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

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Overview

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.

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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
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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

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