Details about Norman R. Swanson

Access statistics for papers by Norman R. Swanson.

Last updated 2009-11-04. Update your information in the RePEc Author Service.

Short-id: psw10

Working Papers

2009

1. Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
   Working Papers, Federal Reserve Bank of Philadelphia
2. Real-time datasets really do make a difference: definitional change, data release, and forecasting
   Working Papers, Federal Reserve Bank of Philadelphia

2008

3. Information in the revision process of real-time datasets
   Working Papers, Federal Reserve Bank of Philadelphia View citations
4. Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
   Working Papers, Federal Reserve Bank of Philadelphia View citations

2007

5. Instrumental variable estimation with heteroskedasticity and many instruments
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations

2006

6. A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects
   Departmental Working Papers, Rutgers University, Department of Economics
7. A Simulation Based Specification Test for Diffusion Processes
   Departmental Working Papers, Rutgers University, Department of Economics View citations
   See also Journal Article in Journal of Business & Economic Statistics (2008)
8. How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version
   Departmental Working Papers, Rutgers University, Department of Economics View citations
9. International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence
   Working Papers, VCU School of Business, Department of Economics View citations
   Also in Departmental Working Papers, Rutgers University, Department of Economics (2006) View citations
10. Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in International Economic Review (2007)
11. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article in Journal of Econometrics (2009)
12. Predictive Density Evaluation. Revised
    Departmental Working Papers, Rutgers University, Department of Economics View citations
13. Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output
    Departmental Working Papers, Rutgers University, Department of Economics View citations
14. Predictive Inference for Integrated Volatility
    Departmental Working Papers, Rutgers University, Department of Economics View citations
15. The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics

2004

16. Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction
    Yale School of Management Working Papers, Yale School of Management
    Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    Departmental Working Papers, Rutgers University, Department of Economics (2003) View citations
    See also Journal Article in Journal of Econometrics (2007)
17. An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in Journal of Econometrics (2006)
18. Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated
    Econometric Society 2004 North American Winter Meetings, Econometric Society
19. Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection
    Departmental Working Papers, Rutgers University, Department of Economics View citations
20. Consistent Estimation with a Large Number of Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics
    Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    See also Journal Article in Econometrica (2005)
21. Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations
22. Predective Density and Conditional Confidence Interval Accuracy Tests
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article in Journal of Econometrics (2006)
23. Predictive Density Accuracy Tests
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations
24. Predictive Density Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Chapter (2006)
25. Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2003

26. A Test for Comparing Multiple Misspecified Conditional Distributions
    Departmental Working Papers, Rutgers University, Department of Economics View citations
27. Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics View citations
28. Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in Journal of Econometrics (2006)
29. Bootstrap Specification Tests for Diffusion Processes
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in Journal of Econometrics (2005)
30. Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in Journal of Econometrics (2007)
31. Forecasting economic and financial time-series with non-linear models
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in International Journal of Forecasting (2004)
32. Predicting Inflation: Does The Quantity Theory Help?
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article in Economic Inquiry (2005)
33. Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in International Journal of Forecasting (2004)
34. The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics View citations
35. The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article in Journal of Econometrics (2006)
36. The Volume of Federal Litigation and the Macroeconomy
    Departmental Working Papers, Rutgers University, Department of Economics
    Also in Working Papers, East Carolina University, Department of Economics
    See also Journal Article in International Review of Law and Economics (2004)

2001

37. Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2001) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2006)
38. Let's Get "Real" about Using Economic Data
    CIRANO Working Papers, CIRANO
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
    See also Journal Article in Journal of Empirical Finance (2002)

2000

39. A Consistent Test for Nonlinear Out of Sample Predictive Accuracy
    Discussion Papers, University of Exeter, School of Business and Economics View citations
    See also Journal Article in Journal of Econometrics (2002)
40. An Out of Sample Test for Granger Causality
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
41. The real-time predictive content of money for output
    BIS Working Papers, Bank for International Settlements View citations

