Homepage: Anders Rygh Swensen

Teaching

This semester: STK4070:Linear models - random componenets and general linear models

Curriculum vitae, Anders Rygh Swensen

Born:

• March 20'th 1949.

Degrees:

• Cand.real, statistics, 1975, University of Oslo
• Ph. D, statistics, 1980, University of California, Berkeley

Position:

• Professor

Previous positions:

• 1975/76: Research assistant, University of Trondheim.
• 1976/77: Graduate studies; Laboratoire de Calcul de Probabilite, Universite Marie et
  Pierre Currie, Paris VI, Paris.
• 1977/aug 1980: Research fellow, Norwegian Council for Scientific Research.
  Graduate studies, Department of Statistics, University of California, Berkeley.
• Jan. 1981/ Aug. 1984. Research associate, Norwegian Telecommunication
  Administration Research Establishment.
• Aug. 1984/Des. 1988. Research associate and Senior research associate, Methods Unit,
  Statistics Norway.
• 1989/90: Associate professor, Department of Economics, University of Oslo.
• 1991/93: Senior research associate, Section of Macroeconomics,
  Research Department, Statistics Norway.
• Jan. 94/April 94: Associate professor, Department of Mathematics,
  Section for Statistics, University of Oslo.
• May 94/-: Professor, Department of Mathematics, Section for
  Statistics, University of Oslo.

Back to Contents

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
    Analysis. 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
    Economics vol. 31 (2006), 821-845.
19. Bootstrap algorithms for testing and determining the cointegration rank in
    VAR models. Econometrica vol. 74 (2006), 1699-1714.
    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
    Economics . vol. 32 (2007), 105-124.

Miscellanous:

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.