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Details about Norman R. Swanson

E-mail:
Homepage:http://econweb.rutgers.edu/nswanson/
Phone:848-932-7432
Postal address:Department of Economics Rutgers University 75 Hamilton Street, New Brunswick NJ 08901 USA
Workplace:Department of Economics, Rutgers University-New Brunswick, (more information at EDIRC)

Access statistics for papers by Norman R. Swanson.

Last updated 2016-06-27. Update your information in the RePEc Author Service.

Short-id: psw10


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Working Papers

2015

  1. Robust Forecast Comparison
    Departmental Working Papers, Rutgers University, Department of Economics Downloads

2014

  1. Consistent Pretesting for Jumps
    Departmental Working Papers, Rutgers University, Department of Economics Downloads

2013

  1. A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
  2. An Expository Note on the Existence of Moments of Fuller and HFUL Estimators
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  3. Combining Two Consistent Estimators
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  4. Density and Conditional Distribution Based Specification Analysis
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  5. Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  6. Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2015)
  7. Mining Big Data Using Parsimonious Factor and Shrinkage Methods
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
  8. Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
    See also Journal Article in International Review of Economics & Finance (2015)
  9. Testing for Structural Stability of Factor Augmented Forecasting Models
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2014)

2011

  1. Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2010) Downloads View citations (3)

    See also Journal Article in Econometric Theory (2012)
  2. Diffusion Index Models and Index Proxies: Recent Results and New Directions
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  3. Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  4. Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2014)
  5. In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Empirical Finance (2011)
  6. Information in the Revision Process of Real-Time Datasets
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (4)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) Downloads View citations (9)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  7. Instrumental Variable Estimation with Heteroskedasticity and Many Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) Downloads View citations (31)
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2009) Downloads View citations (2)

    See also Journal Article in Quantitative Economics (2012)
  8. International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2006) Downloads View citations (3)
    Working Papers, VCU School of Business, Department of Economics (2006) Downloads View citations (7)

    See also Journal Article in Journal of Applied Econometrics (2010)
  9. Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (5)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) Downloads
    Post-Print, HAL (2011) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2011)
  10. 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 Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2006) Downloads View citations (2)
  11. Predictive Inference for Integrated Volatility
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (6)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2006) Downloads View citations (5)
    Departmental Working Papers, Rutgers University, Department of Economics (2011) Downloads View citations (6)
  12. Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) Downloads
  13. Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2010)
  14. Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Applied Financial Economics (2011)
  15. Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2014)
  16. Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)

2006

  1. 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 Downloads
  2. A Simulation Based Specification Test for Diffusion Processes
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (11)
    See also Journal Article in Journal of Business & Economic Statistics (2008)
  3. 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 Downloads View citations (1)
  4. Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (15)
    See also Journal Article in International Economic Review (2007)
  5. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2009)
  6. Predictive Density Evaluation. Revised
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (56)
  7. The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics Downloads

2004

  1. 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 Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2003) Downloads View citations (4)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2007)
  2. An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (2006)
  3. Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated
    Econometric Society 2004 North American Winter Meetings, Econometric Society
  4. Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
  5. Consistent Estimation with a Large Number of Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (12)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (4)

    See also Journal Article in Econometrica (2005)
  6. Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (6)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (4)
  7. Predective Density and Conditional Confidence Interval Accuracy Tests
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2006)
  8. Predictive Density Accuracy Tests
    Working Papers, Warwick Business School, Finance Group Downloads View citations (8)
  9. Predictive Density Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (8)
    See also Chapter (2006)
  10. 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

  1. A Test for Comparing Multiple Misspecified Conditional Distributions
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (29)
  2. Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (5)
  3. Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (33)
    See also Journal Article in Journal of Econometrics (2006)
  4. Bootstrap Specification Tests for Diffusion Processes
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2005)
  5. Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (26)
    See also Journal Article in Journal of Econometrics (2007)
  6. Forecasting economic and financial time-series with non-linear models
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (8)
    See also Journal Article in International Journal of Forecasting (2004)
  7. Predicting Inflation: Does The Quantity Theory Help?
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (3)
    See also Journal Article in Economic Inquiry (2005)
  8. Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (15)
    See also Journal Article in International Journal of Forecasting (2004)
  9. The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
  10. 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 Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2006)
  11. The Volume of Federal Litigation and the Macroeconomy
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
    Also in Working Papers, East Carolina University, Department of Economics Downloads

