Essays in Econometrics 2 Volume Paperback Set
Essays in Econometrics 2 Volume Paperback Set
Collected Papers of Clive W. J. Granger
Clive W. J. Granger
Eric Ghysels, University of North Carolina, Chapel Hill
Norman R. Swanson, Texas A & M University
Mark Watson, Princeton University, New Jersey
Eric Ghysels, University of North Carolina, Chapel Hill
Norman R. Swanson, Texas A & M University
Mark Watson, Princeton University, New Jersey
November 2001
Multiple copy pack
9780521796972
AUD$145.95
inc GSTMultiple copy pack
2 Paperback books
This two-volume set of books in the Econometric Society Monographs series (ESM numbers 32 and 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 these volumes explore topics in spectral analysis, seasonality, nonlinearity, methodology, forecasting, 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 analyis, including forecasting, seasonality, and nonlinearity
Product details
November 2001Multiple copy pack
9780521796972
944 pages
230 × 154 × 50 mm
1.27kg
77 b/w illus. 125 tables
Out of stock in print form with no current plan to reprint
Table of Contents
- Volume I: Introduction to Volumes I and II
- 1. A profile: the ET Interview: Professor Clive Granger
- Part I. Spectral Analysis:
- 2. Spectral analysis of New York Stock Market prices O. Morgenstern
- 3. The typical spectral shape of an eonomic variable
- Part II. Seasonality:
- 4. Seasonality: causation, interpretation and implications A. Zellner
- 5. Is seasonal adjustment a linear or nonlinear data-filtering process? E. Ghysels and P. L. Siklos
- Part III. Nonlinearity:
- 6. Non-linear Time Series Modeling A. Anderson
- 7. Using the correlation exponent to decide whether an economic series is chaotic T. Liu and W. P. Heller
- 8. Testing for neglected nonlinearity in Time Series Models: a comparison of neural network methods and alternative tests
- 9. Modeling nonlinear relationships between extended-memory variables
- 10. Semiparametric estimates of the relation between weather and electricity sales R. F. Engle, J. Rice and A. Weiss
- Part IV. Methodology:
- 11. Time Series Modeling and interpretation M. J. Morris
- 12. On the invertibility of Time Series Models A. Anderson
- 13. Near normality and some econometric models
- 14. The Time Series approach to econometric model building P. Newbold
- 15. Comments on the evaluation of policy models
- 16. Implications of aggregation with common factors
- Part V. Forecasting:
- 17. Estimating the probability of flooding on a tidal river
- 18. Prediction with a generalized cost of error function
- 19. Some comments on the evaluation of economic forecasts P. Newbold
- 20. The combination of forecasts
- 21. Invited review: combining forecasts - twenty years later
- 22. The combination of forecasts using changing weights M. Deutsch and T. Terasvirta
- 23. Forecasting transformed series
- 24. Forecasting white noise A. Zellner
- 25. 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. Volume II: 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.
