Details about Norman R. Swanson

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 2025-07-06. 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 View citations (1)
   See also Journal Article ROBUST FORECAST COMPARISON, Econometric Theory, Cambridge University Press (2017) View citations (9) (2017)

2014

2. Consistent Pretesting for Jumps
   Departmental Working Papers, Rutgers University, Department of Economics View citations (2)

2013

3. A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance
   Departmental Working Papers, Rutgers University, Department of Economics View citations (9)
4. An Expository Note on the Existence of Moments of Fuller and HFUL Estimators
   Departmental Working Papers, Rutgers University, Department of Economics
   See also Chapter An Expository Note on the Existence of Moments of Fuller and HFUL Estimators, Advances in Econometrics, Emerald Group Publishing Limited (2012) (2012)
5. Combining Two Consistent Estimators
   Departmental Working Papers, Rutgers University, Department of Economics
   See also Chapter Combining Two Consistent Estimators, Advances in Econometrics, Emerald Group Publishing Limited (2012) (2012)
6. Density and Conditional Distribution Based Specification Analysis
   Departmental Working Papers, Rutgers University, Department of Economics
7. Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets
   Departmental Working Papers, Rutgers University, Department of Economics
8. Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction
   Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
   See also Journal Article Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, Journal of Econometrics, Elsevier (2015) View citations (62) (2015)
9. Mining Big Data Using Parsimonious Factor and Shrinkage Methods
   Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
10. Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
    See also Journal Article Prediction and simulation using simple models characterized by nonstationarity and seasonality, International Review of Economics & Finance, Elsevier (2015) View citations (2) (2015)
11. Testing for Structural Stability of Factor Augmented Forecasting Models
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
    See also Journal Article Testing for structural stability of factor augmented forecasting models, Journal of Econometrics, Elsevier (2014) View citations (52) (2014)

2011

12. Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments
    Departmental Working Papers, Rutgers University, Department of Economics View citations (4)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2010) View citations (4)
    See also Journal Article ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS, Econometric Theory, Cambridge University Press (2012) View citations (79) (2012)
13. Diffusion Index Models and Index Proxies: Recent Results and New Directions
    Departmental Working Papers, Rutgers University, Department of Economics
14. Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks
    Departmental Working Papers, Rutgers University, Department of Economics
15. Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
    See also Journal Article Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence, Journal of Econometrics, Elsevier (2014) View citations (100) (2014)
16. 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 View citations (4)
    See also Journal Article In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008, Journal of Empirical Finance, Elsevier (2011) View citations (4) (2011)
17. Information in the Revision Process of Real-Time Datasets
    Departmental Working Papers, Rutgers University, Department of Economics View citations (5)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (10)
    See also Journal Article Information in the Revision Process of Real-Time Datasets, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (39) (2009)
18. Instrumental Variable Estimation with Heteroskedasticity and Many Instruments
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2009) View citations (6)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (47)
    See also Journal Article Instrumental variable estimation with heteroskedasticity and many instruments, Quantitative Economics, Econometric Society (2012) View citations (91) (2012)
19. International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence
    Departmental Working Papers, Rutgers University, Department of Economics
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2006) View citations (3)
    Working Papers, VCU School of Business, Department of Economics (2006) View citations (8)
    See also Journal Article International evidence on the efficacy of new-Keynesian models of inflation persistence, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (8) (2010)
20. Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models
    Departmental Working Papers, Rutgers University, Department of Economics View citations (10)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009)
    Post-Print, HAL (2011) View citations (8)
    See also Journal Article Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models, Journal of Econometrics, Elsevier (2011) View citations (9) (2011)
21. 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
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2006) View citations (2)
22. Predictive Inference for Integrated Volatility
    Departmental Working Papers, Rutgers University, Department of Economics View citations (11)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2006) View citations (10)
    Departmental Working Papers, Rutgers University, Department of Economics (2011) View citations (11)
23. Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting
    Departmental Working Papers, Rutgers University, Department of Economics
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009)
24. 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
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (2)
    See also Journal Article Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments, Econometric Reviews, Taylor & Francis Journals (2010) View citations (12) (2010)
25. 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 View citations (3)
    See also Journal Article Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators, Applied Financial Economics, Taylor & Francis Journals (2011) View citations (4) (2011)
26. Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article Testing overidentifying restrictions with many instruments and heteroskedasticity, Journal of Econometrics, Elsevier (2014) View citations (37) (2014)
27. 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 View citations (15)
    See also Chapter Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps, Advances in Econometrics, Emerald Group Publishing Limited (2011) View citations (1) (2011)

