Essays in econometrics: collected papers of Clive W. J. Granger 2 Causality, integration and cointegration, and long memory
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| Other Authors: | , |
| Format: | Book |
| Language: | English |
| Published: |
Cambridge ; New York
Cambridge Univ. Press
2001
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| Edition: | 1. publ. |
| Series: | Econometric Society: Econometric Society monographs
33 |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVIII, 378 S. graph. Darst. |
| ISBN: | 052179207X 0521796490 |
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| adam_text | CONTENTS ACKNOWLEDGMENTS PAGE XIII LIST OF CONTRIBUTORS XVII
INTRODUCTION 1 ERIC GHYSELS, NORMAN R. SWANSON, AND MARK WATSON PART
ONE: CAUSALITY 1. INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS
AND CROSS-SPECTRAL METHODS, C. W. J. GRANGER, ECONOMETRICA, 37, 1969,
PP. 424-38. REPRINTED IN RATIONAL EXPECTATIONS, EDITED BY J. SARGENT AND
R. LUCAS, 1981, UNIVERSITY OF MINNESOTA PRESS. 31 2. TESTING FOR
CAUSALITY: A PERSONAL VIEWPOINT, C. W. J. GRANGER, JOURNAL OF ECONOMIC
DYNAMICS AND CONTROL, 2, 1980, PP. 329-52. 48 3. SOME RECENT
DEVELOPMENTS IN A CONCEPT OF CAUSALITY, C. W. J. GRANGER, JOURNAL OF
ECONOMETRICS, 39, 1988, PP. 199-211. 71 4. ADVERTISING AND AGGREGATE
CONSUMPTION: AN ANALYSIS OF CAUSALITY, R. ASHLEY, C. W. J. GRANGER AND
R. SCHMALENSEE, ECONOMETRICA, 48, 1980, PP. 1149-67. 84 PART TWO:
INTEGRATION AND COINTEGRATION 5. SPURIOUS REGRESSION IN ECONOMETRICS, C.
W. J. GRANGER AND P. NEWBOLD, JOURNAL OF ECONOMETRICS, 2, 1974, PP.
111-20. 109 6. SOME PROPERTIES OF TIME SERIES DATA AND THEIR USE IN
ECONOMETRIC MODEL SPECIFICATION, C. W. J. GRANGER, JOURNAL OF
ECONOMETRICS, 16, 1981, PP. 121-30. 119 CONTENTS 7. TIME SERIES ANALYSIS
OF ERROR CORRECTION MODELS, C. W. J. GRANGER AND A. A. WEISS, IN STUDIES
IN ECONOMETRICS: TIME SERIES AND MULTIVARIATE STATISTICS, EDITED BY S.
KARLIN, T. AMEMIYA, AND L. A, GOODMAN, ACADEMIC PRESS, NEW YORK, 1983,
PP. 255-78. 129 8. CO-INTEGRATION AND ERROR-CORRECTION: REPRESENTATION,
ESTIMATION, AND TESTING, R. ENGLE AND C. W. J. GRANGER, ECONOMETRICA,
55, 1987, PP. 251-76. 145 9. DEVELOPMENTS IN THE STUDY OF COINTEGRATED
ECONOMIC VARIABLES, C. W. J. GRANGER, OXFORD BULLETIN OF ECONOMICS AND
STATISTICS, 48, 1986, PP. 213-28. 173 10. SEASONAL INTEGRATION AND
COINTEGRATION, S. HYLLEBERG, R. F. ENGLE, C. W. J. GRANGER, AND B. S.
YOO, JOURNAL OF ECONOMETRICS, 44, 1990, PP. 215-38. 189 11. A
COINTEGRATION ANALYSIS OF TREASURY BILL YIELDS, A. D. HALL, H. M.
