Essays in Econometrics 2 Volume... | Buy

Vol. I: This book, and its companion volume, 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 spectral analysis, seasonality, nonlinearity, methodology, and forecasting. 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. Vol. II: 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.

Acknowledgments

xiii

List of Contributors

xvii

Introduction

1

(27)

Eric Ghysels

Norman R. Swanson

Mark Watson

The ET Interview: Professor Clive Granger

28

(57)

Peter C. B. Phillips

PART ONE: SPECTRAL ANALYSIS

Spectral Analysis of New York Stock Market Prices

85

(21)

C. W. J. Granger

O. Morgenstern

The Typical Spectral Shape of an Economic Variable

106

(15)

C. W. J. Granger

PART TWO: SEASONALITY

Seasonality: Causation, Interpretation and Implications

121

(26)

C. W. J. Granger

A. Zellner

Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?

147

(30)

E. Ghysels

C. W. J. Granger

P. L. Siklos

PART THREE: NONLINEARITY

Non-Linear Time Series Modeling

177

(11)

C. W. J. Granger

A. Andersen

David F. Findley

Using the Correlation Exponent to Decide Whether an Economic Series is Chaotic

188

(20)

T. Lui

C. W. J. Granger

W. P. Heller

M. H. Pesaran

S. M. Potter

J. Willey

Testing for Neglected Nonlinearity in Time Series Models: A Comparison of Neural Network Methods and Alternative Tests

208

(22)

T.-H. Lee

H. White

C. W. J. Granger

Modeling Nonlinear Relationships Between Extended-Memory Variables

230

(17)

C. W. J. Granger

Semiparametric Estimates of the Relation Between Weather and Electricity Sales

247

(26)

R. F. Engle

C. W. J. Granger

J. Rice

A. Weiss

PART FOUR: METHODOLOGY

Time Series Modeling and Interpretation

273

(16)

C. W. J. Granger

M. J. Morris

On the Invertibility of Time Series Models

289

(7)

C. W. J. Granger

A. Andersen

Near Normality and Some Econometric Models

296

(6)

C. W. J. Granger

The Time Series Approach to Econometric Model Building

302

(15)

C. W. J. Granger

P. Newbold

Comments on the Evaluation of Policy Models

317

(19)

C. W. J. Granger

M. Deutsch

Implications of Aggregation with Common Factors

336

(19)

C. W. J. Granger

PART FIVE: FORECASTING

Estimating the Probability of Flooding on a Tidal River

355

(11)

C. W. J. Granger

Prediction with a Generalized Cost of Error Function

366

(9)

C. W. J. Granger

Some Comments on the Evaluation of Economic Forecasts

375

(16)

C. W. J. Granger

P. Newbold

The Combination of Forecasts

391

(20)

J. M. Bates

C. W. J. Granger

Invited Review: Combining Forecasts - Twenty Years Later

411

(9)

C. W. J. Granger

The Combination of Forecasts Using Changing Weights

420

(16)

M. Deutsch

C. W. J. Granger

T. Terasvirta

Forecasting Transformed Series

436

(21)

C. W. J. Granger

P. Newbold

Forecasting White Noise

457

(15)

C. W. J. Granger

A. Zellner

Can We Improve the Perceived Quality of Economic Forecasts?

472

(25)

C. W. J. Granger

Short-Run Forecasts of Electricity Loads and Peaks

497

(20)

R. Ramanathan

R. F. Engle

C. W. J. Granger

A. Vahid-Araghi

C. Brace

Index

517

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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