Essays in Econometrics
Essays in Econometrics
Eric Ghysels, University of North Carolina, Chapel Hill
Norman R. Swanson, Texas A & M University
Mark W. Watson, Princeton University, New Jersey
This book, and its companion volume in the Econometric Society Monographs series (ESM number 33), 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 spectral analysis, seasonality, nonlinearity, methodology, and forecasting. 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.
- Major essays of arguably the world's leading active econometrician
- Granger is internationally known, author of 1999 Press title Empirical Modeling in Economics
- Topics cover major areas of econometrics and time series analysis, including forecasting, seasonality, and nonlinearity
Reviews & endorsements
"All the articles are a delight to read and give a deep historical and methodological insight...These two volumes are a must-read for any student or researcher in econometrics." Journal of the American Statistical Association
"It is truly a treat to read all the articles on so many different and important topics." Mathematical Reviews
Product details
July 2001Paperback
9780521774963
544 pages
231 × 153 × 29 mm
0.72kg
33 b/w illus. 76 tables
Available
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.
