Clive W. J. Granger

Essays in Econometrics: Volume 1, Spectral Analysis, Seasonality, Nonlinearity, Methodology, and Forecasting (eBook, PDF)

Collected Papers of Clive W. J. Granger

• Format: PDF

Produktbeschreibung

This book, and its companion volume in the Econometric Society Monographs series (ESM number 33), 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 spectral analysis, seasonality, nonlinearity, methodology, and forecasting. 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.

---

Dieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, B, BG, CY, CZ, D, DK, EW, E, FIN, F, GR, HR, H, IRL, I, LT, L, LR, M, NL, PL, P, R, S, SLO, SK ausgeliefert werden.

Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 23. Juli 2001
• Englisch
• ISBN-13: 9780511060458
• Artikelnr.: 38188781

Inhaltsangabe

Part I. Spectral Analysis: 1. Spectral analysis of New York Stock Market
prices O. Morgenstern; 2. The typical spectral shape of an eonomic
variable; Part II. Seasonality: 3. Seasonality: causation, interpretation
and implications A. Zellner; 4. Is seasonal adjustment a linear or
nonlinear data-filtering process? E. Ghysels and P. L. Siklos; Part III.
Nonlinearity: 5. Non-linear time series modeling A. Anderson; 6. Using the
correlation exponent to decide whether an economic series is chaotic T. Liu
and W. P. Heller; 7. Testing for neglected nonlinearity in time series
models: a comparison of neural network methods and alternative tests; 8.
Modeling nonlinear relationships between extended-memory variables; 9.
Semiparametric estimates of the relation between weather and electricity
sales R. F. Engle, J. Rice and A. Weiss; Part IV. Methodology: 10. Time
series modeling and interpretation M. J. Morris; 11. On the invertibility
of time series models A. Anderson; 12. Near normality and some econometric
models; 13. The time series approach to econometric model building P.
Newbold; 14. Comments on the evaluation of policy models; 15. Implications
of aggregation with common factors; Part V. Forecasting: 16. Estimating the
probability of flooding on a tidal river; 17. Prediction with a generalized
cost of error function; 18. Some comments on the evaluation of economic
forecasts P. Newbold; 19. The combination of forecasts; 20. Invited review:
combining forecasts - twenty years later; 21. The combination of forecasts
using changing weights M. Deutsch and T. Terasvirta; 22. Forecasting
transformed series; 23. Forecasting white noise A. Zellner; 24. Can we
improve the perceived quality of economic forecasts? Short-run forecasts of
electricity loads and peaks R. Ramanathan, R. F. Engle, F. Vahid-Araghi and
C. Brace; Index.