Essays in Econometrics Collected Papers of Clive W J Granger Econometric Society Monographs Vol 2 1st Edition by Clive Granger, Eric Ghysels, Norman Swanson, Mark Watson 9780521792073 052179207X

Essays in Econometrics Collected Papers of Clive W J Granger Econometric Society Monographs Vol 2 1st Edition by Clive Granger, Eric Ghysels, Norman Swanson, Mark Watson – Ebook PDF Instant Download/Delivery: 9780521792073, 052179207X

Full download Essays in Econometrics Collected Papers of Clive W J Granger Econometric Society Monographs Vol 2 1st Edition after payment

 

Product details:

ISBN 10: 052179207X

ISBN 13: 9780521792073

Author: Clive W. J. Granger, Eric Ghysels, Norman R. Swanson, Mark W. Watson

This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

Table of contents:

PART ONE: CAUSALITY
Chapter 1 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
Chapter 2 Testing for Causality: A Personal Viewpoint
Chapter 3 Some Recent Developments in a Concept of Causality
Chapter 4 Advertising and Aggregate Consumption: An Analysis of Causality

PART TWO: INTEGRATION AND COINTEGRATION
Chapter 5 Spurious Regression 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 Variables
Chapter 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 Decomposition
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

PART THREE: LONG MEMORY
Chapter 17 An Introduction to Long-Memory Time Series Models and Fractional Differencing
Chapter 18 Long Memory Relationships and the Aggregation of Dynamic Models
Chapter 19 A Long Memory Property of Stock Market Returns and a New Model

People also search:

essays in history journal

essays on columbian exchange

essays in panel data econometrics

j of econometrics

econometrics clm

Tags: Clive Granger, Eric Ghysels, Norman Swanson, Econometrics