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

These essays by Clive W. J. Granger span more than four decades and cover major topics in causality, integration, cointegration, and long memory. The introduction by Eric Gysels, Norman R. Swanson, and Mark W. Watson places the essays in context and demonstrates their enduring value

MoreLess

Year of publication:	2001
Authors:	Granger, Clive W. J.
Other Persons:	Ghysels, Eric (contributor) ; Swanson, Norman R. (contributor) ; Watson, Mark W. (contributor) ; Hammond, Peter (contributor) ; Holly, Alberto (contributor)
Publisher:	Cambridge : Cambridge University Press
Subject:	Ökonometrie \| Econometrics \| Theorie \| Theory
Description of contents:	Description [zbmath.org]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (398 p.)
Series:	Econometric Society Monographs ; v.33 Essays in econometrics ; v.2
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Cover; Preliminaries; Introduction; CHAPTER 1 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods; CHAPTER 2 Testing for Causality; CHAPTER 3 Some Recent Developments in A Concept of Causality; CHAPTER 4 Advertising and Aggregate Consumption: An Analysis of Causality; CHAPTER 5 Spurious Regressions in Econometrics; CHAPTER 6 Some Properties of Time Series Data and Their Use in Econometric Model Specification; CHAPTER 7 Time Series Analysis of Error-Correction Models; CHAPTER 8 Co-Integration and Error Correction: Representation, Estimation, and Testing CHAPTER 9 Developments in the Study of Cointegrated Economic VariablesCHAPTER 10 Seasonal Integration and Cointegration; CHAPTER 11 A Cointegration Analysis of Treasury Bill Yields; CHAPTER 12 Estimation of Common Long-Memory Components in Cointegrated Systems; CHAPTER 13 Separation in Cointegrated Systems and Persistent-Transitory Decompositions; CHAPTER 14 Nonlinear Transformations of Integrated Time Series; CHAPTER 15 Long Memory Series with Attractors; CHAPTER 16 Further Developments in the Study of Cointegrated Variables CHAPTER 17 An Introduction to Long-Memory Time Series Models and Fractional DifferencingCHAPTER 18 Long Memory Relationships and the Aggregation of Dynamic Models; CHAPTER 19 A Long Memory Property of Stock Market Returns and a New Model; Index;
ISBN:	978-0-521-79207-3 ; 978-0-511-06938-3 ; 978-0-521-79207-3
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012675413