2006

28. 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
29. A Simulation Based Specification Test for Diffusion Processes
    Departmental Working Papers, Rutgers University, Department of Economics View citations (18)
    See also Journal Article A Simulation-Based Specification Test for Diffusion Processes, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (10) (2008)
30. 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 (3)
31. Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes
    Departmental Working Papers, Rutgers University, Department of Economics View citations (17)
    See also Journal Article NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2007) View citations (67) (2007)
32. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
    See also Journal Article Predictive density estimators for daily volatility based on the use of realized measures, Journal of Econometrics, Elsevier (2009) View citations (25) (2009)
33. Predictive Density Evaluation. Revised
    Departmental Working Papers, Rutgers University, Department of Economics View citations (75)
34. The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)

2004

35. 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 Departmental Working Papers, Rutgers University, Department of Economics (2003) View citations (6)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (6)
    See also Journal Article Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction, Journal of Econometrics, Elsevier (2007) View citations (17) (2007)
36. 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 (18)
    See also Journal Article An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series, Journal of Econometrics, Elsevier (2006) View citations (73) (2006)
37. Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated
    Econometric Society 2004 North American Winter Meetings, Econometric Society
38. Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
39. Consistent Estimation with a Large Number of Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (4)
    Yale School of Management Working Papers, Yale School of Management (2004) View citations (13)
    See also Journal Article Consistent Estimation with a Large Number of Weak Instruments, Econometrica, Econometric Society (2005) View citations (193) (2005)
40. Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics View citations (11)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (11)
41. Predective Density and Conditional Confidence Interval Accuracy Tests
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
    See also Journal Article Predictive density and conditional confidence interval accuracy tests, Journal of Econometrics, Elsevier (2006) View citations (76) (2006)
42. Predictive Density Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics View citations (9)
    See also Chapter Predictive Density Evaluation, Handbook of Economic Forecasting, Elsevier (2006) View citations (153) (2006)
43. 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

44. A Test for Comparing Multiple Misspecified Conditional Distributions
    Departmental Working Papers, Rutgers University, Department of Economics View citations (30)
45. 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 (5)
46. Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
    Departmental Working Papers, Rutgers University, Department of Economics View citations (33)
    See also Journal Article Bootstrap conditional distribution tests in the presence of dynamic misspecification, Journal of Econometrics, Elsevier (2006) View citations (54) (2006)
47. Bootstrap Specification Tests for Diffusion Processes
    Departmental Working Papers, Rutgers University, Department of Economics View citations (14)
    See also Journal Article Bootstrap specification tests for diffusion processes, Journal of Econometrics, Elsevier (2005) View citations (25) (2005)
48. 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 (26)
    See also Journal Article Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data, Journal of Econometrics, Elsevier (2007) View citations (34) (2007)
49. Forecasting economic and financial time-series with non-linear models
    Departmental Working Papers, Rutgers University, Department of Economics View citations (8)
    See also Journal Article Forecasting economic and financial time-series with non-linear models, International Journal of Forecasting, Elsevier (2004) View citations (66) (2004)
50. Predicting Inflation: Does The Quantity Theory Help?
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
    See also Journal Article Predicting Inflation: Does The Quantity Theory Help?, Economic Inquiry, Western Economic Association International (2005) View citations (39) (2005)
51. Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics View citations (15)
    See also Journal Article Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives, International Journal of Forecasting, Elsevier (2004) View citations (12) (2004)
52. 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 (4)
53. 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 View citations (2)
    See also Journal Article The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test, Journal of Econometrics, Elsevier (2006) View citations (26) (2006)
54. The Volume of Federal Litigation and the Macroeconomy
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
    Also in Working Papers, East Carolina University, Department of Economics
    See also Journal Article The volume of federal litigation and the macroeconomy, International Review of Law and Economics, Elsevier (2004) View citations (5) (2004)

2001

55. A Randomized Procedure for Choosing Data Transformation
    Discussion Papers, University of Exeter, Department of Economics
56. 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 View citations (4)
    See also Journal Article Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry, Journal of Business & Economic Statistics, American Statistical Association (2006) View citations (70) (2006)
57. Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error
    Discussion Papers, University of Exeter, Department of Economics View citations (3)
58. Let's Get "Real"" about Using Economic Data"
    CIRANO Working Papers, CIRANO View citations (3)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (2)
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
    See also Journal Article Let's get "real" about using economic data, Journal of Empirical Finance, Elsevier (2002) View citations (17) (2002)

