Norman R. Swanson : Citation Profile

Rutgers University-New Brunswick

30

H index

51

i10 index

2920

Citations

RESEARCH PRODUCTION:

73

Articles

101

Papers

2

Chapters

EDITOR:

5

Books edited

RESEARCH ACTIVITY:

   27 years (1994 - 2021). See details.
   Cites by year: 108
   Journals where Norman R. Swanson has often published
   Relations with other researchers
   Recent citing documents: 194.    Total self citations: 95 (3.15 %)

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   Permalink: http://citec.repec.org/psw10
   Updated: 2025-01-10    RAS profile: 2022-02-08    
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Relations with other researchers

Works with:

Cheng, Mingmian (2)

Cepni, Oguzhan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Norman R. Swanson.

Is cited by:

GUPTA, RANGAN (60)

Rossi, Barbara (56)

McCracken, Michael (50)

van Dijk, Dick (47)

Clark, Todd (46)

Vahey, Shaun (46)

Mitchell, James (34)

Phillips, Peter (29)

Clements, Michael (29)

Teräsvirta, Timo (25)

Franses, Philip Hans (22)

Cites to:

Diebold, Francis (135)

Corradi, Valentina (79)

Ng, Serena (68)

Watson, Mark (65)

Reichlin, Lucrezia (60)

Bai, Jushan (56)

McCracken, Michael (54)

Forni, Mario (46)

Stock, James (43)

Andrews, Donald (38)

Bollerslev, Tim (37)

Main data

Production by document typechapterpaperarticle19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210102030Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021050100150200Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210200400600Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 30Most cited documents12345678910111213141516171819202122232425262728293031320100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501010203040h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Norman R. Swanson has published?

Journals with more than one article published# docs
Journal of Econometrics20
International Journal of Forecasting6
Journal of Business & Economic Statistics5
Journal of Empirical Finance3
Econometric Theory3
Journal of Forecasting2
Oxford Bulletin of Economics and Statistics2
Economics Letters2
Econometric Reviews2
Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
Macroeconomic Dynamics2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of Philadelphia4
Discussion Papers / University of Exeter, Department of Economics3
Yale School of Management Working Papers / Yale School of Management2
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Norman R. Swanson (2024 and 2023)

Year  ↓Title of citing document  ↓
2024Immigration and the skill premium. (2024). Trionfetti, Federico ; Maggioni, Daniela ; lo Turco, Alessia. In: AMSE Working Papers. RePEc:aim:wpaimx:2414.

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2023Testing Many Restrictions Under Heteroskedasticity. (2020). Anatolyev, Stanislav ; Solvsten, Mikkel. In: Papers. RePEc:arx:papers:2003.07320.

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2024Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2024Discordant Relaxations of Misspecified Models. (2020). Li, Lixiong ; D'esir'e K'edagni, ; Mourifi, Ismael . In: Papers. RePEc:arx:papers:2012.11679.

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2023Valid Heteroskedasticity Robust Testing. (2021). Potscher, Benedikt M ; Preinerstorfer, David. In: Papers. RePEc:arx:papers:2104.12597.

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2024Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024Binary response model with many weak instruments. (2022). Seong, Dakyung. In: Papers. RePEc:arx:papers:2201.04811.

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2024A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2024Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

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2023On the instrumental variable estimation with many weak and invalid instruments. (2022). Fan, Qingliang ; Song, Xinyuan ; Windmeijer, Frank ; Lin, Yiqi. In: Papers. RePEc:arx:papers:2207.03035.

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2023A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023A specification test for the strength of instrumental variables. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14396.

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2024Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14423.

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2023Identification- and many instrument-robust inference via invariant moment conditions. (2023). Ligtenberg, Johannes W ; Boot, Tom. In: Papers. RePEc:arx:papers:2303.07822.

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2024Bridging TSLS and JIVE. (2023). Wang, Lei. In: Papers. RePEc:arx:papers:2305.17615.