ANDERSON, AND C. W. J. GRANGER, REVIEW OF ECONOMICS AND STATISTICS, 74,
1992, PP. 116-26. 212 12. ESTIMATION OF COMMON LONG MEMORY COMPONENTS IN
COINTEGRATED SYSTEMS, J. GONZALO AND C. W. J. GRANGER, JOURNAL OF
BUSINESS AND ECONOMIC STATISTICS, 13, 1995, PP. 27-35. 232 13.
SEPARATION IN COINTEGRATED SYSTEMS AND PERSISTENT-TRANSITORY
DECOMPOSITIONS, C. W. J. GRANGER AND N. HALDRUP, DEPARTMENT OF
ECONOMICS, OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 59, 1997, PP.
449-64. 254 14. NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES, C.
W. J. GRANGER AND J. HALLMAN, JOURNAL OF TIME SERIES ANALYSIS, 12, 1991,
PP. 207-24. 269 15. LONG MEMORY SERIES WITH ATTRACTORS, C. W. J. GRANGER
AND J. HALLMAN, OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 53, 1991,
PP. 11-26. 286 16. FURTHER DEVELOPMENTS IN THE STUDY OF COINTEGRATED
VARIABLES, C. W. J. GRANGER AND N. R. SWANSON, OXFORD BULLETIN OF
ECONOMICS AND STATISTICS, 58, 1996, PP. 374-86. 302 PART THREE: LONG
MEMORY 17. AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND
FRACTIONAL DIFFERENCING, C. W. J. GRANGER AND R. JOYEUX, JOURNAL OF TIME
SERIES ANALYSIS, 1, 1980, PP. 15-29. 321 CONTENTS XI 18. LONG MEMORY
RELATIONSHIPS AND THE AGGREGATION OF DYNAMIC MODELS, C. W. J. GRANGER,
JOURNAL OF ECONOMETRICS, 14, 1980, PP. 227-38. 338 19. A LONG MEMORY
PROPERTY OF STOCK MARKET RETURNS AND A NEW MODEL, Z. DING, C. W. J.
GRANGER AND R. F. ENGLE, JOURNAL OF EMPIRICAL FINANCE, 1, 1993, PP.
83-106. 349 INDEX 373
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| indexdate | 2024-07-09T18:51:54Z |
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| physical | XVIII, 378 S. graph. Darst. |
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| series | Econometric Society: Econometric Society monographs |
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| spelling | Granger, C. W. J. 1934-2009 Verfasser (DE-588)120941104 aut Essays in econometrics collected papers of Clive W. J. Granger 2 Causality, integration and cointegration, and long memory edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson 1. publ. Cambridge ; New York Cambridge Univ. Press 2001 XVIII, 378 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Econometric Society: Econometric Society monographs 33 Econometric society monographs ... Ghysels, Eric 1956- (DE-588)130422134 edt Swanson, Norman R. 1964- (DE-588)120685981 edt (DE-604)BV013783580 2 Econometric Society: Econometric Society monographs 33 (DE-604)BV000018129 33 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009422872&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Granger, C. W. J. 1934-2009 Essays in econometrics collected papers of Clive W. J. Granger Econometric Society: Econometric Society monographs |
| title | Essays in econometrics collected papers of Clive W. J. Granger |
| title_auth | Essays in econometrics collected papers of Clive W. J. Granger |
| title_exact_search | Essays in econometrics collected papers of Clive W. J. Granger |
| title_full | Essays in econometrics collected papers of Clive W. J. Granger 2 Causality, integration and cointegration, and long memory edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson |
| title_fullStr | Essays in econometrics collected papers of Clive W. J. Granger 2 Causality, integration and cointegration, and long memory edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson |
| title_full_unstemmed | Essays in econometrics collected papers of Clive W. J. Granger 2 Causality, integration and cointegration, and long memory edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson |
| title_short | Essays in econometrics |
| title_sort | essays in econometrics collected papers of clive w j granger causality integration and cointegration and long memory |
| title_sub | collected papers of Clive W. J. Granger |
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