2000

59. A Consistent Test for Nonlinear Out of Sample Predictive Accuracy
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article A consistent test for nonlinear out of sample predictive accuracy, Journal of Econometrics, Elsevier (2002) View citations (81) (2002)
60. An Out of Sample Test for Granger Causality
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (30)
    See also Journal Article OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY, Macroeconomic Dynamics, Cambridge University Press (2001) View citations (82) (2001)
61. The real-time predictive content of money for output
    BIS Working Papers, Bank for International Settlements View citations (29)

1998

62. Monetary Policy Rules with Model and Data Uncertainty
    CIRANO Working Papers, CIRANO View citations (14)
    See also Journal Article Monetary Policy Rules with Model and Data Uncertainty, Southern Economic Journal, John Wiley & Sons (2002) (2002)
63. 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 View citations (1)
64. Trade, Investment, and Growth: Nexus, Analysis, and Prognosis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article Trade, investment and growth: nexus, analysis and prognosis, Journal of Development Economics, Elsevier (2003) View citations (18) (2003)

1997

65. Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
    Working Papers, Pennsylvania State - Department of Economics View citations (16)
    See also Journal Article Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1998) View citations (15) (1998)
66. 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 TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION, Macroeconomic Dynamics, Cambridge University Press (2000) (2000)

1996

67. 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 (11)
68. Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection
    Working Papers, Pennsylvania State - Department of Economics
69. An introduction to stochastic Unit Root Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
    See also Journal Article An introduction to stochastic unit-root processes, Journal of Econometrics, Elsevier (1997) View citations (98) (1997)
70. BOOK REVIEW of “Statistical Foundations for Econometric Techniques” by Asad Zaman
    MPRA Paper, University Library of Munich, Germany
71. Forecasting Economic Time series Using Adaptive Versus Nonadaptive and Linecar Versus Nonlinear Econometric Models
    Working Papers, Pennsylvania State - Department of Economics View citations (3)
72. Forecasting Using First Available Versus Fully Revised Economic Time Series data
    Working Papers, Pennsylvania State - Department of Economics View citations (18)
    See also Journal Article Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1996) View citations (33) (1996)
73. Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (20)
    See also Journal Article Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes, Journal of Econometrics, Elsevier (2000) View citations (26) (2000)

1995

74. A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks
    Macroeconomics, University Library of Munich, Germany View citations (29)
    Also in Working Papers, Pennsylvania State - Department of Economics (1995) View citations (7)
    See also Journal Article A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks, The Review of Economics and Statistics, MIT Press (1997) View citations (161) (1997)
75. A Rolling Window Analysis of the Marginal Predictive Content of Money for Real Output
    Working Papers, Pennsylvania State - Department of Economics
76. 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
77. Further Developments in the Study of Cointegrated Variables
    Working Papers, Pennsylvania State - Department of Economics View citations (5)
    See also Journal Article Further Developments in the Study of Cointegrated Variables, Journal of Financial Econometrics, Oxford University Press (2010) (2010)
78. LM Tests and Nonlinear Error Correction in Economic Time Series
    Working Papers, Pennsylvania State - Department of Economics

1994

79. Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions
    Working Papers, Pennsylvania State - Department of Economics View citations (29)

Journal Articles

2024

1. An assessment of the marginal predictive content of economic uncertainty indexes and business conditions predictors
   International Journal of Forecasting, 2024, 40, (4), 1391-1409

2023

2. Jackknife estimation of a cluster-sample IV regression model with many weak instruments
   Journal of Econometrics, 2023, 235, (2), 1747-1769 View citations (7)
3. 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, 2023, 64, (3), 1421-1469 View citations (1)
4. Robust forecast superiority testing with an application to assessing pools of expert forecasters
   Journal of Applied Econometrics, 2023, 38, (4), 596-622

2021

5. EDITORIAL STATEMENT IN HONOR OF PROFESSOR MICHAEL MCALEER
   Annals of Financial Economics (AFE), 2021, 16, (03), 1-21 View citations (4)
6. Forecasting volatility using double shrinkage methods
   Journal of Empirical Finance, 2021, 62, (C), 46-61 View citations (9)

2020

7. Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors
   Journal of Forecasting, 2020, 39, (1), 18-36 View citations (25)
8. New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section
   Econometrics, 2020, 8, (2), 1-52 View citations (2)
9. Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
   Journal of Applied Econometrics, 2020, 35, (5), 587-613 View citations (5)