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2024Inference in IV models with clustered dependence, many instruments and weak identification. (2023). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

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2024Testing for Peer Effects without Specifying the Network Structure. (2023). Liu, Xiaodong ; Jung, Hyunseok. In: Papers. RePEc:arx:papers:2306.09806.

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2023Panel Data Nowcasting: The Case of Price-Earnings Ratios. (2023). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2307.02673.

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2024Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

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2024Weak Identification with Many Instruments. (2023). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.09535.

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2023A Causal Perspective on Loan Pricing: Investigating the Impacts of Selection Bias on Identifying Bid-Response Functions. (2023). Verbeke, Wouter ; Verdonck, Tim ; Verboven, Sam ; Bockel-Rickermann, Christopher. In: Papers. RePEc:arx:papers:2309.03730.

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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Inside the black box: Neural network-based real-time prediction of US recessions. (2023). Chung, Seulki. In: Papers. RePEc:arx:papers:2310.17571.

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2024An Identification and Dimensionality Robust Test for Instrumental Variables Models. (2023). Navjeevan, Manu. In: Papers. RePEc:arx:papers:2311.14892.

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2023Valid Wald Inference with Many Weak Instruments. (2023). Yap, Luther. In: Papers. RePEc:arx:papers:2311.15932.

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2024Optimal Categorical Instrumental Variables. (2023). Wiemann, Thomas. In: Papers. RePEc:arx:papers:2311.17021.

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2024Inference on LATEs with covariates. (2024). Nibbering, Didier ; Boot, Tom. In: Papers. RePEc:arx:papers:2402.12607.

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2024Functional Spatial Autoregressive Models. (2024). Hoshino, Tadao. In: Papers. RePEc:arx:papers:2402.14763.

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2024Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2024). Pedersen, Michael. In: Papers. RePEc:arx:papers:2404.04105.

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2024A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions. (2024). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2412.01603.

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2023.

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2023Forecasting Bilateral Refugee Flows with High-dimensional Data and Machine Learning Techniques. (2023). Zheng, Conghan ; Krueger, Finja ; Heidland, Tobias ; Groeger, Andre ; Boss, Konstantin. In: Working Papers. RePEc:bge:wpaper:1387.

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2024.

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2023.

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2023Conditional inference in cis?Mendelian randomization using weak genetic factors. (2023). Gill, Dipender ; Patel, Ashish ; Burgess, Stephen ; Newcombe, Paul. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:4:p:3458-3471.

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2024Does Money Growth Granger Cause Inflation in the Euro Area? Evidence from Out‐of‐Sample Forecasts Using Bayesian VARs. (2011). Österholm, Pär ; Berger, Helge. In: The Economic Record. RePEc:bla:ecorec:v:87:y:2011:i:276:p:45-60.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina ; Pekarskiene, Irena ; Lukauskas, Mantas. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2024The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting. (2024). Rauh, C ; Prez, J J ; Mueller, H ; Molina, L ; Diakonova, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2418.

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2024.

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2023Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp759.

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2023Goodness-of-fit test in high-dimensional linear sparse models. (2023). van Bellegem, Sebastien ; Sauvenier, Mathieu. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023008.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

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2023Renewable energy consumption and the rising effect of climate policy uncertainty: Fresh policy analysis from China. (2023). Kalra, Akash ; Nasnodkar, Siddhesh Prabhu ; Elsherazy, Tarek Abbas ; Bagadeem, Salim ; Huo, Dongxia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1459-1474.

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2024Low interest rates and the predictive content of the yield curve. (2024). Haubrich, Joseph G ; Bordo, Michael D. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000056.

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2023Second-order refinements for t-ratios with many instruments. (2023). Otsu, Taisuke ; Matsushita, Yukitoshi. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:346-366.

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2023Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154.

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2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

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2023Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331.

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2023Identification-robust nonparametric inference in a linear IV model. (2023). Antoine, Bertille ; Lavergne, Pascal. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:1-24.

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2023ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171.

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2023Joint inference based on Stein-type averaging estimators in the linear regression model. (2023). Boot, Tom. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1542-1563.

