a festschrift in honour of Clive W.J. Granger /
vi, 497 p. : ill., 1 port. ; 24 cm. Content notes : 1. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series / James H. Stock and Mark W. Watson --
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 --
3. Evaluating density forecasts of inflation: the survey of professional forecasters / Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis --
4. Ranking competing multi-step forecasts / Paul Newbold, David I. Harvey, and Stephen J. Leybourne --
5. The pervasiveness of Granger causality in econometrics / David F. Hendry and Grayham E. Mizon --
6. A class of tests for integration and cointegration / James H. Stock --
7. Order selection in testing for the cointegrating rank of a VAR process / Helmut Lütkepohl and Pentti Saikkonen --
8. Granger's representation theorem and multicointegration / Tom Engsted and Søren Johansen --
9. Dimensionality effect in cointegration analysis / Jesús Gonzalo and Jean-Yves Pitarakis --
10. Testing DHSY as a restricted conditional model of a trivariate seasonally cointegrated system / Luigi Ermini --
11. A unit root test in the presence of structural changes in I(1) and I(0) models / Michio Hatanaka and Kazuo Yamada --
12. Investigating inflation transmission by stages of processing / Tae-Hwy Lee and Stuart Scott --
13. Price convergence in the medium and long run: an I(2) analysis of six price indices / Katarina Juselius --
14. M-testing using finite and infinite dimensional parameter estimators / Halbert White and Yongmiao Hong --
15. Asymptotic properties of some specification tests in linear models with integrated processes / Jeffrey M. Wooldridge --
16. Residual variance estimates and order determination in panels of intercorrelated autoregressive time series / Vidar Hjellvik and Dag Tjøstheim --
17. Partial pooling: a possible answer to "To pool or not to pool" / Farshid Vahid --
18. A simultaneous binary choice/count model with an application to credit card approvals / Andrew A. Weiss --
19. Statistical properties of the asymmetric power ARCH process / Changli He and Timo Teräsvirta --
20. A long-run and short-run component model of stock return volatility / Robert F. Engle and Gary G.J. Lee. Cointegration. Business forecasting - Econometric models. Econometrics. White, Halbert,Granger, Clive W. J.