2019

10. Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence
    Econometrics, 2019, 7, (1), 1-32 View citations (1)
11. Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes
    International Journal of Forecasting, 2019, 35, (2), 555-572 View citations (28)

2018

12. Big data analytics in economics: What have we learned so far, and where should we go from here?
    Canadian Journal of Economics, 2018, 51, (3), 695-746 View citations (9)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2018, 51, (3), 695-746 (2018) View citations (9)
13. Methods for backcasting, nowcasting and forecasting using factor†MIDAS: With an application to Korean GDP
    Journal of Forecasting, 2018, 37, (3), 281-302 View citations (9)
14. Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods
    International Journal of Forecasting, 2018, 34, (2), 339-354 View citations (68)
15. Testing for jumps and jump intensity path dependence
    Journal of Econometrics, 2018, 204, (2), 248-267 View citations (10)

2017

16. ROBUST FORECAST COMPARISON
    Econometric Theory, 2017, 33, (6), 1306-1351 View citations (9)
    See also Working Paper Robust Forecast Comparison, Departmental Working Papers (2015) View citations (1) (2015)

2016

17. Comment
    Journal of Business & Economic Statistics, 2016, 34, (3), 348-353

2015

18. Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
    Journal of Econometrics, 2015, 187, (2), 606-621 View citations (62)
    See also Working Paper Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction, Departmental Working Papers (2013) View citations (1) (2013)
19. Prediction and simulation using simple models characterized by nonstationarity and seasonality
    International Review of Economics & Finance, 2015, 40, (C), 312-323 View citations (2)
    See also Working Paper Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality, Departmental Working Papers (2013) View citations (1) (2013)

2014

20. Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
    Journal of Econometrics, 2014, 178, (P2), 352-367 View citations (100)
    See also Working Paper Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence, Departmental Working Papers (2011) View citations (1) (2011)
21. Testing for structural stability of factor augmented forecasting models
    Journal of Econometrics, 2014, 182, (1), 100-118 View citations (52)
    See also Working Paper Testing for Structural Stability of Factor Augmented Forecasting Models, Departmental Working Papers (2013) View citations (2) (2013)
22. Testing overidentifying restrictions with many instruments and heteroskedasticity
    Journal of Econometrics, 2014, 178, (P1), 15-21 View citations (37)
    See also Working Paper Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity, Departmental Working Papers (2011) (2011)

2012

23. ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
    Econometric Theory, 2012, 28, (1), 42-86 View citations (79)
    See also Working Paper Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments, Departmental Working Papers (2011) View citations (4) (2011)
24. Instrumental variable estimation with heteroskedasticity and many instruments
    Quantitative Economics, 2012, 3, (2), 211-255 View citations (91)
    See also Working Paper Instrumental Variable Estimation with Heteroskedasticity and Many Instruments, Departmental Working Papers (2011) View citations (3) (2011)

2011

25. 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 View citations (4)
    See also Working Paper In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008, Departmental Working Papers (2011) View citations (4) (2011)
26. Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
    Journal of Econometrics, 2011, 161, (2), 304-324 View citations (9)
    See also Working Paper Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models, Departmental Working Papers (2011) View citations (10) (2011)
27. 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 View citations (4)
    See also Working Paper Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators, Departmental Working Papers (2011) View citations (3) (2011)

2010

28. Further Developments in the Study of Cointegrated Variables
    Journal of Financial Econometrics, 2010, 8, (2), 187-190
    See also Working Paper Further Developments in the Study of Cointegrated Variables, Working Papers (1995) View citations (5) (1995)
29. International evidence on the efficacy of new-Keynesian models of inflation persistence
    Journal of Applied Econometrics, 2010, 25, (1), 31-54 View citations (8)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 31-54 (2010)
    See also Working Paper International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence, Departmental Working Papers (2011) (2011)
30. 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 View citations (12)
    See also Working Paper Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments, Departmental Working Papers (2011) (2011)

2009

31. Comment
    Journal of Business & Economic Statistics, 2009, 27, (3), 316-318
32. Comments on "Forecasting economic and financial variables with global VARs"
    International Journal of Forecasting, 2009, 25, (4), 697-702 View citations (2)
33. Information in the Revision Process of Real-Time Datasets
    Journal of Business & Economic Statistics, 2009, 27, (4), 455-467 View citations (39)
    See also Working Paper Information in the Revision Process of Real-Time Datasets, Departmental Working Papers (2011) View citations (5) (2011)
34. Predictive density estimators for daily volatility based on the use of realized measures
    Journal of Econometrics, 2009, 150, (2), 119-138 View citations (25)
    See also Working Paper Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures, Departmental Working Papers (2006) View citations (1) (2006)

