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

by Clive W. J. Granger , Edited by Eric Ghysels , Norman R. Swanson , Mark W. Watson

• ISBN13: 9780521774963
• ISBN10: 0521774969
• Format: Paperback
• Copyright: 2001-07-23
• Publisher: Cambridge University Press

Summary

This book, and its companion volume in the Econometric Society Monographs series (ESM number 33), 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.

Table of Contents

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