Norman R. Swanson

Rutgers, The State University of New Jersey - Department of Economics

75 Hamilton Street

New Brunswick, NJ 08901

United States

http://econweb.rutgers.edu/nswanson/

Rutgers University - Department of Economics

Professor

NJ

United States

http://econweb.rutgers.edu/nswanson/

SCHOLARLY PAPERS

75

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195

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220

Scholarly Papers (75)

Trade, Investment and Growth: Nexus, Analysis and Prognosis

Number of pages: 37 Posted: 20 Dec 1998
Kala Krishna, Norman R. Swanson, Norman R. Swanson and Ataman Ozyildirim
Pennsylvania State University - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and affiliation not provided to SSRN
Downloads 405 (135,299)

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Trade, Investment and Growth: Nexus, Analysis and Prognosis

Number of pages: 34 Posted: 22 May 2000
Kala Krishna, Norman R. Swanson, Norman R. Swanson and Ataman Ozyildirim
Pennsylvania State University - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and affiliation not provided to SSRN
Downloads 176 (314,978)

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Trade, Investment, and Growth: Nexus, Analysis, and Prognosis

NBER Working Paper No. w6861
Number of pages: 38 Posted: 11 Jun 2000 Last Revised: 02 Oct 2022
Kala Krishna, Norman R. Swanson, Norman R. Swanson and Ataman Ozyildirim
Pennsylvania State University - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and affiliation not provided to SSRN
Downloads 40 (803,234)

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Trade, Investment and Growth: Nexus, Analysis and Prognosis

Posted: 09 Sep 2002
Kala Krishna, Norman R. Swanson, Norman R. Swanson and Ataman Ozyildirim
Pennsylvania State University - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and affiliation not provided to SSRN

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reverse causation, exports, global business conditions, growth, investment

2.

Big Data Analytics in Economics: What Have We Learned So Far, and Where Should We Go from Here?

Number of pages: 55 Posted: 14 Jul 2017
Norman R. Swanson, Norman R. Swanson and Weiqi Xiong
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 595 (85,880)
Citation 4

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Convex loss function, Empirical processes, Forecast superiority, General loss function, Big data, Shrinkage, Latent Factors

3.

Let's Get 'Real' About Using Economic Data

Number of pages: 22 Posted: 24 Jul 2001
Peter Christoffersen, Eric Ghysels, Norman R. Swanson and Norman R. Swanson
University of Toronto - Rotman School of Management, University of North Carolina Kenan-Flagler Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 368 (152,120)
Citation 3

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Market efficiency, expectations, news, data revision process

4.
Downloads 365 (153,533)
Citation 40

Predictive Density Evaluation

Number of pages: 82 Posted: 04 Oct 2005
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 200 (280,484)
Citation 9

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Block bootstrap, density and conditional distribution, forecast accuracy testing, mean square error, parameter estimation error, parametric and nonparametric methods, prediction, rolling and recursive estimation scheme

Predictive Density Evaluation

HANDBOOK OF ECONOMIC FORECASTING, Clive W.J. Granger, Graham Elliot and Allan Timmerman, eds., Elsevier, September 2005
Number of pages: 82 Posted: 07 Mar 2007
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 165 (333,338)
Citation 5

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block bootstrap, density and conditional distribution, forecast accuracy testing, mean square error, parameter estimation error, parametric and nonparametric methods, prediction, rolling and recursive estimation scheme

5.

Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps

Number of pages: 54 Posted: 15 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 298 (190,741)

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Itô semi-martingale, realized volatility, jumps, multipower variation, tripower variation, truncated power variation, quarticity, infinite activity jumps

6.

Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps

Handbook of Statistics, Forthcoming
Number of pages: 70 Posted: 17 Aug 2018
Arpita Mukherjee, Weijia Peng, Norman R. Swanson, Norman R. Swanson and Xiye Yang
Rutgers University, New Brunswick - Department of Economics, Sacred Heart University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 297 (191,437)
Citation 1

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Financial econometrics, Integrated volatility, Nonparametric estimator, Continuous time model, Jumps, Co-jumps, Big data, High-frequency data

7.

Consistent Estimation with a Large Number of Weak Instruments

Econometrica, Forthcoming, Yale Cowles Foundation for Research in Economics, Research Paper No. 1417, Rutgers University Economics Working Paper No. 2004-21
Number of pages: 15 Posted: 26 May 2003
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 267 (213,347)
Citation 14

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Instrumental Variables, k-class Estimator, Local-to-zero Framework, Pathwise Asymptotics, Weak Instruments

8.