2008

35. A Simulation-Based Specification Test for Diffusion Processes
    Journal of Business & Economic Statistics, 2008, 26, 176-193 View citations (10)
    See also Working Paper A Simulation Based Specification Test for Diffusion Processes, Departmental Working Papers (2006) View citations (18) (2006)

2007

36. 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 View citations (17)
    See also Working Paper 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 (2004) (2004)
37. 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 (34)
    See also Working Paper Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data, Departmental Working Papers (2003) View citations (26) (2003)
38. 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 (1)
    Also in Journal of Money, Credit and Banking, 2007, 39, (6), 1481-1508 (2007) View citations (26)
39. NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES
    International Economic Review, 2007, 48, (1), 67-109 View citations (67)
    See also Working Paper Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes, Departmental Working Papers (2006) View citations (17) (2006)

2006

40. 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 (73)
    See also Working Paper An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series, Departmental Working Papers (2004) View citations (18) (2004)
41. Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
    Journal of Business & Economic Statistics, 2006, 24, 24-42 View citations (70)
    See also Working Paper Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry, Econometric Institute Research Papers (2001) View citations (4) (2001)
42. Bootstrap conditional distribution tests in the presence of dynamic misspecification
    Journal of Econometrics, 2006, 133, (2), 779-806 View citations (54)
    See also Working Paper Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification, Departmental Working Papers (2003) View citations (33) (2003)
43. Predictive density and conditional confidence interval accuracy tests
    Journal of Econometrics, 2006, 135, (1-2), 187-228 View citations (76)
    See also Working Paper Predective Density and Conditional Confidence Interval Accuracy Tests, Departmental Working Papers (2004) View citations (1) (2004)
44. 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 View citations (4)
45. 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 View citations (26)
    See also Working Paper The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test, Departmental Working Papers (2003) View citations (2) (2003)

2005

46. A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
    Econometric Theory, 2005, 21, (5), 991-1016 View citations (24)
47. Bootstrap specification tests for diffusion processes
    Journal of Econometrics, 2005, 124, (1), 117-148 View citations (25)
    See also Working Paper Bootstrap Specification Tests for Diffusion Processes, Departmental Working Papers (2003) View citations (14) (2003)
48. Consistent Estimation with a Large Number of Weak Instruments
    Econometrica, 2005, 73, (5), 1673-1692 View citations (193)
    See also Working Paper Consistent Estimation with a Large Number of Weak Instruments, Departmental Working Papers (2004) View citations (4) (2004)
49. Predicting Inflation: Does The Quantity Theory Help?
    Economic Inquiry, 2005, 43, (3), 570-585 View citations (39)
    See also Working Paper Predicting Inflation: Does The Quantity Theory Help?, Departmental Working Papers (2003) View citations (3) (2003)
50. 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 (17)

2004

51. A test for the distributional comparison of simulated and historical data
    Economics Letters, 2004, 85, (2), 185-193
52. Forecasting economic and financial time-series with non-linear models
    International Journal of Forecasting, 2004, 20, (2), 169-183 View citations (66)
    See also Working Paper Forecasting economic and financial time-series with non-linear models, Departmental Working Papers (2003) View citations (8) (2003)
53. 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 (12)
    See also Working Paper Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives, Departmental Working Papers (2003) View citations (15) (2003)
54. The volume of federal litigation and the macroeconomy
    International Review of Law and Economics, 2004, 24, (2), 191-207 View citations (5)
    See also Working Paper The Volume of Federal Litigation and the Macroeconomy, Departmental Working Papers (2003) View citations (2) (2003)

2003

55. Trade, investment and growth: nexus, analysis and prognosis
    Journal of Development Economics, 2003, 70, (2), 479-499 View citations (18)
    See also Working Paper Trade, Investment, and Growth: Nexus, Analysis, and Prognosis, NBER Working Papers (1998) View citations (11) (1998)

