Cointegration, causality, and forecasting
Subtitle: a festschrift in honour of Clive W.J. Granger
By: edited by Robert F. Engle and Halbert White.
Contributors: White, Halbert.; Engle, R. F.; Granger, C. W. J. 1934-
Publisher: Oxford University Press; OUP Oxford
Published: 1999
Place of publication: Oxford; New York
Language: eng
Number of pages: 497
Subjects: Granger, C. W. J. 1934-; Econometric models; Cointegration; Business forecasting -- Econometric models; Econometrics
Description: "Clive W.J. Granger is a pioneer in econometrics, perhaps best known for his work on cointegration: this book is a collection of essays dedicated to him and his work. Central themes of Granger's work are reflected in the book with attention given 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."--Jacket.
Notes: Includes bibliographical references.
Table of contents: title: 1. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series / James H. Stock and Mark W. Watson; title: 2. A multivariate time series analysis of the data revision process for industrial production and the composite leading indicator / Norman R. Swanson, Eric Ghysels, and Myles Callan; title: 3. Evaluating density forecasts of inflation: the survey of professional forecasters / Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis; title: 4. Ranking competing multi-step forecasts / Paul Newbold, David I. Harvey, and Stephen J. Leybourne; title: 5. The pervasiveness of Granger causality in econometrics / David F. Hendry and Grayham E. Mizon; title: 6. A class of tests for integration and cointegration / James H. Stock; title: 7. Order selection in testing for the cointegrating rank of a VAR process / Helmut Lütkepohl and Pentti Saikkonen; title: 8. Granger's representation theorem and multicointegration / Tom Engsted and Søren Johansen; title: 9. Dimensionality effect in cointegration analysis / Jesús Gonzalo and Jean-Yves Pitarakis; title: 10. Testing DHSY as a restricted conditional model of a trivariate seasonally cointegrated system / Luigi Ermini; title: 11. A unit root test in the presence of structural changes in I(1) and I(0) models / Michio Hatanaka and Kazuo Yamada; title: 12. Investigating inflation transmission by stages of processing / Tae-Hwy Lee and Stuart Scott; title: 13. Price convergence in the medium and long run: an I(2) analysis of six price indices / Katarina Juselius; title: 14. M-testing using finite and infinite dimensional parameter estimators / Halbert White and Yongmiao Hong; title: 15. Asymptotic properties of some specification tests in linear models with integrated processes / Jeffrey M. Wooldridge; title: 16. Residual variance estimates and order determination in panels of intercorrelated autoregressive time series / Vidar Hjellvik and Dag Tjøstheim; title: 17. Partial pooling: a possible answer to "To pool or not to pool" / Farshid Vahid; title: 18. A simultaneous binary choice/count model with an application to credit card approvals / Andrew A. Weiss; title: 19. Statistical properties of the asymmetric power ARCH process / Changli He and Timo Teräsvirta; title: 20. A long-run and short-run component model of stock return volatility / Robert F. Engle and Gary G.J. Lee.