Mining Big Data Using Parsimonious Factor and Shrinkage Methods

Number of pages: 50 Posted: 17 Jul 2013
Hyun Hak Kim, Norman R. Swanson and Norman R. Swanson
Department of Economics, Kookmin University and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 231 (245,900)
Citation 7

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prediction, independent component analysis, sparse principal component analysis, bagging, boosting, Bayesian model averaging, ridge regression, least angle regression, elastic net and non-negative garotte

9.

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments

Rutgers University Economics Working Paper No. 2004-20
Number of pages: 62 Posted: 20 Sep 2004
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 227 (250,137)
Citation 8

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Heteroskedasticity, instrumental variables, Jackknife estimation, local-to-zero framework, many instruments, pathwise asymptotics, weak instruments

10.

Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments

FRB of Philadelphia Working Paper No. 08-25
Number of pages: 38 Posted: 07 Mar 2007 Last Revised: 22 Nov 2019
Nii Ayi C. Armah, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 212 (266,653)
Citation 4

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diffusion index, factor, forecast, macroeconometrics, parameter estimation error, proxy

11.

Mining Big Data Using Parsimonious Factor, Machine Learning, Variable Selection and Shrinkage Methods

Number of pages: 29 Posted: 15 Mar 2016
Hyun Hak Kim, Norman R. Swanson and Norman R. Swanson
Department of Economics, Kookmin University and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 196 (286,448)
Citation 10

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12.

Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence

Number of pages: 37 Posted: 15 Jul 2013 Last Revised: 20 Dec 2014
Hyun Hak Kim, Norman R. Swanson and Norman R. Swanson
Department of Economics, Kookmin University and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 167 (329,954)
Citation 10

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prediction, bagging, boosting, Bayesian model averaging, ridge regression, least angle regression, elastic net and non-negative garotte

13.

A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects

Nonlinear Time Series Analysis of Business Cycles, Forthcoming
Number of pages: 29 Posted: 28 Feb 2007 Last Revised: 11 Sep 2008
Geetesh Bhardwaj, Norman R. Swanson and Norman R. Swanson
Walleye Capital and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 161 (340,549)

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fractional integration, long memory, parameter estimation error, stock returns, long

14.

Bootstrap Procedures for Recursive Estimation Schemes with Applications to Forecast Model Selection

Rutgers University Economics Working Paper No: 2004-18
Number of pages: 37 Posted: 20 Sep 2004
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 158 (345,928)
Citation 3

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Block bootstrap, recursive estimation scheme, reality check, nonlinear causality, parameter estimation error

15.

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction

Number of pages: 24 Posted: 29 May 2003
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 156 (349,703)
Citation 2

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Confluent Hypergeometric Functions, Laplace Approximation, Local-to-zero Asymptotics, Weak Instruments

16.

A Simulation Based Specification Test for Diffusion Processes

Journal of Business and Economic Statistics, Vol. 26, No. 2, pp. 176-193
Number of pages: 32 Posted: 04 Oct 2005 Last Revised: 11 Sep 2008
Geetesh Bhardwaj, Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Walleye Capital, Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 150 (361,155)

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Block bootstrap, diffusion processes, parameter estimation error, simulated GMM, stochastic volatility

17.

Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data

Number of pages: 45 Posted: 06 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 145 (371,234)
Citation 5

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18.

Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility

Number of pages: 44 Posted: 14 Jul 2017
Mingmian Cheng, Norman R. Swanson, Norman R. Swanson and Xiye Yang
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 143 (375,247)
Citation 1

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Forecasting, Latent common volatility factor, Dimension reduction, Factor-augmented regression, High-frequency data, High-dimensional data

19.

Macroeconomic and Financial Uncertainty Measures in a Big Data Environment

Number of pages: 43 Posted: 16 Nov 2021
Weijia Peng, Norman R. Swanson, Norman R. Swanson, Xiye Yang and Chun Yao
Sacred Heart University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics, Rutgers, The State University of New Jersey - Department of Economics and Barclays
Downloads 142 (377,339)

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Latent factor, market volatility, uncertainty, high-frequency data, mixed-frequency data, state space model

20.

Nowcasting and Forecasting GDP in Emerging Markets Using Global Financial and Macroeconomic Diffusion Indexes

Number of pages: 33 Posted: 26 Jul 2018
Oguzhan Cepni, Ibrahim Guney, Norman R. Swanson and Norman R. Swanson
Government of the Republic of Turkey - Central Bank of the Republic of Turkey, Government of the Republic of Turkey - Central Bank of the Republic of Turkey and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 142 (377,339)
Citation 1

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diffusion index, dimension reduction methods, emerging markets, factor model, forecasting, variable selection

21.