1998

42. Monetary Policy Rules with Model and Data Uncertainty
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Southern Economic Journal (2002)
43. Trade, Investment, and Growth: Nexus, Analysis, and Prognosis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Development Economics (2003)

1997

44. Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
    Working Papers, Pennsylvania State - Department of Economics View citations
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1998)
45. Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production
    Working Papers, Pennsylvania State - Department of Economics
    See also Journal Article in Macroeconomic Dynamics (2000)

1996

46. A Comparison of Alternatove causality and Predictive Accuracy Tests in the presence of Integrated and Co-integrated Economic Variables
    Working Papers, Pennsylvania State - Department of Economics View citations
47. Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection
    Working Papers, Pennsylvania State - Department of Economics
48. An introduction to stochastic Unit Root Processes
    Working Papers, Pennsylvania State - Department of Economics View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1994)
    See also Journal Article in Journal of Econometrics (1997)
49. BOOK REVIEW of “Statistical Foundations for Econometric Techniques” by Asad Zaman
    MPRA Paper, University Library of Munich, Germany
50. Forecasting Economic Time series Using Adaptive Versus Nonadaptive and Linecar Versus Nonlinear Econometric Models
    Working Papers, Pennsylvania State - Department of Economics View citations
51. Forecasting Using First Available Versus Fully Revised Economic Time Series data
    Working Papers, Pennsylvania State - Department of Economics View citations
52. Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes
    Working Papers, Pennsylvania State - Department of Economics View citations
    See also Journal Article in Journal of Econometrics (2000)

1995

53. A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks
    Macroeconomics, EconWPA View citations
    Also in Working Papers, Pennsylvania State - Department of Economics (1995) View citations
    See also Journal Article in The Review of Economics and Statistics (1997)
54. A Rolling Window Analysis of the Marginal Predictive Content of Money for Real Output
    Working Papers, Pennsylvania State - Department of Economics
55. Do Formulations of the Permanent Income Hypothesis with Constant Real Interest Rates and Subjective Tiome Preferences Rates Make Sense? An Example of Random Walk with Time Varying Drift
    Working Papers, Pennsylvania State - Department of Economics
56. Further Developments in the Study of Cointegrated Variables
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in Working Papers, Pennsylvania State - Department of Economics (1995) View citations
57. LM Tests and Nonlinear Error Correction in Economic Time Series
    Working Papers, Pennsylvania State - Department of Economics

1994

58. Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions
    Working Papers, Pennsylvania State - Department of Economics View citations

1992

59. A Model Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Business & Economic Statistics (1995)
60. Impulse Response Functions Based on a Causal Approach to Residual Orthogonalizaton in Vector Autoregressions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

Undated

61. Temporal Aggregation and Causility in Multiple Series Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

Journal Articles

2009

1. Predictive density estimators for daily volatility based on the use of realized measures
   Journal of Econometrics, 2009, 150, (2), 119-138
   See also Working Paper (2006)

2008

2. A Simulation-Based Specification Test for Diffusion Processes
   Journal of Business & Economic Statistics, 2008, 26, 176-193
   See also Working Paper (2006)

2007

3. Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
   Journal of Econometrics, 2007, 137, (2), 515-555
   See also Working Paper (2004)
4. Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
   Journal of Econometrics, 2007, 136, (2), 699-723 View citations
   See also Working Paper (2003)
5. How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models
   Journal of Money, Credit and Banking, 2007, 39, (6), 1481-1508 View citations
6. NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES
   International Economic Review, 2007, 48, (1), 67-109 View citations
   See also Working Paper (2006)

2006

7. An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
   Journal of Econometrics, 2006, 131, (1-2), 539-578 View citations
   See also Working Paper (2004)
8. Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
   Journal of Business & Economic Statistics, 2006, 24, 24-42 View citations
   See also Working Paper (2001)
9. Bootstrap conditional distribution tests in the presence of dynamic misspecification
   Journal of Econometrics, 2006, 133, (2), 779-806 View citations
   See also Working Paper (2003)
10. Predictive density and conditional confidence interval accuracy tests
    Journal of Econometrics, 2006, 135, (1-2), 187-228 View citations
    See also Working Paper (2004)
11. Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
    Journal of Econometrics, 2006, 135, (1-2), 1-9
12. The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
    Journal of Econometrics, 2006, 132, (1), 195-229
    See also Working Paper (2003)