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2023Jackknife estimation of a cluster-sample IV regression model with many weak instruments. (2023). Woutersen, Tiemen ; Swanson, Norman R ; Chao, John C. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1747-1769.

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2023Robust inference with stochastic local unit root regressors in predictive regressions. (2023). Phillips, Peter ; Liu, Yanbo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:563-591.

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2023Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971.

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2023Testing many restrictions under heteroskedasticity. (2023). Anatolyev, Stanislav ; Solvsten, Mikkel. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001677.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023Volatility measurement with pockets of extreme return persistence. (2023). Todorov, Viktor ; Li, Yingying ; Andersen, Torben G ; Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924.

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2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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2024A conditional linear combination test with many weak instruments. (2024). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003184.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. (2024). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s030440762100097x.

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2024Predictive ability tests with possibly overlapping models. (2024). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629.

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2024Wild bootstrap inference for instrumental variables regressions with weak and few clusters. (2024). Zhang, Yichong ; Wang, Wenjie. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000733.

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2023Fast cluster bootstrap methods for linear regression models. (2023). MacKinnon, James G. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:52-71.

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2024GMM with Nearly-Weak Identification. (2024). Renault, Eric ; Antoine, Bertille. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:36-59.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Estimation with mixed data frequencies: A bias-correction approach. (2023). Linton, Oliver ; Ghosh, Anisha. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000701.

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2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

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2023Jumps in the Chinese crude oil futures volatility forecasting: New evidence. (2023). Wu, Hanlin ; Li, Pan ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300453x.

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2023Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic. (2023). Fromentin, Vincent ; Mohamad, Azhar. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004991.

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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; Zhu, Xuening ; Sheng, Lin Wen ; Park, Donghyun ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2023Forecasting crude oil price returns: Can nonlinearity help?. (2023). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024756.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2024Time-varying causality impact of economic policy uncertainty on stock market returns: Global evidence from developed and emerging countries. (2024). Zhang, Feipeng ; Hong, Yun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005070.

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2023Are climate risks helpful for understanding inflation in BRICS countries?. (2023). Zhang, Zhihao. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008139.

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2024Time-varying causality among whisky, wine, and equity markets. (2024). Moroz, David ; Pecchioli, Bruno ; Fromentin, Vincent. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003751.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2023Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819.

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2023Forecasting GDP growth rates in the United States and Brazil using Google Trends. (2023). Clements, Michael ; Urquhart, Andrew ; Bantis, Evripidis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1909-1924.

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2024How local is the local inflation factor? Evidence from emerging European countries. (2024). Clements, Michael ; Cepni, Oguzhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:160-183.

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2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

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2024Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data. (2024). Fang, Kuangnan ; Jin, Wei ; Zheng, Tingguo. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:746-761.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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More than 100 citations found, this list is not complete...

Norman R. Swanson has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Norman R. Swanson:

