By Clive W. J. Granger, Eric Ghysels, Norman R. Swanson, Mark W. Watson

This ebook, and its better half quantity, current a set of papers via Clive W.J. Granger. His contributions to economics and econometrics, a lot of them seminal, span greater than 4 many years and contact on all elements of time sequence research. The papers assembled during this quantity discover subject matters in spectral research, seasonality, nonlinearity, technique, and forecasting. these within the significant other quantity examine subject matters in causality, integration and cointegration, and lengthy reminiscence. the 2 volumes comprise the unique articles in addition to an advent written by means of the editors.

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Extra info for Essays in Econometrics: Collected Papers of Clive W. J. Granger

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J. Granger, and P. L. Siklos, 1996, Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Journal of Business and Economic Statistics, 14, 374–86. , H. S. Lee, and J. Noh, 1994, Testing for Unit Roots in Seasonal TimeSeries – Some Theoretical Extensions and a Monte Carlo Investigation, Journal of Econometrics, 62, 415–42. 22 Eric Ghysels, Norman R. Swanson, and Mark Watson Granger, C. W. , 1957, A Statistical Model for Sunspot Activity, The Astrophysical Journal, 126, 152–8. 1963, Economic Processes Involving Feedback, Information and Control, 6, 28–48.

D. Tjostheim, and C. W. J. Granger, 1994, Aspects of Modeling Nonlinear Time Series, in Handbook of Econometrics, Vol. IV, Amsterdam: Elsevier. Toda, H. , and P. C. B. Phillips, 1993, Vector Autoregressions and Causality, Econometrica, 61, 1367–93. Introduction 27 1994, Vector Autoregression and Causality: A Theoretical Overview and Simulation Study, Econometric Reviews, 13, 259–85. Toda, H. , and T. Yamamoto, 1995, Statistical Inference in Vector Autoregressions with Possibly Integrated Processes, Journal of Econometrics, 66, 225–50.

Reprinted in M. H. Pesaran and S. M. , Nonlinear Dynamics, Chaos, and Econometrics, Chichester: Wiley. , 1991, Long-Term Memory in Stock Prices, Econometrica, 59, 1279–313. , and P. M. Robinson, 1998, A Nonparametric Test for I(0), Review of Economic Studies, 65, 475–95. , and N. E. Savin, 1998, Real and Spurious Long-Memory Properties of Stock-Market Data, Journal of Business and Economic Statistics, 16, No. 3, 261–7. , 1991, Introduction to Multiple Time Series Analysis, New York: Springer-Verlag.

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