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Essays in Econometrics Clive W. J. Granger

Essays in Econometrics By Clive W. J. Granger

Essays in Econometrics by Clive W. J. Granger

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Summary

These essays by Clive W. J. Granger span more than four decades and cover major topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. The introduction by Eric Gysels, Norman R. Swanson and Mark W. Watson places the essays in context and demonstrates their enduring value.

Essays in Econometrics Summary

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

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.

Essays in Econometrics Reviews

All the articles are a delight to read and give a deep historical and methodological insight...These two volumes are a must-read for any student or researcher in econometrics. Journal of the American Statistical Association
It is truly a treat to read all the articles on so many different and important topics. Mathematical Reviews

Table of Contents

Part I. Spectral Analysis: 1. Spectral analysis of New York Stock Market prices O. Morgenstern; 2. The typical spectral shape of an eonomic variable; Part II. Seasonality: 3. Seasonality: causation, interpretation and implications A. Zellner; 4. Is seasonal adjustment a linear or nonlinear data-filtering process? E. Ghysels and P. L. Siklos; Part III. Nonlinearity: 5. Non-linear time series modeling A. Anderson; 6. Using the correlation exponent to decide whether an economic series is chaotic T. Liu and W. P. Heller; 7. Testing for neglected nonlinearity in time series models: a comparison of neural network methods and alternative tests; 8. Modeling nonlinear relationships between extended-memory variables; 9. Semiparametric estimates of the relation between weather and electricity sales R. F. Engle, J. Rice and A. Weiss; Part IV. Methodology: 10. Time series modeling and interpretation M. J. Morris; 11. On the invertibility of time series models A. Anderson; 12. Near normality and some econometric models; 13. The time series approach to econometric model building P. Newbold; 14. Comments on the evaluation of policy models; 15. Implications of aggregation with common factors; Part V. Forecasting: 16. Estimating the probability of flooding on a tidal river; 17. Prediction with a generalized cost of error function; 18. Some comments on the evaluation of economic forecasts P. Newbold; 19. The combination of forecasts; 20. Invited review: combining forecasts - twenty years later; 21. The combination of forecasts using changing weights M. Deutsch and T. Terasvirta; 22. Forecasting transformed series; 23. Forecasting white noise A. Zellner; 24. Can we improve the perceived quality of economic forecasts? Short-run forecasts of electricity loads and peaks R. Ramanathan, R. F. Engle, F. Vahid-Araghi and C. Brace; Index.

Additional information

NLS9780521774963
9780521774963
0521774969
Essays in Econometrics: Collected Papers of Clive W. J. Granger by Clive W. J. Granger
Clive W. J. Granger
Essays in Econometrics 2 Volume Paperback Set
New
Paperback
Cambridge University Press
2001-07-23
544
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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