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

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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

1 A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series 1
2 A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator 45
3 Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 76
4 Ranking Competing Multi-Step Forecasts 91
5 The Pervasiveness of Granger Causality in Econometrics 102
6 A Class of Tests for Integration and Cointegration 135
7 Order Selection in Testing for the Cointegrating Rank of a VAR Process 168
8 Granger's Representation Theorem and Multicointegration 200
9 Dimensionality Effect in Cointegration Analysis 212
10 Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Cointegrated System 230
11 A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models 256
12 Investigating Inflation Transmission by Stages of Processing 283
13 Price Convergence in the Medium and Long Run: An I(2) Analysis of Six Price Indices 301
14 M-Testing Using Finite and Infinite Dimensional Parameter Estimators 326
15 Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes 366
16 Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series 385
17 Partial Pooling: A Possible Answer to "To Pool or Not To Pool" 410
18 A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals 429
19 Statistical Properties of the Asymmetric Power ARCH Process 462
20 A Long-Run and Short-Run Component Model of Stock Return Volatility 475
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