• A linear demand system within a Seemingly Unrelated Time Series Equation framework 

      Raknerud, Arvid; Skjerpen, Terje; Swensen, Anders Rygh (Discussion Papers;No. 345, Working paper, 2003)
      Abstract: We consider a Seemingly Unrelated Time Series Equations framework for the linear Almost Ideal Demand system. The framework is applied to a consumer demand system covering nine non-durable commodities. We test ...
    • Change in Regime and Markov Models 

      Swensen, Anders Rygh (Discussion papers;204, Working paper, 1997-11)
      In this paper we point out that using a two-state Markov chain to describe change in regime makes it difficult to interpret the model since there is a bias towards frequent shifts. However, by using a finite Markov chain ...
    • ECM-algorithms that converge at the rate of EM 

      Sexton, Joseph; Swensen, Anders Rygh (Discussion Papers;No. 244, Working paper, 1999)
      This paper describes a way of constructing an ECM algorithm such that it converges at the rate of the EM algorithm. The approach is motivated by the well known conjugate directions algorithm, and a special case of it is ...
    • Estimating change in a proportion by combining measurements from a true and a fallible classifier 

      Swensen, Anders Rygh (Discussion Paper;No. 30, Working paper, 1988-03)
      Consider a binary classification of a large population at two points in time. The classification is observed with error for the whole population using a fallible classifier and without error for a random sample using an ...
    • Expectations in export price formation tests using cointegrated VAR models 

      Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh (Discussion Papers;No. 283, Working paper, 2000)
      The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model ...
    • Forecasting key macroeconomic variables from a large number of predictors : a state space approach 

      Raknerud, Arvid; Skjerpen, Terje; Swensen, Anders Rygh (Discussion Papers;No. 504, Working paper, 2007)
      Abstract: We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables for 1978Q2–2005Q4. The model is used to obtain forecasts for 22 key variables that can be ...
    • Inflation Dynamics in a Small Open Economy 

      Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh (Journal article; Peer reviewed, 2016-06-13)
      We evaluate the empirical performance of forward-looking models for inflation dynamicsin a small open economy. Using likelihood-based testing procedures, we find that the exactformulation is at odds with Norwegian data. ...
    • Modelling OPEC behaviour. Theory and evidence 

      Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh (Discussion Papers;No. 843, Working paper, 2016-07-01)
      We analyse the behaviour of OPEC as a group for the period 1992 to 2015 by formulating a model that encompasses several of the alternatives discussed in the literature. There is no consensus in the literature on how ...
    • More on testing exact rational expectations in cointegrated vector autoregressive models : restricted drift terms 

      Johansen, Søren; Swensen, Anders Rygh (Discussion Papers;No. 348, Working paper, 2003)
      Abstract: In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction ...
    • The New Keynesian Phillips curve : does it fit Norwegian data? 

      Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh (Discussion Papers;No. 652, Working paper, 2011)
      Abstract: 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. ...
    • Simple examples on smoothing macroeconomic time series 

      Swensen, Anders Rygh (Documents;1995/1, Working paper, 1995-01)
    • Testing for long-run homogeneity in the linear almost ideal demand system : an application on Norwegian quarterly data for non-durables 

      Skjerpen, Terje; Swensen, Anders Rygh (Discussion Papers;No. 289, Working paper, 2000)
      Abstract: We consider testing for long-run homogeneity within a dynamic consumer demand system allowing for non-stationarities. The static long-run solution is assumed to follow the Linear Almost Ideal Demand System and ...
    • The consumption Euler equation or the Keynesian consumption function? 

      Boug, Pål; Cappelen, Ådne; Jansen, Eilev S.; Swensen, Anders Rygh (Discussion papers;904, Working paper, 2019-04)
      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 ...
    • The New Keynesian Phillips Curve for a small open economy 

      Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh (Discussion Papers;No. 460, Working paper, 2006)
      Abstract: The New Keynesian Phillips Curve (NKPC) has become the benchmark model for understanding inflation in modern monetary economics. One reason for the popularity is the microfoundation of the model, which decomposes ...
    • The New Keynesian Phillips Curve revisited 

      Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh (Discussion Papers;No. 500, Working paper, 2007)
      Abstract: Recently, several authors have questioned the evidence claimed by Galí and Gertler (1999) and Galí, Gertler and López-Salido (2001) that a hybrid version of the New Keynesian Phillips Curve approximates European ...
    • Unit roots, polynomial transformations and the environmental Kuznets curve 

      Gang, Liu; Skjerpen, Terje; Swensen, Anders Rygh; Telle, Kjetil (Discussion Papers;No. 443, Working paper, 2006)
      Abstract: Time-series regressions including non-linear transformations of an integrated variable are not uncommon in various fields of economics. In particular, within the Environmental Kuznets Curve (EKC) literature, ...