanson, N.R., and T. Zeng, 2001, Choosing Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection, Journal of Forecasting.
Herman Bierens and Norman R. Swanson, 2000, The Econometric Consequences of the Ceteris Paribus Condition in Theoretical Economics, Journal of Econometrics.
John C. Chao and Norman R. Swanson, 2000, Tests for Nonnested Hypotheses in Nonsationary Regressions With an Application to Modelling Industrial Production, Macroeconomic Dynamics.
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.
Swanson, N.R. and P.H. Franses, 1999, Nonlinear Econometric Modelling: A Selective Review, Nonlinear Time Series Analysis of Economic and Financial Data.
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.
Swanson, N.R., 1998, Money and Output Viewed Through a Rolling Window, Journal of Monetary Economics.
Tian Zeng and Norman R. Swanson, 1998, Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets, Studies in Nonlinear Dynamics and Econometrics.
Granger, C.W.J. and N.R. Swanson, 1997, An Introduction to Stochastic Unit Root Processes, Journal of Econometrics.
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.
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.
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.
Norman R. Swanson, 1996, Forecasting Using First Available Versus Fully Revised Economic Time Series Data, 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.