Essays in Econometrics: Collected Papers of Clive W. J. Granger

by Clive W. J. Granger, Eric Ghysels, Norman R. Swanson, Mark W. Watson

Overview

This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

Product Details

ISBN-13:	9780521796491
Publisher:	Cambridge University Press
Publication date:	07/23/2001
Series:	Econometric Society Monographs , #33
Edition description:	New Edition
Pages:	398
Product dimensions:	5.35(w) x 9.09(h) x 0.87(d)

Table of Contents

Part I. Spectral Analysis: 1. Spectral analysis of New York Stock Market prices O. Morgenstern; 2. The typical spectral shape of an eonomic variable; Part II. Seasonality: 3. Seasonality: causation, interpretation and implications A. Zellner; 4. Is seasonal adjustment a linear or nonlinear data-filtering process? E. Ghysels and P. L. Siklos; Part III. Nonlinearity: 5. Non-linear time series modeling A. Anderson; 6. Using the correlation exponent to decide whether an economic series is chaotic T. Liu and W. P. Heller; 7. Testing for neglected nonlinearity in time series models: a comparison of neural network methods and alternative tests; 8. Modeling nonlinear relationships between extended-memory variables; 9. Semiparametric estimates of the relation between weather and electricity sales R. F. Engle, J. Rice and A. Weiss; Part IV. Methodology: 10. Time series modeling and interpretation M. J. Morris; 11. On the invertibility of time series models A. Anderson; 12. Near normality and some econometric models; 13. The time series approach to econometric model building P. Newbold; 14. Comments on the evaluation of policy models; 15. Implications of aggregation with common factors; Part V. Forecasting: 16. Estimating the probability of flooding on a tidal river; 17. Prediction with a generalized cost of error function; 18. Some comments on the evaluation of economic forecasts P. Newbold; 19. The combination of forecasts; 20. Invited review: combining forecasts - twenty years later; 21. The combination of forecasts using changing weights M. Deutsch and T. Terasvirta; 22. Forecasting transformed series; 23. Forecasting white noise A. Zellner; 24. Can we improve the perceived quality of economic forecasts? Short-run forecasts of electricity loads and peaks R. Ramanathan, R. F. Engle, F. Vahid-Araghi and C. Brace; Index.

Editorial Reviews

"The book is highly recommended as a reference for researchers on many important topics such as forecasting, non-linearity, causality, co-integration and long-memory. And it can also serve as a resource for applications of time series modeling to econometrics for practitioners." Mathematical Reviews

From the Publisher