Cointegration Causality And Forecasting

Cointegration, Causality, and Forecasting

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 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.

Cointegration, Causality, and Forecasting: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series; Norman 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 Indicator; Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis: Chapter 3: Evaluating Density Forecasts: The Survey of Professional Forecasters; Paul Newbold, David I. Harvey, and Stephen J. Leybourne: Chapter 4: Ranking Competing Multi-step Forecasts; David F. Hendry and Grayham E. Mizon: Chapter 5: The Pervasiveness of Granger Causality in Econometrics; James H. Stock: Chapter 6: A Class for Tests for Integration and Cointegration; Helmut Lutkepohl and Pentti Saikkonen: Chapter 7: Order Selection in Testing for the Cointegration Rank of a VAR Process; Tom Engsted and Soren Johansen: Chapter 8: Granger's Representation Theorem and Multicointegration; Jesus Gonzalo and Jean-Yves Pitarakis: Chapter 9: Dimensionality Effect in Cointegration Analysis; Luigi Ermini: Chapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System; Michio Hatanaka and Kazuo Yamada: Chapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models; Tae-Hwy Lee and Stuart Scott: Chapter 12: Investigating Inflation Transmission by Stages of Processing; Katarina Juselius: Chapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices; Halbert White and Yongmiao Hong: Chapter 14: M -testing using Finite and Infinite Dimensional Parameter Estimators; Jeffrey M. Wooldridge: Chapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes; Vidar Kjellvik and Dag Tjostheim: Chapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series; Farshid Vahid: Chapter 17: Partial P

A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention 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.

Cointegration, Causality, and Forecasting