Anders Rygh Swensen

• Boug, Pål; Cappelen, Ådne; Jansen, Eilev S. & Swensen, Anders Rygh (2020). The Consumption Euler Equation or the Keynesian Consumption Function?. Oxford Bulletin of Economics and Statistics.  ISSN 0305-9049. . doi: 10.1111/obes.12394
• Boug, Pål; Cappelen, Ådne & Swensen, Anders Rygh (2017). Inflation Dynamics in a Small Open Economy. The Scandinavian Journal of Economics.  ISSN 0347-0520.  119(4), s 1010- 1039 . doi: 10.1111/sjoe.12194
• Swensen, Anders Rygh (2014). Some exact and inexact linear rational expectation models in vector autoregressive models. Economics Letters.  ISSN 0165-1765.  123(2), s 216- 219 . doi: 10.1016/j.econlet.2014.02.015
• Nymoen, Ragnar; Swensen, Anders Rygh & Tveter, Eivind (2012). Interpreting the evidence for New Keynesian models of inflation dynamics. Journal of macroeconomics.  ISSN 0164-0704.  34(2), s 253- 263 . doi: 10.1016/j.jmacro.2012.01.008
• Johansen, Søren & Swensen, Anders Rygh (2011). On a graphical technique for evaluating some rational expectations models. Journal of Time Series Econometrics.  ISSN 1941-1928.  3(1) . doi: 10.2202/1941-1928.1089
• Swensen, Anders Rygh (2011). A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables. Journal of Econometrics.  ISSN 0304-4076.  165(2), s 152- 162 . doi: 10.1016/j.jeconom.2011.07.002
• Boug, Pål; Cappelen, Aadne & Swensen, Anders Rygh (2010). The new Keynesian Phillips curve revisited. Journal of Economic Dynamics and Control.  ISSN 0165-1889.  34(5), s 858- 874 . doi: 10.1016/j.jedc.2010.01.001
• Raknerud, Arvid; Skjerpen, Terje & Swensen, Anders Rygh (2010). Forecasting Key Macroeconomic Variables from a Large Number of Predictors: A State Space Approach. Journal of Forecasting.  ISSN 0277-6693.  29(4), s 367- 387 . doi: 10.1002/for.1131
• Johansen, S & Swensen, Anders Rygh (2008). Exact rational expectations, cointegration, and reduced rank regression. Journal of Statistical Planning and Inference.  ISSN 0378-3758.  138, s 2738- 2748 . doi: 10.1016/j.jspi.2008.03.030
• Raknerud, Arvid; Skjerpen, Terje & Swensen, Anders Rygh (2007). A linear demand system within a seemingly unrelated time series equations framework. Empirical Economics.  ISSN 0377-7332.  32 . doi: 10.1007/s00181-006-0074-5
• Boug, Pål; Cappelen, Ådne & Swensen, Anders Rygh (2006). Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods. Empirical Economics.  ISSN 0377-7332.  31, s 821- 845
• Swensen, Anders Rygh (2006). Bootstrap algorithms for testing and determining the cointegration rank in VAR models. Econometrica.  ISSN 0012-9682.  74, s 1699- 1714
• Johansen, Søren & Swensen, Anders Rygh (2004). More on testing exact rational expectations in cointegrated vector autoregressive models:Restricted constant and linear term. Econometrics Journal.  ISSN 1368-4221.  7, s 389- 397
• Swensen, Anders Rygh (2003). A note on the power of bootstrap unit root tests. Econometric Theory.  ISSN 0266-4666.  19(1), s 32- 48
• Swensen, Anders Rygh (2003). Bootstrapping unit root tests for integrated processes. Journal of Time Series Analysis.  ISSN 0143-9782.  24(1), s 99- 126
• Sexton, Joe & Swensen, Anders Rygh (2000). ECM algorithms that converge at the rate of EM. Biometrika.  ISSN 0006-3444.  87(3), s 651- 662 Show summary

  We show that the ECM algorithm can always be constructed to converge at the same or approximately the same rate as the EM algorithm. The construction is based on the well-known conjugate directions algorithm. This result both suggests ways of speeding up the convergence of ECM and provides a simple way of identifying cases where the simplicity and stability of ECM over EM is attained at effectively no loss in convergence speed. Three examples are given.

• Johansen, Soeren & Swensen, Anders Rygh (1999). Testing exact rational expectations in cointegrated vector autoregressive models. Journal of Econometrics.  ISSN 0304-4076.  93, s 73- 91 Show summary

  This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum- likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.

