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: 9780521796491
• ISBN10: 0521796490
• 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 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