Homepage: Anders Rygh Swensen



In the fall semester: STK4011 - Statistical Inference Theory.
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Curriculum vitae, Anders Rygh Swensen




Previous positions:

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List of publications

Papers in refereed journals:

  1. Deficiencies between linear-normal experiments.
    Annals of Statistics vol. 8 (1980), 1142-1155.
  2. A note on asymptotic inference in a class of non-stationary processes.
    Stochasic Process. Appl. vol. 15 (1983), 181-191.
  3. A note on convergence of conditional moments. Scand. J. Statistics
    vol. 10 (1983), 41-44.
  4. The asyptotic distribution of the likelihood ratio for autoregressive time series with a
    regression trend. J. Multivariate Anal. vol. 16 (1985), 54-70.
  5. A note on statistical inference for a class of diffusions and approximate diffusions.
    Stochastic Process. Appl. vol. 19 (1985), 111-123.
  6. On a GI/M/c queue with bounded waiting times. Operations Research
    vol. 34 (1986), 895-908.
  7. With E. Bredrup, K. Evensen and B. Helvik: The activity-dependent failure intensity of
    SPC systems - some empirical results. IEEE J. on Selected Areas in Communications
    vol. SAC-4 (1986), 1052-1059.
  8. With B. Helvik: Modelling of clustering effects in point processes. An application
    to failures SPC systems. Scand. J. Statistics vol. 14 (1987), 57-66.
  9. A note on a randomized occupancy problem. J. Appl. Prob. vol. 25 (1988), 725-732.
  10. Estimating change in a proportion by combining measurements from a true and a
    fallible classifier. Scand. J. Statistics vol. 15 (1988), 139-145.
  11. A note on asymptotic power calculations in nearly nonstationary time series.
    Econometric Theory vol. 9 (1993), 659-667.
  12. On maximum likelihood estimation in the mover-stayer model. Communications
    in Statistics, Theory and methods
    vol. 25 (1996), 1717-1728.
  13. With Søren Johansen: Testing rational expectations in vector autoregressive
    models. Journal of Econometrics vol. 93 (1999), 73-91.
  14. With Joseph Sexton: ECM-algorithms that converge at the rate of EM
    Biometrika vol. 87 (2000), 651-662.
  15. A note on the power of unit root tests. Econometric Theory. vol. 19 (2003), 32-48.
  16. Bootstrapping unit root tests for integrated processes. Journal of Time Series
    vol. 24 (2003), 99-126.
  17. With Søren Johansen: More on testing exact rational expectations in cointegrated vector
    autoregressive models: Resticted drift terms. Econometrics Journal vol. 7 (2004), 389-397.
    Matlab code for the computation is here, and the data that is used is here
  18. With Pål Boug and Ådne Cappelen: Expectation and regime robustness in
    price formation: evidence from VAR models and recursive methods. Empirical
    vol. 31 (2006), 821-845. R-code for the computation is here, and the data that is used is here
  19. Bootstrap algorithms for testing and determining the cointegration rank in VAR
    models. Econometrica vol. 74 (2006), 1699-1714. CORRIGENDUM vol. 77 (2009), 1703-1704.
    FORTRAN code for the simulations is here.
  20. With Arvid Raknerud og Terje Skjerpen: A linear demand system within a
    seemingly unrelated times series equations framework. Empirical
    . vol. 32 (2007), 105-124.
  21. With Søren Johansen: Exact rational expectations, cointegration and reduced rank
    regression. Journal of Statistical Planning and Inference vol. 138 (2008), 2738-2748.
  22. With Pål Boug and Ådne Cappelen: The New-Keynesian Phillips curve revisited.
    Journal of Economic Dynamics & Control vol.34 (2010), 858-874.
    R-code and data for the computation is at the address:
  23. With Arvid Raknerud og Terje Skjerpen: Forecasting key macroeconomic
    variables from a large number of predictors: A state space approach.
    Journal of Forecasting vol. 29 (2010), 367-387.
  24. With Søren Johansen: On a numerical and graphical technique for
    evaluating some models involving rational expectations,
    Journal of Time Series Econometrics. Vol. 3 (2011): Iss.1, Articel 9.
  25. A bootstrap algorithm for testig cointegration rank in VAR models in the prescence
    of stationary variables. Journal of Econometrics, vol. 165 (2011), 152-162.
    R- and FORTRAN code for the computation is at the address: folk.uio.no/~swensen/bvar2/bvar2.html
  26. With Ragnar Nymoen and Eivind Tveter: Interpreting the evidence
    for the New Keynesian model of inflation dynamics.
    Journal of Macroeconomics, vol. 34 (2012), 253-263.
  27. Some exact and inexact linear rational expectation models
    in vector autoregressive models. Economics Letters vol. 123 (2014), 216-219.
  28. With Pål Boug and Ådne Cappelen: Inflation Dynamics in a Small Open Economy.
    Scandinavian Journal of Economics vol. 119 (2018), 1010-1039.
    R-code and data for the computation is at the address:


  1. Asymptotic Inference for a Class of Stochastic Processes. Ph. D.
    dissertation, University of California, Berkeley, 1980.
  2. With J. Heldal og I. Thomsen: Census statistics through combined use of surveys
    and registers. Stat. J. of the United Nations ECE vol. 5 (1987), 43-51.
  3. Contiguity in nonstationary time series. In
    Research Papers in Probability and Statistics. Festschrift for Lucien Le Cam.
    D. Pollard, E. Torgersen and G.L. Yang eds., 377-384, New York: Springer Verlag, (1997).
  4. With Anne Sofie Jore and Terje Skjerpen: Testing for Purchasing Power Parity
    and Interest Rate Parities on Norwegian Data (1998). LINK Proceedings
    (Studies in Applied International Economics)
    vol. 1, 60-84. Singapore:
    World Scientific Publishing Co. Pte. Ltd.
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Updated June 25th 2018.