Year  ↓Title  ↓Type  ↓Cited  ↓
1995A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks. In: Journal of Business & Economic Statistics.
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2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
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2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
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2008A Simulation-Based Specification Test for Diffusion Processes In: Journal of Business & Economic Statistics.
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2006A Simulation Based Specification Test for Diffusion Processes.(2006) In: Departmental Working Papers.
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2009Comment In: Journal of Business & Economic Statistics.
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2009Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics.
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2008Information in the revision process of real-time datasets.(2008) In: Working Papers.
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2011Information in the Revision Process of Real-Time Datasets.(2011) In: Departmental Working Papers.
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2000The real-time predictive content of money for output In: BIS Working Papers.
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2002Temporal aggregation and spurious instantaneous causality in multiple time series models In: Journal of Time Series Analysis.
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1996Future Developments in the Study of Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
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2005The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models* In: Oxford Bulletin of Economics and Statistics.
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1996Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data In: Studies in Nonlinear Dynamics & Econometrics.
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1996Forecasting Using First Available Versus Fully Revised Economic Time Series data..(1996) In: Pennsylvania State - Department of Economics.
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1998Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets In: Studies in Nonlinear Dynamics & Econometrics.
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1997Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets..(1997) In: Pennsylvania State - Department of Economics.
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2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
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2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
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2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
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1998Monetary Policy Rules with Model and Data Uncertainty In: CIRANO Working Papers.
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2002Monetary Policy Rules with Model and Data Uncertainty.(2002) In: Southern Economic Journal.
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2018Big data analytics in economics: What have we learned so far, and where should we go from here? In: Canadian Journal of Economics.
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2018Big data analytics in economics: What have we learned so far, and where should we go from here?.(2018) In: Canadian Journal of Economics/Revue canadienne d'économique.
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2001Data Transformation and Forecasting in Models with Unit Roots and Cointegration In: Annals of Economics and Finance.
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2005A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS In: Econometric Theory.
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2012ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS In: Econometric Theory.
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2010Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments.(2010) In: Economics Working Paper Archive.
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2011Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments.(2011) In: Departmental Working Papers.
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2017ROBUST FORECAST COMPARISON In: Econometric Theory.
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2015Robust Forecast Comparison.(2015) In: Departmental Working Papers.
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2000TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION In: Macroeconomic Dynamics.
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1997Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production..(1997) In: Pennsylvania State - Department of Economics.
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2001OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics.
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2000An Out of Sample Test for Granger Causality.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2003Consistent Estimation with a Large Number of Weak Instruments In: Cowles Foundation Discussion Papers.
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2005Consistent Estimation with a Large Number of Weak Instruments.(2005) In: Econometrica.
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2004Consistent Estimation with a Large Number of Weak Instruments.(2004) In: Departmental Working Papers.
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2004Consistent Estimation with a Large Number of Weak Instruments.(2004) In: Yale School of Management Working Papers.
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2003Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction In: Cowles Foundation Discussion Papers.
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2007Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction.(2007) In: Journal of Econometrics.
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2003Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction.(2003) In: Departmental Working Papers.
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2004Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction.(2004) In: Yale School of Management Working Papers.
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2004Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments In: Econometric Society 2004 Far Eastern Meetings.
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2004Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments.(2004) In: Departmental Working Papers.
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2004Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated In: Econometric Society 2004 North American Winter Meetings.
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2004Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments In: Econometric Society 2004 North American Winter Meetings.
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2012Instrumental variable estimation with heteroskedasticity and many instruments In: Quantitative Economics.
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2007Instrumental variable estimation with heteroskedasticity and many instruments.(2007) In: CeMMAP working papers.
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2009Instrumental Variable Estimation with Heteroskedasticity and Many Instruments.(2009) In: Economics Working Paper Archive.
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2011Instrumental Variable Estimation with Heteroskedasticity and Many Instruments.(2011) In: Departmental Working Papers.
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2003Trade, investment and growth: nexus, analysis and prognosis In: Journal of Development Economics.
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1998Trade, Investment, and Growth: Nexus, Analysis, and Prognosis.(1998) In: NBER Working Papers.
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2006Predictive Density Evaluation In: Handbook of Economic Forecasting.
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2004Predictive Density Evaluation.(2004) In: Departmental Working Papers.
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2001A new definition for time-dependent price mean reversion in commodity markets In: Economics Letters.
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2004A test for the distributional comparison of simulated and historical data In: Economics Letters.
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2001Predictive ability with cointegrated variables In: Journal of Econometrics.
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2002A consistent test for nonlinear out of sample predictive accuracy In: Journal of Econometrics.
