Norman R. Swanson

Rutgers University - Department of Economics

Professor

NJ

United States

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

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

75 Hamilton Street

New Brunswick, NJ 08901

United States

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

SCHOLARLY PAPERS

77

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6,246

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Top 3,423

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123

CROSSREF CITATIONS

271

Scholarly Papers (77)

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 The Conference Board
Downloads 383 (100,400)

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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 The Conference Board
Downloads 158 (242,149)

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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: 07 Oct 2021
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 The Conference Board
Downloads 28 (621,160)

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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 The Conference Board

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

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 541 (66,337)
Citation 3

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

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

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 51, Issue 3, pp. 695-746, 2018
Number of pages: 52 Posted: 02 Aug 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 BlackRock, Inc
Downloads 2 (836,504)
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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 335 (117,684)
Citation 3

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Market efficiency, expectations, news, data revision process

4.
Downloads 314 (126,070)
Citation 39

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 164 (234,523)
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 150 (252,968)
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.

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 231 (172,136)
Citation 5

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

6.

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 201 (196,150)
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

7.

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 184 (212,309)
Citation 1

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

8.

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 169 (228,334)
Citation 4

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

9.

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 156 (244,230)

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

10.

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 155 (245,527)
Citation 8

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

11.

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
SummerHaven Investment Management and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 138 (269,660)

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

12.

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 136 (272,706)
Citation 3

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

13.

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 130 (282,073)
Citation 10

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

14.

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 125 (290,633)
Citation 4

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15.

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 116 (306,618)
Citation 1

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

16.

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 112 (314,262)

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

17.

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 111 (316,185)
Citation 10

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18.

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
SummerHaven Investment Management, Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 109 (320,215)

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

19.

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 105 (328,442)
Citation 10

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

20.

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 103 (332,645)
Citation 8

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

21.

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 91 (360,306)
Citation 3

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

22.

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 85 (375,797)
Citation 1

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

23.

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 83 (381,130)
Citation 2

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

24.

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 82 (383,871)
Citation 5

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25.

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 77 (398,144)
Citation 4

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nowcasting, forecasting, factor model, MIDAS

26.

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 73 (410,142)
Citation 1

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

27.

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 70 (419,588)

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

28.

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 69 (422,861)
Citation 11

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29.

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 68 (426,122)
Citation 16

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

30.

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 66 (432,844)
Citation 3

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Sticky price, sticky information, predictive density, model selection

31.

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 63 (443,207)

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

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 61 (450,252)
Citation 4

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Sticky price, sticky information, empirical distribution, model selection

33.

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 59 (457,603)

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efficiency, robust estimation, empirical Bayes

34.

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 54 (476,558)

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

35.

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 53 (480,499)
Citation 5

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36.

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 52 (484,588)
Citation 14

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37.

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 51 (488,767)
Citation 4

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

38.

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 50 (492,933)
Citation 3

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

39.

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 49 (497,185)

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

40.

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 47 (505,913)
Citation 1

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

41.

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 44 (519,445)

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

42.

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 44 (519,445)

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

43.

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 42 (528,889)
Citation 1

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

44.

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 41 (533,646)
Citation 3

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45.

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 41 (533,646)
Citation 2

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46.

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 41 (533,646)
Citation 12

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bias, efficiency, generically comprehensive tests, rationality

47.

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 41 (533,646)
Citation 6

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sticky price, sticky information, empirical distribution, model selection

48.

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 39 (543,496)
Citation 2

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49.

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 38 (548,478)
Citation 1

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

50.

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
Downloads 38 (548,478)
Citation 7

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51.

The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 905-930, December 2005
Number of pages: 26 Posted: 03 Feb 2006
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 36 (558,925)
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52.

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 33 (575,017)
Citation 2

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diffusion model, jump intensity, jump size density, tricity

53.

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

54.

Predicting Inflation: Does the Quantity Theory Help?

Economic Inquiry, Vol. 43, Issue 3, pp. 570-585, 2005
Number of pages: 16 Posted: 05 Jun 2006
Lance Bachmeier, Norman R. Swanson and Norman R. Swanson
Kansas State University and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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55.

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

56.

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
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Citation 8

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Instrumental Variables, Jackknife, Many Instruments, Heteroskedasticity

57.

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

58.

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

59.

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

60.

Temporal Aggregation and Spurious Instantaneous Causality in Multiple Time Series Models

Number of pages: 15 Posted: 14 Feb 2003
Jorg Breitung, Norman R. Swanson and Norman R. Swanson
Humboldt-Universitat Zu Berlin and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
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61.

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

62.

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

63.

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

64.

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
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65.

Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

International Economic Review, Vol. 48, No. 1, pp. 67-109, February 2007
Number of pages: 43 Posted: 08 Feb 2007
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
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66.

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

67.

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

68.

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

69.

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

70.

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

Number of pages: 45 Posted: 12 Apr 2021
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

71.

Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Number of pages: 35 Posted: 17 Jan 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
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factor analysis, factor augmented vector autoregression, forecasting, moderate deviation asymptotics, principal components, self-normalization, variable selection

72.

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
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Forecasting, Predictive Accuracy Test, Density, Loss Function

73.

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

74.

Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Number of pages: 366 Posted: 17 Jan 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
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factor analysis, factor augmented vector autoregression, forecasting, moderate deviation asymptotics, principal components, self-normalization, variable selection

75.

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
SummerHaven Investment Management 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

76.

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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77.

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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