Cointegration, Causality, and Forecasting
Festschrift in Honour of Clive W. J. Granger
Published on 7. October 1999
Book
Hardback
504 pages
978-0-19-829683-6 (ISBN)
Description
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.
More details
Language
English
Place of publication
Oxford
United Kingdom
Target group
Professional and scholarly
Illustrations
1 Foto bzw. Rasterbild
1 halftone
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 31 mm
Weight
916 gr
ISBN-13
978-0-19-829683-6 (9780198296836)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Persons
Robert Engle holds the Chancellor's Associates Chair in Economics at the University of California, San Diego. Previously Assistant Professor at Massachusetts Institute of Technology (MIT), He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society.
Halbert White (the late) was formerly Professor of Economics at the University of California, San Diego (UCSD) and was a member of UCSDs Institute for Neural Computation.
Halbert White (the late) was formerly Professor of Economics at the University of California, San Diego (UCSD) and was a member of UCSDs Institute for Neural Computation.
Content
Chapter 1: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series ; Chapter 2: A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator ; Chapter 3: Evaluating Density Forecasts: The Survey of Professional Forecasters ; Chapter 4: Ranking Competing Multi-step Forecasts ; Chapter 5: The Pervasiveness of Granger Causality in Econometrics ; Chapter 6: A Class for Tests for Integration and Cointegration ; Chapter 7: Order Selection in Testing for the Cointegration Rank of a VAR Process ; Chapter 8: Granger's Representation Theorem and Multicointegration ; Chapter 9: Dimensionality Effect in Cointegration Analysis ; Chapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System ; Chapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models ; Chapter 12: Investigating Inflation Transmission by Stages of Processing ; Chapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices ; Chapter 14: M-testing using Finite and Infinite Dimensional Parameter Estimators ; Chapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes ; Chapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series ; Chapter 17: Partial Pooling: a Possible Answer to 'To Pool or not to Pool' ; Chapter 18: A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals ; Chapter 19: Statistical Properties of the Asymmetric Power ARCH Process ; Chapter 20: A Long-run and Short-run Component Model of Stock Return Volatility