    See also Journal Article in International Review of Law and Economics (2004)

2001

  1. A Randomized Procedure for Choosing Data Transformation
    Discussion Papers, Exeter University, Department of Economics Downloads
  2. Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2006)
  3. Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error
    Discussion Papers, Exeter University, Department of Economics Downloads View citations (1)
  4. Let's Get "Real"" about Using Economic Data"
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (2)
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics Downloads

    See also Journal Article in Journal of Empirical Finance (2002)

2000

  1. A Consistent Test for Nonlinear Out of Sample Predictive Accuracy
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Journal of Econometrics (2002)
  2. An Out of Sample Test for Granger Causality
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (29)
  3. The real-time predictive content of money for output
    BIS Working Papers, Bank for International Settlements Downloads View citations (28)

1998

  1. Monetary Policy Rules with Model and Data Uncertainty
    CIRANO Working Papers, CIRANO Downloads View citations (10)
    See also Journal Article in Southern Economic Journal (2002)
  2. Temporal aggregation and causality in multiple time series models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  3. Trade, Investment, and Growth: Nexus, Analysis, and Prognosis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article in Journal of Development Economics (2003)

1997

  1. Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
    Working Papers, Pennsylvania State - Department of Economics View citations (12)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1998)
  2. 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

  1. 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 (10)
  2. Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection
    Working Papers, Pennsylvania State - Department of Economics
  3. An introduction to stochastic Unit Root Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
    See also Journal Article in Journal of Econometrics (1997)
  4. BOOK REVIEW of “Statistical Foundations for Econometric Techniques” by Asad Zaman
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Forecasting Economic Time series Using Adaptive Versus Nonadaptive and Linecar Versus Nonlinear Econometric Models
    Working Papers, Pennsylvania State - Department of Economics View citations (3)
  6. Forecasting Using First Available Versus Fully Revised Economic Time Series data
    Working Papers, Pennsylvania State - Department of Economics View citations (17)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1996)
  7. Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (21)
    See also Journal Article in Journal of Econometrics (2000)

1995

  1. A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks
    Macroeconomics, EconWPA Downloads View citations (25)
    Also in Working Papers, Pennsylvania State - Department of Economics (1995) View citations (3)

    See also Journal Article in The Review of Economics and Statistics (1997)
  2. A Rolling Window Analysis of the Marginal Predictive Content of Money for Real Output
    Working Papers, Pennsylvania State - Department of Economics
  3. 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
  4. Further Developments in the Study of Cointegrated Variables
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
    See also Journal Article in Journal of Financial Econometrics (2010)
  5. LM Tests and Nonlinear Error Correction in Economic Time Series
    Working Papers, Pennsylvania State - Department of Economics

1994

  1. Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions
    Working Papers, Pennsylvania State - Department of Economics View citations (30)

Journal Articles

2015

  1. Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
    Journal of Econometrics, 2015, 187, (2), 606-621 Downloads View citations (9)
    See also Working Paper (2013)
  2. Prediction and simulation using simple models characterized by nonstationarity and seasonality
    International Review of Economics & Finance, 2015, 40, (C), 312-323 Downloads View citations (1)
    See also Working Paper (2013)

2014

  1. Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
    Journal of Econometrics, 2014, 178, (P2), 352-367 Downloads View citations (25)
    See also Working Paper (2011)
  2. Testing for structural stability of factor augmented forecasting models
    Journal of Econometrics, 2014, 182, (1), 100-118 Downloads View citations (11)
    See also Working Paper (2013)
  3. Testing overidentifying restrictions with many instruments and heteroskedasticity
    Journal of Econometrics, 2014, 178, (P1), 15-21 Downloads View citations (3)
    See also Working Paper (2011)

