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Genre/Form: | Electronic books |
---|---|
Additional Physical Format: | Print version: Granger, C.W.J. (Clive William John), 1934- Essays in econometrics. Cambridge : Cambridge University Press, 2001 (DLC) 00034306 |
Material Type: | Document, Internet resource |
Document Type: | Internet Resource, Computer File |
All Authors / Contributors: |
C W J Granger; Eric Ghysels; Norman R Swanson; Mark W Watson |
ISBN: | 0511119038 9780511119033 |
OCLC Number: | 299242380 |
Description: | 1 online resource (xviii, 378 pages) : illustrations, tables. |
Contents: | Part I. Causality: 1. Investigating causal relations by econometric models and cross-spectral methods; 2. Testing for causality; 3. Some recent developments in a concept of causality; 4. Advertising and aggregate consumption: an analysis of causality R. Ashley and R. Schmalensee; Part II. Integration and Cointegration: 5. Spurious regressions in econometrics; 6. Some properties of time series data and their use in econometric model specification; 7. Time series analysis of error correction models A. A. Weiss; 8. Co-Integration and error-correction: representation, estimation and testing; 9. Developments in the study of cointegrated economic variables; 10. Seasonal integration and cointegration S. Hylleberg, R. F. Engle and B. S. Yoo; 11. A cointegration analysis of Treasury Bill yields A. D. Hall and H. M. Anderson; 12. Estimation of common long-memory components in Cointegrated Systems J. Gonzalo; 13. Separation in cointegrated systems and persistent-transitory decompositions N. Haldrup; 14. Nonlinear transformations of Integrated Time Series J. Hallman; 15. Long Memory Series with attractors J. Hallman; 16. Further developments in the study of cointegrated variables N. R. Swanson; Part III. Long Memory: 17. An introduction to long-memory Time Series models and fractional differencing R. Joyeux; 18. Long-memory relationships and the aggregation of dynamic models; 19. A long memory property of stock market returns and a new model Z. Ding and R. F. Engle. |
Series Title: | Econometric Society monographs, no. 33. |
Responsibility: | edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson. |
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'Re-reading all these contributions is fascinating and eye-opening on the fundamental effect that Granger had on research in economics. ... this book constitutes a highly recommendable addition to your bookshelf.' De Economist Read more...
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by r780820@hotmail.com updated 2013-02-01