Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger

Hardcover (Print)
Buy New
Buy New from
Used and New from Other Sellers
Used and New from Other Sellers
from $140.69
Usually ships in 1-2 business days
(Save 27%)
Other sellers (Hardcover)
  • All (8) from $140.69   
  • New (6) from $149.95   
  • Used (2) from $140.69   


This book is a collection of essays in honor of Clive Granger by some of the world's leading econometricians, all of whom have collaborated with or studied with Granger. It reflects central themes in Granger's work with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecasting evaluation, and non-linear and non-parametric econometric techniques.

Read More Show Less

Product Details

  • ISBN-13: 9780198296836
  • Publisher: Oxford University Press, USA
  • Publication date: 10/28/1999
  • Pages: 504
  • Product dimensions: 9.30 (w) x 6.40 (h) x 1.30 (d)

Meet the Author

both at University of California, San Diego
Read More Show Less

Table of Contents

Chapter 1: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series, James H. Stock and Mark W. Watson
Chapter 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
Chapter 3: Evaluating Density Forecasts: The Survey of Professional Forecasters, Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis
Chapter 4: Ranking Competing Multi-step Forecasts, Paul Newbold, David I. Harvey, and Stephen J. Leybourne
Chapter 5: The Pervasiveness of Granger Causality in Econometrics, David F. Hendry and Grayham E. Mizon
Chapter 6: A Class for Tests for Integration and Cointegration, James H. Stock
Chapter 7: Order Selection in Testing for the Cointegration Rank of a VAR Process, Helmut Lütkepohl and Pentti Saikkonen
Chapter 8: Granger's Representation Theorem and Multicointegration, Tom Engsted and Søren Johansen
Chapter 9: Dimensionality Effect in Cointegration Analysis, Jesús Gonzalo and Jean-Yves Pitarakis
Chapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System, Luigi Ermini
Chapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models, Michio Hatanaka and Kazuo Yamada
Chapter 12: Investigating Inflation Transmission by Stages of Processing, Tae-Hwy Lee and Stuart Scott
Chapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices, Katarina Juselius
Chapter 14: M-testing using Finite and Infinite Dimensional Parameter Estimators, Halbert White and Yongmiao Hong
Chapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes, Jeffrey M. Wooldridge
Chapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series, Vidar Kjellvik and Dag Tjøstheim
Chapter 17: Partial Pooling: a Possible Answer to 'To Pool or not to Pool', Farshid Vahid
Chapter 18: A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals, Andrew A. Weiss
Chapter 19: Statistical Properties of the Asymmetric Power ARCH Process, Timo Teräsvirta and Changli He
Chapter 20: A Long-run and Short-run Component Model of Stock Return Volatility, Robert F. Engle and Gary G. J. Lee

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)