2012

  1. ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
    Econometric Theory, 2012, 28, (01), 42-86 Downloads View citations (14)
    See also Working Paper (2011)
  2. Instrumental variable estimation with heteroskedasticity and many instruments
    Quantitative Economics, 2012, 3, (2), 211-255 Downloads View citations (18)
    See also Working Paper (2011)

2011

  1. In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008
    Journal of Empirical Finance, 2011, 18, (4), 743-764 Downloads View citations (2)
    See also Working Paper (2011)
  2. Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
    Journal of Econometrics, 2011, 161, (2), 304-324 Downloads View citations (6)
    See also Working Paper (2011)
  3. Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators
    Applied Financial Economics, 2011, 21, (1-2), 43-60 Downloads View citations (2)
    See also Working Paper (2011)

2010

  1. Further Developments in the Study of Cointegrated Variables
    Journal of Financial Econometrics, 2010, 8, (2), 187-190 Downloads
    See also Working Paper (1995)
  2. International evidence on the efficacy of new-Keynesian models of inflation persistence
    Journal of Applied Econometrics, 2010, 25, (1), 31-54 Downloads View citations (7)
    See also Working Paper (2011)
  3. Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments
    Econometric Reviews, 2010, 29, (5-6), 476-510 Downloads View citations (4)
    See also Working Paper (2011)

2009

  1. Comment
    Journal of Business & Economic Statistics, 2009, 27, (3), 316-318 Downloads
  2. Comments on "Forecasting economic and financial variables with global VARs"
    International Journal of Forecasting, 2009, 25, (4), 697-702 Downloads View citations (2)
  3. Information in the Revision Process of Real-Time Datasets
    Journal of Business & Economic Statistics, 2009, 27, (4), 455-467 Downloads View citations (30)
    See also Working Paper (2011)
  4. Predictive density estimators for daily volatility based on the use of realized measures
    Journal of Econometrics, 2009, 150, (2), 119-138 Downloads View citations (17)
    See also Working Paper (2006)

2008

  1. A Simulation-Based Specification Test for Diffusion Processes
    Journal of Business & Economic Statistics, 2008, 26, 176-193 Downloads View citations (9)
    See also Working Paper (2006)

2007

  1. 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 Downloads View citations (8)
    See also Working Paper (2004)
  2. Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
    Journal of Econometrics, 2007, 136, (2), 699-723 Downloads View citations (26)
    See also Working Paper (2003)
  3. 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 Downloads View citations (20)
  4. NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES
    International Economic Review, 2007, 48, (1), 67-109 Downloads View citations (35)
    See also Working Paper (2006)

2006

  1. 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 Downloads View citations (33)
    See also Working Paper (2004)
  2. Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
    Journal of Business & Economic Statistics, 2006, 24, 24-42 Downloads View citations (44)
    See also Working Paper (2001)
  3. Bootstrap conditional distribution tests in the presence of dynamic misspecification
    Journal of Econometrics, 2006, 133, (2), 779-806 Downloads View citations (26)
    See also Working Paper (2003)
  4. Predictive density and conditional confidence interval accuracy tests
    Journal of Econometrics, 2006, 135, (1-2), 187-228 Downloads View citations (62)
    See also Working Paper (2004)
  5. 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 Downloads View citations (2)
  6. 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 Downloads View citations (5)
    See also Working Paper (2003)

2005

  1. A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
    Econometric Theory, 2005, 21, (05), 991-1016 Downloads View citations (16)
  2. Bootstrap specification tests for diffusion processes
    Journal of Econometrics, 2005, 124, (1), 117-148 Downloads View citations (21)
    See also Working Paper (2003)
  3. Consistent Estimation with a Large Number of Weak Instruments
    Econometrica, 2005, 73, (5), 1673-1692 Downloads View citations (77)
    See also Working Paper (2004)
  4. Predicting Inflation: Does The Quantity Theory Help?
    Economic Inquiry, 2005, 43, (3), 570-585 Downloads View citations (29)
    See also Working Paper (2003)
  5. 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 Downloads View citations (13)