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2000A Consistent Test for Nonlinear Out of Sample Predictive Accuracy..(2000) In: Discussion Papers.
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2005Bootstrap specification tests for diffusion processes In: Journal of Econometrics.
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2003Bootstrap Specification Tests for Diffusion Processes.(2003) In: Departmental Working Papers.
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2006An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series In: Journal of Econometrics.
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2004An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series.(2004) In: Departmental Working Papers.
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2006The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test In: Journal of Econometrics.
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2003The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test.(2003) In: Departmental Working Papers.
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2006Bootstrap conditional distribution tests in the presence of dynamic misspecification In: Journal of Econometrics.
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2003Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification.(2003) In: Departmental Working Papers.
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2006Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics.
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2006Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics.
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2004Predective Density and Conditional Confidence Interval Accuracy Tests.(2004) In: Departmental Working Papers.
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2007Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data In: Journal of Econometrics.
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2003Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data.(2003) In: Departmental Working Papers.
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2009Predictive density estimators for daily volatility based on the use of realized measures In: Journal of Econometrics.
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2006Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures.(2006) In: Departmental Working Papers.
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2011Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models In: Journal of Econometrics.
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2009Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models.(2009) In: Working Papers.
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2011Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models.(2011) In: Post-Print.
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2011Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models.(2011) In: Departmental Working Papers.
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2014Testing overidentifying restrictions with many instruments and heteroskedasticity In: Journal of Econometrics.
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2011Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity.(2011) In: Departmental Working Papers.
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2014Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence In: Journal of Econometrics.
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2011Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence.(2011) In: Departmental Working Papers.
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2014Testing for structural stability of factor augmented forecasting models In: Journal of Econometrics.
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2013Testing for Structural Stability of Factor Augmented Forecasting Models.(2013) In: Departmental Working Papers.
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2015Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction In: Journal of Econometrics.
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2013Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction.(2013) In: Departmental Working Papers.
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2018Testing for jumps and jump intensity path dependence In: Journal of Econometrics.
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1997An introduction to stochastic unit-root processes In: Journal of Econometrics.
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1996An introduction to stochastic Unit Root Processes..(1996) In: Pennsylvania State - Department of Economics.
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2000The econometric consequences of the ceteris paribus condition in economic theory In: Journal of Econometrics.
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2000Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes In: Journal of Econometrics.
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1996Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes..(1996) In: Pennsylvania State - Department of Economics.
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2011In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008 In: Journal of Empirical Finance.
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2011In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008.(2011) In: Departmental Working Papers.
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2021Forecasting volatility using double shrinkage methods In: Journal of Empirical Finance.
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1997Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models In: International Journal of Forecasting.
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2004Forecasting economic and financial time-series with non-linear models In: International Journal of Forecasting.
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2003Forecasting economic and financial time-series with non-linear models.(2003) In: Departmental Working Papers.
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2004Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives In: International Journal of Forecasting.
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2003Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives.(2003) In: Departmental Working Papers.
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2009Comments on Forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
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2018Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods In: International Journal of Forecasting.
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2019Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes In: International Journal of Forecasting.
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2004The volume of federal litigation and the macroeconomy In: International Review of Law and Economics.
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2003The Volume of Federal Litigation and the Macroeconomy.(2003) In: Departmental Working Papers.
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2002The Volume of Federal Litigation and the Macroeconomy.(2002) In: Working Papers.
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2002Comments on A vector error-correction forecasting model of the US economy In: Journal of Macroeconomics.
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1998Money and output viewed through a rolling window In: Journal of Monetary Economics.
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2015Prediction and simulation using simple models characterized by nonstationarity and seasonality In: International Review of Economics & Finance.
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2013Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality.(2013) In: Departmental Working Papers.
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2001Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error In: Discussion Papers.
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2001A Randomized Procedure for Choosing Data Transformation In: Discussion Papers.
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2008Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments In: Working Papers.
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2011Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments.(2011) In: Departmental Working Papers.
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2010Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments.(2010) In: Econometric Reviews.
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2009Real-time datasets really do make a difference: definitional change, data release, and forecasting In: Working Papers.
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2011Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting.(2011) In: Departmental Working Papers.