Forecasting and Nowcasting Emerging Market GDP Growth Rates: The Role of Latent Global Economic Policy Uncertainty and Macroeconomic Data Surprise Factors

Number of pages: 47 Posted: 02 Jan 2019
Oguzhan Cepni, Ibrahim Guney, Norman R. Swanson and Norman R. Swanson
Government of the Republic of Turkey - Central Bank of the Republic of Turkey, Government of the Republic of Turkey - Central Bank of the Republic of Turkey and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 130 (404,334)
Citation 3

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22.

Methods for Pastcasting, Nowcasting and Forecasting Using Factor-MIDAS: With an Application to Korean GDP

Number of pages: 50 Posted: 14 Jul 2017
Hyun Hak Kim, Norman R. Swanson and Norman R. Swanson
Department of Economics, Kookmin University and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 128 (409,174)
Citation 4

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nowcasting, forecasting, factor model, MIDAS

23.

Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

Number of pages: 48 Posted: 04 Oct 2005
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 125 (416,515)
Citation 10

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Block bootstrap, recursive estimation scheme, reality check, nonlinear causality, parameter estimation error

24.

Robust Forecast Comparison

Number of pages: 57 Posted: 14 May 2015 Last Revised: 15 Mar 2016
Sainan Jin, Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Singapore Management University, University of Surrey - School of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 120 (429,409)
Citation 3

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Convex loss function, Empirical processes, Forecast superiority, General loss function

25.

Predictive Inference for Integrated Volatility

Number of pages: 54 Posted: 06 Mar 2007
Valentina Corradi, Walter Distaso, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London, Imperial College Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 119 (432,117)
Citation 8

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Diffusions, integrated volatility, realized volatility measures, kernels, microstructure noise, conditional confidence intervals, jumps, prediction

26.

Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction

Number of pages: 43 Posted: 29 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 118 (434,889)
Citation 7

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realized volatility, jump power variations, downside risk, semivariances, market microstructure, volatility forecasts, jump test

27.

Forecasting Volatility Using Double Shrinkage Methods

Number of pages: 47 Posted: 23 Aug 2019
Mingmian Cheng, Norman R. Swanson, Norman R. Swanson and Xiye Yang
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 114 (446,232)
Citation 1

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Forecasting, Latent Common Volatility Factor, Dimension Reduction, Factoraugmented Regression, High-Frequency Data, High-Dimensional Data

28.

Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures

Number of pages: 40 Posted: 04 Oct 2005
Valentina Corradi, Walter Distaso, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London, Imperial College Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 104 (477,180)
Citation 2

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Diffusions, integrated volatility, realized volatility measures, kernels, microstructure noise

29.

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests: Monte Carlo Results and a Simple Test

Number of pages: 38 Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 103 (480,395)
Citation 5

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30.

Evidence on the Importance of Volatility Density Forecasting for Financial Risk Management

Number of pages: 47 Posted: 16 Nov 2021
Arpita Mukherjee, Norman R. Swanson and Norman R. Swanson
Fort L.P. and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 95 (506,910)

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Integrated Volatility, Point, Interval, and Density Forecast, Directional Predictive Accuracy, Trading Profitability, Deep Learning, Price and Volatility Jumps, Microstructure Noise

31.

In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008

Number of pages: 36 Posted: 31 May 2011
Norman R. Swanson, Norman R. Swanson and Lili Cai
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and affiliation not provided to SSRN
Downloads 94 (510,367)

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interest rate, multi-factor diffusion process, specification test, out-of-sample forecasts, block bootstrap

32.

How Sticky is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models

Number of pages: 48 Posted: 04 Oct 2005
Oleg Korenok, Norman R. Swanson and Norman R. Swanson
Virginia Commonwealth University - School of Business and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 94 (510,367)
Citation 4

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Sticky price, sticky information, empirical distribution, model selection

33.

Predicting Interest Rates Using Shrinkage Methods, Real-Time Diffusion Indexes, and Model Combinations

Number of pages: 36 Posted: 26 Jul 2018
Norman R. Swanson, Norman R. Swanson and Weiqi Xiong
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 93 (513,885)
Citation 6

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Real-Time Forecasting, Dynamic Nelson-Siegel Model, Term Structure of Interest Rates, Realtime Dataset, FRED-MD, Real-Time Diffusion Index

34.