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• Boug, Pål; Cappelen, Ådne; Jansen, Eilev S & Swensen, Anders Rygh (2019). The consumption Euler equation or the Keynesian consumption function?. Discussion papers.  ISSN 1892-753X.  (No. 904) Show summary

  We formulate a general cointegrated vector autoregressive (CVAR) model that nests both a class of consumption Euler equations and various Keynesian type consumption functions. Using likelihoodbased methods and Norwegian data, we find support for cointegration between consumption, income and wealth once a structural break around the financial crisis is allowed for. That consumption cointegrates with both income and wealth and not only with income points to the empirical irrelevance of an Euler equation. Moreover, we find that consumption equilibrium corrects to changes in income and wealth and not that income equilibrium corrects to changes in consumption, which would be the case if an Euler equation is true. We also find that most of the parameters stemming from the class of Euler equations are not corroborated by the data when considering conditional expectations of future consumption and income in CVAR models. Only habit formation seems important in explaining the Norwegian consumer behaviour. Our preferred model is a dynamic Keynesian type consumption function with a first year marginal propensity to consume out of income close to 25 per cent.

• Boug, Pål; Cappelen, Ådne & Swensen, Anders Rygh (2016). Modelling OPEC behaviour: Theory and evidence. Discussion papers. No. 843.
• Boug, Pål; Cappelen, Ådne & Swensen, Anders Rygh (2011). The new Keynesian Phillips curve: Does it fit Norwegian data?. Discussion papers. No. 652. Show summary

  We evaluate the empirical performance of the new Keynesian Phillips curve (NKPC) for a small open economy using cointegrated vector autoregressive models, likelihood based methods and general method of moments. Our results indicate that both baseline and hybrid versions of the NKPC as well as exact and inexact formulations of the rational expectation hypothesis are most likely at odds with Norwegian data. By way of contrast, we establish a well-specified dynamic backward-looking imperfect competition model (ICM), a model which encompasses the NKPC in-sample with a major monetary policy regime shift from exchange rate targeting to inflation targeting. We also demonstrate that the ICM model forecasts well both post-sample and during the recent financial crisis. Our findings suggest that taking account of forward-looking behaviour when modelling consumer price inflation is unnecessary to arrive at a well-specified model by econometric criteria. Keywords: The new Keynesian Phillips curve, imperfect competition model, cointegrated vector autoregressive models (CVAR), equilibrium correction models, likelihood based methods and general method of moments (GMM)

• Boug, Pål; Cappelen, Aadne & Swensen, Anders Rygh (2007). The New Keynesian Phillips Curve revisited. Discussion Papers. 500.
• Raknerud, Arvid; Skjerpen, Terje & Swensen, Anders Rygh (2007). Forecasting key macroeconomic variables from a large number of predictors: A state space approach. Discussion Papers. 504.
• Johansen, Søren & Swensen, Anders Rygh (2007). Exact Rational Expectations, Cointegration, and Reduced Rank Regression. Discussion Paper. 29. Show summary

  We interpret the linear relations from exact rational expectations models as restrictions on the parameters of the statistical model called the cointegrated vector autoregressive model for non-stationary variables. We then show how reduced rank regression, Anderson (1951), plays an important

• Swensen, Anders Rygh (2007). Exact rational expectations and reduced rank vector autoregressive (VAR) models.
• Swensen, Anders Rygh (2007). Spreads, reduced rank VAR-models and rational expectations.
• Boug, Pål; Cappelen, Ådne & Swensen, Anders Rygh (2006). The New Keynesian Phillips curve for a small open economy. Discussion Papers. 460.
• Liu, Gang; Skjerpen, Terje; Swensen, Anders Rygh & Telle, Kjetil Elias (2006). Unit roots, Polynomial transformations and the environmental Kuznets curve. Discussion Papers. 443.
• Swensen, Anders Rygh (2005). Finite sample properties of a bootstrap procedure for estimation of rank in reduced rank VAR-models.
• Swensen, Anders Rygh (2004). Bootstrap algorithms for testing and determining the cointegration rank in VAR models.
• Swensen, Anders Rygh (2004). Bootstrap algorithms for testing and determining the cointegration rank in VAR models.
• Johansen, Søren & Swensen, Anders Rygh (2003). More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted drift terms.
• Swensen, Anders Rygh (2003). A linear demand system within a seemingly unrelated time series equation framework.
• Swensen, Anders Rygh (2002). More on restricted exact rational expectations in cointegrated vector autoregressive models.
• Swensen, Anders Rygh (2002). A bootstrap algorithm for testing cointegration rank in VAR models. Show summary

  A bootstrap algorithm for a reduced rank VAR-model was analyzed

• Boug, Pål; Cappelen, Aadne & Swensen, Anders Rygh (2000). Expectations in Export Price Formations Tests using Cointegrated VAR models. Discussion Paper. 283.
• Skjerpen, Terje & Swensen, Anders Rygh (2000). Testing for long-run homogeneity in the Linear Almost Ideal Demand System: An application on Norwegian quarterly data for non-durables.

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