Cointegration, Causality, and Forecasting
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Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger

Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger

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About the Book

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.

Table of Contents:
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


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Product Details
  • ISBN-13: 9780198296836
  • Publisher: Oxford University Press
  • Publisher Imprint: Oxford University Press
  • Height: 242 mm
  • No of Pages: 504
  • Spine Width: 31 mm
  • Weight: 929 gr
  • ISBN-10: 0198296835
  • Publisher Date: 07 Oct 1999
  • Binding: Hardback
  • Language: English
  • Returnable: N
  • Sub Title: Festschrift in Honour of Clive W. J. Granger
  • Width: 163 mm


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Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
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