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Cointegration, Causality, and Forecasting : Festschrift in Honour of Clive W. J. Granger - Robert F. Engle

Cointegration, Causality, and Forecasting

Festschrift in Honour of Clive W. J. Granger

By: Robert F. Engle (Editor), Halbert White (the late) (Editor)

Hardcover Published: 1st December 1999
ISBN: 9780198296836
Number Of Pages: 497

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The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

James H. Stock and Mark W. Watson: Chapter 1: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series Norman R. Swanson, Eric Ghysels, and Myles Callan: Chapter 2: A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis: Chapter 3: Evaluating Density Forecasts: The Survey of Professional Forecasters Paul Newbold, David I. Harvey, and Stephen J. Leybourne: Chapter 4: Ranking Competing Multi-step Forecasts David F. Hendry and Grayham E. Mizon: Chapter 5: The Pervasiveness of Granger Causality in Econometrics James H. Stock: Chapter 6: A Class for Tests for Integration and Cointegration Helmut Lütkepohl and Pentti Saikkonen: Chapter 7: Order Selection in Testing for the Cointegration Rank of a VAR Process Tom Engsted and Søren Johansen: Chapter 8: Granger's Representation Theorem and Multicointegration Jesús Gonzalo and Jean-Yves Pitarakis: Chapter 9: Dimensionality Effect in Cointegration Analysis Luigi Ermini: Chapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System Michio Hatanaka and Kazuo Yamada: Chapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models Tae-Hwy Lee and Stuart Scott: Chapter 12: Investigating Inflation Transmission by Stages of Processing Katarina Juselius: Chapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices Halbert White and Yongmiao Hong: Chapter 14: M-testing using Finite and Infinite Dimensional Parameter Estimators Jeffrey M. Wooldridge: Chapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes Vidar Kjellvik and Dag Tjøstheim: Chapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series Farshid Vahid: Chapter 17: Partial Pooling: a Possible Answer to 'To Pool or not to Pool' Andrew A. Weiss: Chapter 18: A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals Timo Teräsvirta and Changli He: Chapter 19: Statistical Properties of the Asymmetric Power ARCH Process Robert F. Engle and Gary G. J. Lee: Chapter 20: A Long-run and Short-run Component Model of Stock Return Volatility

ISBN: 9780198296836
ISBN-10: 0198296835
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 497
Published: 1st December 1999
Country of Publication: GB
Dimensions (cm): 23.77 x 16.49  x 3.18
Weight (kg): 0.86

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