Essays in Econometrics: Collected Papers of Clive W. J. Granger,9780521796491

Essays in Econometrics: Collected Papers of Clive W. J. Granger

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ISBN13: 9780521796491
ISBN10: 0521796490
Format: Paperback
Pub. Date: 2001-07-23
Publisher(s): Cambridge University Press
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Summary

This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

Table of Contents

Acknowledgments xiii
List of Contributors
xvii
Introduction 1(30)
Eric Ghysels
Norman R. Swanson
Mark Watson
PART ONE: CAUSALITY
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
31(17)
C. W. J. Granger
J. Sargent
R. Lucas
Testing for Causality: A Personal Viewpoint
48(23)
C. W. J. Granger
Some Recent Developments in a Concept of Causality
71(13)
C. W. J. Granger
Advertising and Aggregate Consumption: An Analysis of Causality
84(25)
R. Ashley
C. W. J. Granger
R. Schmalensee
PART TWO: INTEGRATION AND COINTEGRATION
Spurious Regression in Econometrics
109(10)
C. W. J. Granger
P. Newbold
Some Properties of Time Series Data and Their Use in Econometric Model Specification
119(10)
C. W. J. Granger
Time Series Analysis of Error Correction Models
129(16)
C. W. J. Granger
A. A. Weiss
S. Karlin
T. Amemiya
L. A. Goodman
Co-Integration and Error-Correction: Representation, Estimation, and Testing
145(28)
R. Engle
C. W. J. Granger
Developments in the Study of Cointegrated Economic Variables
173(16)
C. W. J. Granger
Seasonal Integration and Cointegration
189(23)
S. Hylleberg
R. F. Engle
C. W. J. Granger
B. S. Yoo
A Cointegration Analysis of Treasury Bill Yields
212(20)
A. D. Hall
H. M. Anderson
C. W. J. Granger
Estimation of Common Long Memory Components in Cointegrated Systems
232(22)
J. Gonzalo
C. W. J. Granger
Separation in Cointegrated Systems and Persistent-Transitory Decompositions
254(15)
C. W. J. Granger
N. Haldrup
Nonlinear Transformations of Integrated Time Series
269(17)
C. W. J. Granger
J. Hallman
Long Memory Series with Attractors
286(16)
C. W. J. Granger
J. Hallman
Further Developments in the Study of Cointegrated Variables
302(19)
C. W. J. Granger
N. R. Swanson
PART THREE: LONG MEMORY
An Introduction to Long-Memory Time Series Models and Fractional Differencing
321(17)
C. W. J. Granger
R. Joyeux
Long Memory Relationships and the Aggregation of Dynamic Models
338(11)
C. W. J. Granger
A Long Memory Property of Stock Market Returns and a New Model
349(24)
Z. Ding
C. W. J. Granger
R. E. Engle
Index 373

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