New Evidence of the Marginal Predictive Content of Small and Large Jumps

Number of pages: 59 Posted: 23 Aug 2019
Bo Yu, Bruce Mizrach, Norman R. Swanson and Norman R. Swanson
Rutgers University, New Brunswick - Department of Economics, Rutgers University, Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 90 (524,578)
Citation 1

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Forecasting, Integrated Volatility, High-Frequency Data, Jumps, Realized Skewness, Cross-Sectional Stock Returns, Signed Jump Variation

35.

Book Review of 'Statistical Foundations for Econometric Techniques' by Asad Zaman

Number of pages: 5 Posted: 20 Nov 2008
Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 89 (528,246)

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efficiency, robust estimation, empirical Bayes

36.

Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality

Number of pages: 23 Posted: 01 Mar 2007 Last Revised: 10 Aug 2013
Norman R. Swanson, Norman R. Swanson and Richard Urbach
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and DFA Capital Management, Inc.
Downloads 89 (528,246)

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seasonal unit root, periodic autoregression, difference stationary, prediction, simulation

37.

Predictive Density and Conditional Confidence Interval Accuracy Tests

Rutgers University Economics Working Paper No. 2004-23
Number of pages: 42 Posted: 20 Sep 2004
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 87 (535,607)
Citation 16

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Block bootstrap, recursive estimation scheme, reality check, nonlinear causality, parameter estimation error

38.

Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Number of pages: 35 Posted: 17 Jan 2022 Last Revised: 08 Feb 2022
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 83 (551,328)

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factor analysis, factor augmented vector autoregression, forecasting, moderate deviation asymptotics, principal components, self-normalization, variable selection

39.

The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus - Simple Linear Econometric Models

Number of pages: 25 Posted: 04 Oct 2005
Oleg Korenok, Norman R. Swanson and Norman R. Swanson
Virginia Commonwealth University - School of Business and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 83 (551,328)
Citation 3

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Sticky price, sticky information, predictive density, model selection

40.

Bootstrap Specification Tests for Diffusion Processes

Number of pages: 37 Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 83 (551,328)
Citation 11

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41.

Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification

Number of pages: 28 Posted: 06 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 72 (598,211)
Citation 14

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42.

A Survey of Recent Advances in Forecast Accuracy Comparison Testing, With an Extension to Stochastic Dominance

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., Springer, 2012
Number of pages: 26 Posted: 15 Jul 2013
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 71 (602,777)

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block bootstrap, recursive estimation scheme, reality check, parameter estimation error

43.

Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks

Number of pages: 36 Posted: 15 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 70 (607,422)
Citation 1

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Itô semi-martingale, realized volatility, jumps, multipower variation, tripower variation, truncated power variation, quarticity, infinite activity jumps

44.

A Test for Comparing Multiple Misspecified Conditional Distributions

Number of pages: 32 Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 70 (607,422)
Citation 5

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45.

Testing for Structural Stability of Factor Augmented Forecasting Models

Journal of Econometrics, Forthcoming
Number of pages: 53 Posted: 16 Jul 2013
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 68 (616,799)
Citation 4

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diffusion index, factor loading stability, forecast failure, forecast stability, regression coefficients stability

46.

Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession

Number of pages: 42 Posted: 26 Jul 2018
Jessica Schlossberg, Norman R. Swanson and Norman R. Swanson
Rutgers University, New Brunswick - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 67 (621,583)
Citation 1

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High-Frequency Jumps, Jump Spillover, Jump Risks, Excess Returns, ETFs, Great Recession, High-Frequency Data

47.

Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity

Number of pages: 15 Posted: 15 Jul 2013
John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
University of Maryland, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 67 (621,583)
Citation 14

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heteroskedasticity, instrumental variables, jackknife estimation, many instruments, weak instruments

48.

Information in the Revision Process of Real-Time Datasets

FRB of Philadelphia Working Paper No. 08-27
Number of pages: 28 Posted: 30 Oct 2008
Valentina Corradi, Andrés Fernández Martin, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics, Universidad de los Andes, Colombia and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 66 (626,561)
Citation 12

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bias, efficiency, generically comprehensive tests, rationality

49.

Combining Two Consistent Estimators

In: Essays in Honor of Jerry Hausman: Advances in Econometrics, Volume 29, Emerald, New York, 2012
Number of pages: 20 Posted: 15 Jul 2013
John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
University of Maryland, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 65 (631,501)

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endogeneity, instrumental variables, jackknife estimation, many moments, Hausman (1978) test

50.