2002

56. A consistent test for nonlinear out of sample predictive accuracy
    Journal of Econometrics, 2002, 110, (2), 353-381 View citations (81)
    See also Working Paper A Consistent Test for Nonlinear Out of Sample Predictive Accuracy, Discussion Papers (2000) (2000)
57. Comments on 'A vector error-correction forecasting model of the US economy'
    Journal of Macroeconomics, 2002, 24, (4), 599-606 View citations (3)
58. Let's get "real" about using economic data
    Journal of Empirical Finance, 2002, 9, (3), 343-360 View citations (17)
    See also Working Paper Let's Get "Real"" about Using Economic Data", CIRANO Working Papers (2001) View citations (3) (2001)
59. Monetary Policy Rules with Model and Data Uncertainty
    Southern Economic Journal, 2002, 69, (2), 239-265
    See also Working Paper Monetary Policy Rules with Model and Data Uncertainty, CIRANO Working Papers (1998) View citations (14) (1998)
60. Temporal aggregation and spurious instantaneous causality in multiple time series models
    Journal of Time Series Analysis, 2002, 23, (6), 651-665 View citations (34)

2001

61. A new definition for time-dependent price mean reversion in commodity markets
    Economics Letters, 2001, 71, (1), 9-16 View citations (1)
62. Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection
    Journal of Forecasting, 2001, 20, (6), 425-40 View citations (33)
63. Data Transformation and Forecasting in Models with Unit Roots and Cointegration
    Annals of Economics and Finance, 2001, 2, (1), 59-76 View citations (2)
64. OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY
    Macroeconomic Dynamics, 2001, 5, (4), 598-620 View citations (82)
    See also Working Paper An Out of Sample Test for Granger Causality, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (30) (2000)
65. Predictive ability with cointegrated variables
    Journal of Econometrics, 2001, 104, (2), 315-358 View citations (60)

2000

66. TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
    Macroeconomic Dynamics, 2000, 4, (1), 42-72
    See also Working Paper Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production, Working Papers (1997) (1997)
67. Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
    Journal of Econometrics, 2000, 96, (1), 39-73 View citations (26)
    See also Working Paper Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes, Working Papers (1996) View citations (20) (1996)
68. The econometric consequences of the ceteris paribus condition in economic theory
    Journal of Econometrics, 2000, 95, (2), 223-253 View citations (12)

1999

69. Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations
    Statistica Neerlandica, 1999, 53, (1), 76-95 View citations (4)

1998

70. Book reviews
    Econometric Reviews, 1998, 17, (2), 221-225
71. Money and output viewed through a rolling window
    Journal of Monetary Economics, 1998, 41, (3), 455-474 View citations (193)
72. Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 21 View citations (15)
    See also Working Paper Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets, Working Papers (1997) View citations (16) (1997)

1997

73. 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 (161)
    See also Working Paper A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks, Macroeconomics (1995) View citations (29) (1995)
74. An introduction to stochastic unit-root processes
    Journal of Econometrics, 1997, 80, (1), 35-62 View citations (98)
    See also Working Paper An introduction to stochastic Unit Root Processes, Working Papers (1996) View citations (6) (1996)
75. 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 (112)

1996

76. Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 20 View citations (33)
    See also Working Paper Forecasting Using First Available Versus Fully Revised Economic Time Series data, Working Papers (1996) View citations (18) (1996)
77. Future Developments in the Study of Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 537-53 View citations (24)

1995

78. 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 (136)

Edited books

2013

1. Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
   Springer Books, Springer View citations (49)

2001

2. Essays in Econometrics 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

Chapters

2020

1. Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession
   Chapter 29 in HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, 2020, pp 1109-1149

2012

2. An Expository Note on the Existence of Moments of Fuller and HFUL Estimators
   A chapter in Essays in Honor of Jerry Hausman, 2012, pp 87-106
   See also Working Paper An Expository Note on the Existence of Moments of Fuller and HFUL Estimators, Rutgers University, Department of Economics (2013) (2013)
3. Combining Two Consistent Estimators
   A chapter in Essays in Honor of Jerry Hausman, 2012, pp 33-53
   See also Working Paper Combining Two Consistent Estimators, Rutgers University, Department of Economics (2013) (2013)

2011

4. Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps
   A chapter in Missing Data Methods: Time-Series Methods and Applications, 2011, pp 179-233 View citations (1)
   See also Working Paper Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps, Rutgers University, Department of Economics (2011) View citations (15) (2011)

2008

5. Chapter 5 Predictive Inference under Model Misspecification
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 195-230

2006

6. A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 379-406
7. Predictive Density Evaluation
   Elsevier View citations (153)
   See also Working Paper Predictive Density Evaluation, Rutgers University, Department of Economics (2004) View citations (9) (2004)