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1995A Rolling Window Analysis of the Marginal Predictive Content of Money for Real Output. In: Pennsylvania State - Department of Economics.
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1995LM Tests and Nonlinear Error Correction in Economic Time Series. In: Pennsylvania State - Department of Economics.
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1995Do Formulations of the Permanent Income Hypothesis with Constant Real Interest Rates and Subjective Tiome Preferences Rates Make Sense? An Example of Random Walk with Time Varying Drift. In: Pennsylvania State - Department of Economics.
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1995A Models Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks. In: Pennsylvania State - Department of Economics.
[Citation analysis]		paper154
1997A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks.(1997) In: The Review of Economics and Statistics.
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1995A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks.(1995) In: Macroeconomics.
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1995Further Developments in the Study of Cointegrated Variables. In: Pennsylvania State - Department of Economics.
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2010Further Developments in the Study of Cointegrated Variables.(2010) In: Journal of Financial Econometrics.
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1996Forecasting Economic Time series Using Adaptive Versus Nonadaptive and Linecar Versus Nonlinear Econometric Models. In: Pennsylvania State - Department of Economics.
[Citation analysis]		paper1
1996A Comparison of Alternatove causality and Predictive Accuracy Tests in the presence of Integrated and Co-integrated Economic Variables. In: Pennsylvania State - Department of Economics.
[Citation analysis]		paper9
1996Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection. In: Pennsylvania State - Department of Economics.
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1994Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions. In: Pennsylvania State - Department of Economics.
[Citation analysis]		paper29
2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence In: Econometrics.
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2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section In: Econometrics.
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2007NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review.
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2006Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.(2006) In: Departmental Working Papers.
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2010International evidence on the efficacy of new-Keynesian models of inflation persistence In: Journal of Applied Econometrics.
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2006International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2006) In: Departmental Working Papers.
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2011International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2011) In: Departmental Working Papers.
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2006International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence.(2006) In: Working Papers.
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2001Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection. In: Journal of Forecasting.
[Citation analysis]		article34
2007How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models In: Journal of Money, Credit and Banking.
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2007How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models.(2007) In: Journal of Money, Credit and Banking.
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2005Predicting Inflation: Does The Quantity Theory Help? In: Economic Inquiry.
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2003Predicting Inflation: Does The Quantity Theory Help?.(2003) In: Departmental Working Papers.
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1996BOOK REVIEW of “Statistical Foundations for Econometric Techniques” by Asad Zaman In: MPRA Paper.
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2003Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments In: Departmental Working Papers.
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2003The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation In: Departmental Working Papers.
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2003A Test for Comparing Multiple Misspecified Conditional Distributions In: Departmental Working Papers.
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2004Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection In: Departmental Working Papers.
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2006How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version In: Departmental Working Papers.
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2006A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects In: Departmental Working Papers.
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2006The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives In: Departmental Working Papers.
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2006Predictive Inference for Integrated Volatility In: Departmental Working Papers.
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2011Predictive Inference for Integrated Volatility.(2011) In: Departmental Working Papers.
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2011Predictive Inference for Integrated Volatility.(2011) In: Departmental Working Papers.
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2006Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output In: Departmental Working Papers.
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2011Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output.(2011) In: Departmental Working Papers.
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2006Predictive Density Evaluation. Revised. In: Departmental Working Papers.
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2011Diffusion Index Models and Index Proxies: Recent Results and New Directions In: Departmental Working Papers.
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2011Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators In: Departmental Working Papers.
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2011Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators.(2011) In: Applied Financial Economics.
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2011Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks In: Departmental Working Papers.
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2011Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps In: Departmental Working Papers.
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2013A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance In: Departmental Working Papers.
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2013Combining Two Consistent Estimators In: Departmental Working Papers.
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2013An Expository Note on the Existence of Moments of Fuller and HFUL Estimators In: Departmental Working Papers.
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2013Density and Conditional Distribution Based Specification Analysis In: Departmental Working Papers.
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2013Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets In: Departmental Working Papers.
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2013Mining Big Data Using Parsimonious Factor and Shrinkage Methods In: Departmental Working Papers.
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2014Consistent Pretesting for Jumps In: Departmental Working Papers.
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1998Book reviews In: Econometric Reviews.
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2016Comment In: Journal of Business & Economic Statistics.
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2018Methods for backcasting, nowcasting and forecasting using factor€ MIDAS: With an application to Korean GDP In: Journal of Forecasting.
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2020Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors In: Journal of Forecasting.
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2020Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession In: World Scientific Book Chapters.
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1998Temporal aggregation and causality in multiple time series models In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper1

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