Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Image from Google Jackets

Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger / [edited by] Robert F. Engle and Halbert White.

Contributor(s): Material type: TextTextPublication details: Oxford : Oxford University Press, 2007.Description: vi, 497 p. : ill., 1 port. ; 24 cmISBN:
  • 9780198296836
Subject(s): DDC classification:
  • 330.015195 23 En58
Contents:
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.
Summary: 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.
Tags from this library: No tags from this library for this title. Log in to add tags.
Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 En58 (Browse shelf(Opens below)) Available 137285
Total holds: 0

Includes bibliographical references.

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.

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.

There are no comments on this title.

to post a comment.
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in