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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"Clive W.J. Granger is a pioneer in econometrics, perhaps best known for his work on cointegration: this book is a collection of essays dedicated to him and his work. Central themes of Granger's work are reflected in the book with attention given to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work."--Jacket.
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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.
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Includes bibliographical references.
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| May 29, 2025 | Edited by MARC Bot | import existing book |
| September 10, 2020 | Edited by MARC Bot | import existing book |
| November 18, 2018 | Created by MARC Bot | import existing book |