Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger by Robert F. EngleCointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger by Robert F. Engle

Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger

EditorRobert F. Engle, Halbert White

Hardcover | October 7, 1999

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The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unitroots 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 theprofession that has been influenced by his work.
Robert Engle holds the Chancellor's Associates Chair in Economics at the University of California, San Diego. Previously Assistant Professor at Massachusetts Institute of Technology (MIT), He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society. Halbert White is Professor of Economics at the Univ...
Title:Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. GrangerFormat:HardcoverPublished:October 7, 1999Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198296835

ISBN - 13:9780198296836

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Table of Contents

James H. Stock and Mark W. Watson: Chapter 1: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time SeriesNorman R. Swanson, Eric Ghysels, and Myles Callan: Chapter 2: A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading IndicatorFrancis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis: Chapter 3: Evaluating Density Forecasts: The Survey of Professional ForecastersPaul Newbold, David I. Harvey, and Stephen J. Leybourne: Chapter 4: Ranking Competing Multi-step ForecastsDavid F. Hendry and Grayham E. Mizon: Chapter 5: The Pervasiveness of Granger Causality in EconometricsJames H. Stock: Chapter 6: A Class for Tests for Integration and CointegrationHelmut Lutkepohl and Pentti Saikkonen: Chapter 7: Order Selection in Testing for the Cointegration Rank of a VAR ProcessTom Engsted and Soren Johansen: Chapter 8: Granger's Representation Theorem and MulticointegrationJesus Gonzalo and Jean-Yves Pitarakis: Chapter 9: Dimensionality Effect in Cointegration AnalysisLuigi Ermini: Chapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated SystemMichio Hatanaka and Kazuo Yamada: Chapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) ModelsTae-Hwy Lee and Stuart Scott: Chapter 12: Investigating Inflation Transmission by Stages of ProcessingKatarina Juselius: Chapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price IndicesHalbert White and Yongmiao Hong: Chapter 14: M-testing using Finite and Infinite Dimensional Parameter EstimatorsJeffrey M. Wooldridge: Chapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated ProcessesVidar Kjellvik and Dag Tjostheim: Chapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time SeriesFarshid Vahid: Chapter 17: Partial Pooling: a Possible Answer to 'To Pool or not to Pool'Andrew A. Weiss: Chapter 18: A Simultaneous Binary Choice/Count Model with an Application to Credit Card ApprovalsTimo Terasvirta and Changli He: Chapter 19: Statistical Properties of the Asymmetric Power ARCH ProcessRobert F. Engle and Gary G. J. Lee: Chapter 20: A Long-run and Short-run Component Model of Stock Return Volatility