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Essays in Econometrics Volume 2 , Causality, Integration and Cointegration, and Long Memory

Опубликовано на портале: 11-08-2004
Cambridge: Cambridge University Press, 2001
Тематический раздел:
This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), 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.

Sample chapter

Part I. Causality:

    1. Investigating causal relations by econometric models and cross-spectral methods;
    2. Testing for causality;
    3. Some recent developments in a concept of causality;
    4. Advertising and aggregate consumption: an analysis of causality R. Ashley and R. Schmalensee

Part II. Integration and Cointegration:

    5. Spurious regressions in econometrics;
    6. Some properties of time series data and their use in econometric model specification;
    7. Time series analysis of error correction models A. A. Weiss;
    8. Co-Integration and error-correction: representation, estimation and testing;
    9. Developments in the study of cointegrated economic variables;
    10. Seasonal integration and cointegration S. Hylleberg, R. F. Engle and B. S. Yoo;
    11. A cointegration analysis of Treasury Bill yields A. D. Hall and H. M. Anderson;
    12. Estimation of common long-memory components in Cointegrated Systems J. Gonzalo;
    13. Separation in cointegrated systems and persistent-transitory decompositions N. Haldrup;
    14. Nonlinear transformations of Integrated Time Series J. Hallman;
    15. Long Memory Series with attractors J. Hallman;
    16. Further developments in the study of cointegrated variables N. R. Swanson

Part III. Long Memory:

    17. An introduction to long-memory Time Series models and fractional differencing R. Joyeux;
    18. Long-memory relationships and the aggregation of dynamic models;
    19. A long memory property of stock market returns and a new model Z. Ding and R. F. Engle
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