An edition of Cointegration, causality, and forecasting
(1999)
Cointegration, causality, and forecasting
a festschrift in honour of Clive W.J. Granger
by R. F. Engle and Halbert White
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Cointegration, causality, and forecasting: a festschrift in honour of Clive W.J. Granger
1999, Oxford University Press, OUP Oxford
in English
0198296835 9780198296836
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Book Details
Table of Contents
1. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series / James H. Stock and Mark W. Watson
2. A multivariate time series analysis of the data revision process for industrial production and the composite leading indicator / Norman R. Swanson, Eric Ghysels, and Myles Callan
3. Evaluating density forecasts of inflation: the survey of professional forecasters / Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis
4. Ranking competing multi-step forecasts / Paul Newbold, David I. Harvey, and Stephen J. Leybourne
5. The pervasiveness of Granger causality in econometrics / David F. Hendry and Grayham E. Mizon
6. A class of tests for integration and cointegration / James H. Stock
7. Order selection in testing for the cointegrating rank of a VAR process / Helmut Lütkepohl and Pentti Saikkonen
8. Granger's representation theorem and multicointegration / Tom Engsted and Søren Johansen
9. Dimensionality effect in cointegration analysis / Jesús Gonzalo and Jean-Yves Pitarakis
10. Testing DHSY as a restricted conditional model of a trivariate seasonally cointegrated system / Luigi Ermini
11. A unit root test in the presence of structural changes in I(1) and I(0) models / Michio Hatanaka and Kazuo Yamada
12. Investigating inflation transmission by stages of processing / Tae-Hwy Lee and Stuart Scott
13. Price convergence in the medium and long run: an I(2) analysis of six price indices / Katarina Juselius
14. M-testing using finite and infinite dimensional parameter estimators / Halbert White and Yongmiao Hong
15. Asymptotic properties of some specification tests in linear models with integrated processes / Jeffrey M. Wooldridge
16. Residual variance estimates and order determination in panels of intercorrelated autoregressive time series / Vidar Hjellvik and Dag Tjøstheim
17. Partial pooling: a possible answer to "To pool or not to pool" / Farshid Vahid
18. A simultaneous binary choice/count model with an application to credit card approvals / Andrew A. Weiss
19. Statistical properties of the asymmetric power ARCH process / Changli He and Timo Teräsvirta
20. A long-run and short-run component model of stock return volatility / Robert F. Engle and Gary G.J. Lee.
Edition Notes
Includes bibliographical references.
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- Created April 1, 2008
- 11 revisions
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