International Evidence on the Efficacy of New-Keynesian Models of Inflation Persistence

Number of pages: 42 Posted: 06 Mar 2007
Oleg Korenok, Norman R. Swanson and Norman R. Swanson
Virginia Commonwealth University - School of Business and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 62 (646,898)
Citation 6

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sticky price, sticky information, empirical distribution, model selection

51.

Instrumental Variable Estimation with Heteroskedasticity and Many Instruments

Number of pages: 46 Posted: 15 Jul 2013
Jerry A. Hausman, Whitney K. Newey, Tiemen Woutersen, John C. Chao, Norman R. Swanson and Norman R. Swanson
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, University of Arizona, University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 59 (662,835)
Citation 8

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Instrumental Variables, Jackknife, Many Instruments, Heteroskedasticity

52.

Some Variables are More Worthy than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators

Number of pages: 34 Posted: 15 Jul 2013
Nii Ayi C. Armah, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 59 (662,835)
Citation 1

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diffusion index, factor, forecast, macroeconometrics, monetary policy, parameter estimation error, proxy, federal reserve bank

53.

Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments

Number of pages: 61 Posted: 31 May 2011
John C. Chao, Norman R. Swanson, Norman R. Swanson, Jerry A. Hausman, Whitney K. Newey and Tiemen Woutersen
University of Maryland, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Arizona
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Citation 12

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54.

Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output

FORECASTING IN THE PRESENCE OF STRUCTURAL BREAKS AND MODEL UNCERTAINTY, Mark Wohar, ed., Elsevier, 2006
Number of pages: 37 Posted: 06 Mar 2007
Nii Ayi C. Armah, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 58 (668,289)

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block bootstrap, forecasting, recursive estimation scheme, rolling estimation scheme, model misspecification, nonlinear causality, parameter estimation error, prediction

55.

Testing for Jumps and Jump Intensity Path Dependence

Number of pages: 37 Posted: 14 Jul 2017
Valentina Corradi, Mervyn J Silvapulle, Norman R. Swanson and Norman R. Swanson
University of Surrey - School of Economics, Monash University - Department of Econometrics & Business Statistics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 56 (679,420)
Citation 8

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diffusion model, jump intensity, jump size density, tricity

56.

Consistent Pretesting for Jumps

Number of pages: 33 Posted: 12 Jun 2014
Valentina Corradi, Mervyn J Silvapulle, Norman R. Swanson and Norman R. Swanson
University of Surrey - School of Economics, Monash University - Department of Econometrics & Business Statistics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 55 (685,004)
Citation 2

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57.

Are Statistical Reporting Agencies Getting it Right? Data Rationality and Business Cycle Asymmetry

Journal of Business and Economic Statistics, Vol. 24, pp. 24-42, 2006
Number of pages: 38 Posted: 16 Jul 2013
Norman R. Swanson, Norman R. Swanson and Dick J. C. van Dijk
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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efficiency, real-time data set, unbiasedness, non-linearity, structural change

58.

The Real-Time Predictive Content of Money for Output

BIS Working Paper No. 96
Number of pages: 34 Posted: 13 Dec 2005
Jeffery D. Amato, Norman R. Swanson and Norman R. Swanson
Goldman Sachs International and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 52 (702,700)
Citation 2

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59.

Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters

Number of pages: 42 Posted: 10 Mar 2020 Last Revised: 24 Aug 2020
Valentina Corradi, Sainan Jin, Norman R. Swanson and Norman R. Swanson
University of Surrey - School of Economics, Peking University - Guanghua School of Management and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 50 (715,151)

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60.

An Expository Note on the Existence of Moments of Fuller and HFUL Estimators

In: Essays in Honor of Jerry Hausman: Advances in Econometrics, Volume 29, Emerald, New York, 2012
Number of pages: 20 Posted: 16 Jul 2013
John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
University of Maryland, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 49 (721,539)

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endogeneity, instrumental variables, jackknife estimation, many moments, existence of moments

61.

Selecting the Relevant Variables for Factor Estimation in FAVAR Models, With An Application to Forecasting the Yield Curve

Number of pages: 35 Posted: 28 Dec 2022 Last Revised: 19 Jul 2023
John C. Chao, Kaiwen Qiu, Norman R. Swanson and Norman R. Swanson
University of Maryland, affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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Factor analysis, factor augmented vector autoregression, forecasting, moderate deviation, principal components, self-normalization, variable selection

62.

