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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 causality, integration, cointegration, and long memory. 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 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.

Essays in Econometrics Reviews

'Re-reading all these contributions is fascinating and eye-opening on the fundamental effect that Granger had on research in economics. ... this book constitutes a highly recommendable addition to your bookshelf.' De Economist

Table of Contents

Part I. Causality: 1. Investigating causal relations by econometric models and cross-spectral methods; 2. Testing for causality; 3. Some recent developments in a concept of causality; 4. Advertising and aggregate consumption: an analysis of causality R. Ashley and R. Schmalensee; Part II. Integration and Cointegration: 5. Spurious regressions in econometrics; 6. Some properties of time series data and their use in econometric model specification; 7. Time series analysis of error correction models A. A. Weiss; 8. Co-Integration and error-correction: representation, estimation and testing; 9. Developments in the study of cointegrated economic variables; 10. Seasonal integration and cointegration S. Hylleberg, R. F. Engle and B. S. Yoo; 11. A cointegration analysis of Treasury Bill yields A. D. Hall and H. M. Anderson; 12. Estimation of common long-memory components in Cointegrated Systems J. Gonzalo; 13. Separation in cointegrated systems and persistent-transitory decompositions N. Haldrup; 14. Nonlinear transformations of Integrated Time Series J. Hallman; 15. Long Memory Series with attractors J. Hallman; 16. Further developments in the study of cointegrated variables N. R. Swanson; Part III. Long Memory: 17. An introduction to long-memory Time Series models and fractional differencing R. Joyeux; 18. Long-memory relationships and the aggregation of dynamic models; 19. A long memory property of stock market returns and a new model Z. Ding and R. F. Engle.

Additional information

NLS9780521796491
9780521796491
0521796490
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
398
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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