2005

13. A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
    Econometric Theory, 2005, 21, (05), 991-1016 View citations
14. Bootstrap specification tests for diffusion processes
    Journal of Econometrics, 2005, 124, (1), 117-148 View citations
    See also Working Paper (2003)
15. Consistent Estimation with a Large Number of Weak Instruments
    Econometrica, 2005, 73, (5), 1673-1692 View citations
    See also Working Paper (2004)
16. Predicting Inflation: Does The Quantity Theory Help?
    Economic Inquiry, 2005, 43, (3), 570-585 View citations
    See also Working Paper (2003)
17. The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 905-930 View citations

2004

18. A test for the distributional comparison of simulated and historical data
    Economics Letters, 2004, 85, (2), 185-193
19. Forecasting economic and financial time-series with non-linear models
    International Journal of Forecasting, 2004, 20, (2), 169-183 View citations
    See also Working Paper (2003)
20. Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives
    International Journal of Forecasting, 2004, 20, (2), 185-199 View citations
    See also Working Paper (2003)
21. The volume of federal litigation and the macroeconomy
    International Review of Law and Economics, 2004, 24, (2), 191-207 View citations
    See also Working Paper (2003)

2003

22. Trade, investment and growth: nexus, analysis and prognosis
    Journal of Development Economics, 2003, 70, (2), 479-499 View citations
    See also Working Paper (1998)

2002

23. A consistent test for nonlinear out of sample predictive accuracy
    Journal of Econometrics, 2002, 110, (2), 353-381 View citations
    See also Working Paper (2000)
24. Comments on 'A vector error-correction forecasting model of the US economy'
    Journal of Macroeconomics, 2002, 24, (4), 599-606
25. Let's get "real" about using economic data
    Journal of Empirical Finance, 2002, 9, (3), 343-360 View citations
    See also Working Paper (2001)
26. Monetary Policy Rules with Model and Data Uncertainty
    Southern Economic Journal, 2002, 69, (2), 239-265 View citations
    See also Working Paper (1998)

2001

27. A new definition for time-dependent price mean reversion in commodity markets
    Economics Letters, 2001, 71, (1), 9-16
28. Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection
    Journal of Forecasting, 2001, 20, (6), 425-40 View citations
29. Predictive ability with cointegrated variables
    Journal of Econometrics, 2001, 104, (2), 315-358 View citations

2000

30. TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
    Macroeconomic Dynamics, 2000, 4, (01), 42-72
    See also Working Paper (1997)
31. Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
    Journal of Econometrics, 2000, 96, (1), 39-73 View citations
    See also Working Paper (1996)
32. The econometric consequences of the ceteris paribus condition in economic theory
    Journal of Econometrics, 2000, 95, (2), 223-253 View citations

1998

33. Book reviews
    Econometric Reviews, 1998, 17, (2), 221-225
34. Money and output viewed through a rolling window
    Journal of Monetary Economics, 1998, 41, (3), 455-474 View citations
35. Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4)
    See also Working Paper (1997)

1997

36. A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks
    The Review of Economics and Statistics, 1997, 79, (4), 540-550 View citations
    See also Working Paper (1995)
37. An introduction to stochastic unit-root processes
    Journal of Econometrics, 1997, 80, (1), 35-62 View citations
    See also Working Paper (1996)
38. Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models
    International Journal of Forecasting, 1997, 13, (4), 439-461 View citations

1996

39. Future Developments in the Study of Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 537-53 View citations

1995

40. A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks
    Journal of Business & Economic Statistics, 1995, 13, (3), 265-75 View citations
    See also Working Paper (1992)

Chapters

2006

1. Predictive Density Evaluation
   Elsevier View citations
   See also Working Paper (2004)