Mixing Mixed Frequency and Diffusion Indices in Good Times and in Bad

Number of pages: 40 Posted: 14 Jul 2017
Kihwan Kim, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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Forecasting, Diffusion index, Mixed frequency data, Factor model, Recursive estimation, Kalman filter

63.

Diffusion Index Models and Index Proxies: Recent Results and New Directions

European Journal of Pure and Applied Mathematics, Vol. 3, No. 3, 2010, 478-501
Number of pages: 24 Posted: 15 Jul 2013
Nii Ayi C. Armah, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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diffusion index, factor, forecast, macroeconometrics, parameter estimation error, proxy

64.

Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets

In: Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance, Springer, New York, 2013, Forthcoming
Number of pages: 25 Posted: 16 Jul 2013
Kihwan Kim, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 44 (754,307)

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forecasting, diffusion index, mixed frequency, recursive estimation, Kalman filter

65.

Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting

FRB of Philadelphia Working Paper No. 09-28
Number of pages: 37 Posted: 26 Oct 2009
Andrés Fernández Martin, Norman R. Swanson and Norman R. Swanson
Universidad de los Andes, Colombia and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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Bias, efficiency, generically comprehensive tests, rationality, preliminary, final, real-time data

66.

Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence

Number of pages: 41 Posted: 02 Jan 2019
Mingmian Cheng, Norman R. Swanson and Norman R. Swanson
Department of Finance, Lingnan (University) College, Sun Yat-sen University and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 43 (761,266)

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Jump Test, Jump Intensity, Sequential Testing Bias, Fixed Time Span, Long Time Span, High-Frequency Data

67.

Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models

FRB of Philadelphia Working Paper No. 09-29
Number of pages: 40 Posted: 26 Oct 2009
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 42 (768,211)
Citation 1

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Block bootstrap, diffusion processes, jumps, nonparametric simulated quasi maximum likelihood, parameter estimation error, recursive estimation, stochastic volatility

68.

Density and Conditional Distribution Based Specification Analysis

Distribution Based Specification Analysis, Chapter 56, May 2012
Number of pages: 27 Posted: 16 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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multi-factor diffusion process, specification test, out-of-sample forecasts, conditional distribution, model selection, block bootstrap, jump process

69.

Forecast Evaluation

Number of pages: 40 Posted: 23 Aug 2019
Mingmian Cheng, Norman R. Swanson, Norman R. Swanson and Chun Yao
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Barclays
Downloads 37 (805,174)

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Forecasting, Predictive Accuracy Test, Density, Loss Function

70.

An Assessment of the Marginal Predictive Content of Business Conditions and Economic Uncertainty Indexes

Number of pages: 42 Posted: 26 Apr 2023
Yang Liu, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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Latent factor, business conditions index, macroeconomic uncertainty measure, principal components analysis, least absolute shrinkage operator, high dimensional data, big data

71.

Jackknife Estimation of a Cluster-Sample IV Regression Model with Many Weak Instruments

Number of pages: 43 Posted: 12 Apr 2021 Last Revised: 22 Dec 2022
John C. Chao, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
University of Maryland, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
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cluster sample, instrumental variables, heteroskedasticity, jackknife, many weak instruments, panel data

72.

Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models, With An Application to Forecasting the Yield Curve

Number of pages: 82 Posted: 17 Jan 2022 Last Revised: 19 Jul 2023
John C. Chao, Kaiwen Qiu, Norman R. Swanson and Norman R. Swanson
University of Maryland, affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 23 (926,232)
Citation 1

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factor analysis, factor augmented vector autoregression, forecasting, moderate deviation asymptotics, principal components, self-normalization, variable selection

73.

An Empirical Investigation of the Usefulness of Arfima Models for Predicting Macroeconomic and Financial Time Series

Journal of Econometrics, Vol. 131, No. 1-2, pp. 539-578
Posted: 17 Sep 2004 Last Revised: 11 Sep 2008
Geetesh Bhardwaj, Norman R. Swanson and Norman R. Swanson
Walleye Capital and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics

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fractional integration, long memory, parameter estimation error, stock returns, long horizon prediction

74.

Some Recent Developments in Predictive Accuracy Testing with Nested Models and (Generic) Nonlinear Alternatives

Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London

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75.

A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks

Review of Economics and Statistics, Vol. 79, No. 4, November 1997
Posted: 22 Mar 1998
Norman R. Swanson, Norman R. Swanson and Halbert L. White Jr.
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

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