"go swimming" or "go to swim" ?
Why can't I say "go to swim" ?

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The first example is correct as you have to use the gerund '-ing' --- It's the standard [go + ing] form ''go swimming''.

"go to swim" is however possible but, there's something missing. You might have to emphasize a location to make it work so, the sentence would be ''go (to the beach) to swim''.

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We use "go [verb]ing" for activities.  The only alternative is "go for a swim".

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go swimming

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"go swimming" is correct!

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"I love to swim during the summer months".
Alternatively, "I love to go swimming during the summer months". Which do you prefer and why?