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Essays in econometrics : collected papers of Clive W.J. Granger. Vol. II, Causality, integration and cointegration, and long memory

Author: C W J Granger; Eric Ghysels; Norman R Swanson; Mark W Watson
Publisher: Cambridge : Cambridge University Press, 2001.
Series: Econometric Society monographs, no. 33.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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These essays by Clive W. J. Granger span more than four decades and cover major topics in causality, integration, cointegration, and long memory. The introduction by Eric Gysels, Norman R. Swanson,  Read more...

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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 9786610160358 661016035X
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 Read more...

 
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