2004

  1. A test for the distributional comparison of simulated and historical data
    Economics Letters, 2004, 85, (2), 185-193 Downloads
  2. Forecasting economic and financial time-series with non-linear models
    International Journal of Forecasting, 2004, 20, (2), 169-183 Downloads View citations (41)
    See also Working Paper (2003)
  3. Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives
    International Journal of Forecasting, 2004, 20, (2), 185-199 Downloads View citations (11)
    See also Working Paper (2003)
  4. The volume of federal litigation and the macroeconomy
    International Review of Law and Economics, 2004, 24, (2), 191-207 Downloads View citations (3)
    See also Working Paper (2003)

2003

  1. Trade, investment and growth: nexus, analysis and prognosis
    Journal of Development Economics, 2003, 70, (2), 479-499 Downloads View citations (10)
    See also Working Paper (1998)

2002

  1. A consistent test for nonlinear out of sample predictive accuracy
    Journal of Econometrics, 2002, 110, (2), 353-381 Downloads View citations (68)
    See also Working Paper (2000)
  2. Comments on 'A vector error-correction forecasting model of the US economy'
    Journal of Macroeconomics, 2002, 24, (4), 599-606 Downloads View citations (1)
  3. Let's get "real" about using economic data
    Journal of Empirical Finance, 2002, 9, (3), 343-360 Downloads View citations (17)
    See also Working Paper (2001)
  4. Monetary Policy Rules with Model and Data Uncertainty
    Southern Economic Journal, 2002, 69, (2), 239-265 View citations (19)
    See also Working Paper (1998)

2001

  1. A new definition for time-dependent price mean reversion in commodity markets
    Economics Letters, 2001, 71, (1), 9-16 Downloads
  2. Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection
    Journal of Forecasting, 2001, 20, (6), 425-40 View citations (22)
  3. Data Transformation and Forecasting in Models with Unit Roots and Cointegration
    Annals of Economics and Finance, 2001, 2, (1), 59-76 Downloads View citations (2)
  4. OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY
    Macroeconomic Dynamics, 2001, 5, (04), 598-620 Downloads View citations (66)
  5. Predictive ability with cointegrated variables
    Journal of Econometrics, 2001, 104, (2), 315-358 Downloads View citations (52)

2000

  1. TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
    Macroeconomic Dynamics, 2000, 4, (01), 42-72 Downloads
    See also Working Paper (1997)
  2. Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
    Journal of Econometrics, 2000, 96, (1), 39-73 Downloads View citations (19)
    See also Working Paper (1996)
  3. The econometric consequences of the ceteris paribus condition in economic theory
    Journal of Econometrics, 2000, 95, (2), 223-253 Downloads View citations (7)

1998

  1. Book reviews
    Econometric Reviews, 1998, 17, (2), 221-225 Downloads
  2. Money and output viewed through a rolling window
    Journal of Monetary Economics, 1998, 41, (3), 455-474 Downloads View citations (90)
  3. Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 1-21 Downloads View citations (5)
    See also Working Paper (1997)

1997

  1. 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 Downloads View citations (77)
    See also Working Paper (1995)
  2. An introduction to stochastic unit-root processes
    Journal of Econometrics, 1997, 80, (1), 35-62 Downloads View citations (57)
    See also Working Paper (1996)
  3. Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models
    International Journal of Forecasting, 1997, 13, (4), 439-461 Downloads View citations (76)

1996

  1. Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 1-20 Downloads View citations (13)
    See also Working Paper (1996)
  2. Future Developments in the Study of Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 537-53 View citations (17)

1995

  1. 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 (82)

Books

Edited books

2001

  1. Essays in Econometrics 2 Volume Hardback Set Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  2. Essays in Econometrics 2 Volume Paperback Set Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  3. Essays in Econometrics Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  4. Essays in Econometrics Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  5. Essays in Econometrics Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  6. Essays in Econometrics Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press

Chapters

2006

  1. Predictive Density Evaluation
    Elsevier Downloads View citations (94)
    See also Working Paper (2004)
 
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