LEADER 09955nam 2200853Ia 450 001 9910828467003321 005 20200520144314.0 010 $a1-139-88285-6 010 $a1-280-16035-7 010 $a1-139-14681-5 010 $a0-511-11903-8 010 $a0-511-06725-9 010 $a0-511-06094-7 010 $a0-511-29763-7 010 $a0-511-75397-7 010 $a0-511-06938-3 035 $a(CKB)1000000000018457 035 $a(EBL)218040 035 $a(OCoLC)62887014 035 $a(SSID)ssj0000149203 035 $a(PQKBManifestationID)11136668 035 $a(PQKBTitleCode)TC0000149203 035 $a(PQKBWorkID)10236197 035 $a(PQKB)10143092 035 $a(SSID)ssj0000506823 035 $a(PQKBManifestationID)12173572 035 $a(PQKBTitleCode)TC0000506823 035 $a(PQKBWorkID)10516159 035 $a(PQKB)11112923 035 $a(UkCbUP)CR9780511753978 035 $a(Au-PeEL)EBL218040 035 $a(CaPaEBR)ebr10069906 035 $a(CaONFJC)MIL16035 035 $a(MiAaPQ)EBC218040 035 $a(PPN)261361597 035 $a(EXLCZ)991000000000018457 100 $a20000509d2001 uy 0 101 0 $aeng 135 $aur||||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aCausality, integration and cointegration, and long memory $ecollected papers of Clive W.J. Granger /$fedited by Eric Ghysels, Norman R. Swanson, Mark W. Watson 205 $a1st ed. 210 $aCambridge ;$aNew York $cCambridge University Press$d2001 215 $a1 online resource (xviii, 378 pages) $cdigital, PDF file(s) 225 1 $aEconometric Society monographs ;$vno. 33 225 0 $aEssays in econometrics ;$vv.2 300 $aTitle from publisher's bibliographic system (viewed on 05 Oct 2015). 311 $a0-521-79649-0 311 $a0-521-79207-X 320 $aIncludes bibliographical references and index. 327 $aCover -- Half-title -- Series-title -- Title -- Copyright -- Dedication -- Contents -- Acknowledgments -- ACADEMIC PRESS -- AMERICAN STATISTICAL ASSOCIATION -- BLACKWELL PUBLISHERS -- BUREAU OF THE CENSUS -- CAMBRIDGE UNIVERSITY PRESS -- CHARTERED INSTITUTION OF WATER AND ENVIRONMENTAL MANAGEMENT -- THE ECONOMETRICS SOCIETY -- ELSEVIER -- FEDERAL RESERVE BANK OF MINNEAPOLIS -- HELBING AND LICHTENHAHN VERLAG -- JOHN WILEY & -- SONS, LTD. -- MACMILLAN PUBLISHERS, LTD. -- MIT PRESS -- TAYLOR & -- FRANCIS, LTD. -- Contributors -- Introduction -- Volume I -- SPECTRAL METHODS -- SEASONALITY -- NONLINEARITY -- METHODOLOGY -- FORECASTING -- Volume II -- CAUSALITY -- INTEGRATION AND COINTEGRATION -- LONG MEMORY -- REFERENCES -- PART ONE CAUSALITY -- CHAPTER 1 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods -- I. SPECTRAL METHODS -- II. FEEDBACK MODELS -- III. CAUSALITY -- IV. TWO-VARIABLE MODELS -- V. THREE-VARIABLE MODELS -- VI. CONCLUSION -- REFERENCES -- CHAPTER 2 Testing for Causality -- 1. THE PROBLEM AND A DEFINITION -- 2. A VARIETY OF VIEWPOINTS ON CAUSALITY -- 3. AN OPERATIONAL DEFINITION -- 4. SOME DIFFICULTIES -- 5. TEST PROCEDURES -- 6. DISCUSSION AND CONCLUSIONS -- REFERENCES -- CHAPTER 3 Some Recent Developments in A Concept of Causality -- 1. INTRODUCTION -- 2. CO-INTEGRATION AND CAUSATION -- 3. INSTANTANEOUS CAUSALITY -- 4. CAUSALITY AND CONTROL VARIABLES -- REFERENCES -- CHAPTER 4 Advertising and Aggregate Consumption: An Analysis of Causality -- 1. INTRODUCTION -- 2. PREVIOUS STUDIES -- 3. TESTING FOR CAUSALITY -- 4. THE DATA -- 5. EMPIRICAL RESULTS -- 6. CONCLUSIONS -- APPENDIX -- REFERENCES -- PART TWO INTEGRATION AND COINTEGRATION -- CHAPTER 5 Spurious Regressions in Econometrics -- 1. INTRODUCTION -- 2. SOME RESULTS IN TIME SERIES ANALYSIS -- 3. HOW NONSENSE REGRESSIONS CAN ARISE. 327 $a4. SOME SIMULATION RESULTS -- 5. DISCUSSION AND CONCLUSION -- REFERENCES -- CHAPTER 6 Some Properties of Time Series Data and Their Use in Econometric Model Specification -- 1. INTRODUCTION -- 2. INTEGRATED SERIES AND FILTERS -- 3. THE ALGEBRA OF INTEGRATED SERIES AND IT'S IMPLICATIONS -- 4. CO-INTEGRATED SERIES -- 5. CONCLUSION -- REFERENCES -- CHAPTER 7 Time Series Analysis of Error-Correction Models -- 1. INTRODUCTION -- 2. THE ONE-WAY CAUSAL MODEL -- 3. MULTI-COMPONENT CO-INTEGRATED SERIES -- 4. THE BIVARIATE FEEDBACK CASE -- 5. AGGREGATION -- 6. TESTING FOR CO-INTEGRATION -- 7. APPLICATION 1: EMPLOYEES' INCOME AND NATIONAL INCOME -- 8. APPLICATION 2. M3 AND GNP -- 9. APPLICATION 3. PRICES, WAGES AND PRODUCTIVITY IN THE TRANSPORTATION INDUSTRY -- 10. CONCLUSIONS -- APPENDIX 1. FRACTIONAL INTEGRATED SERIES -- APPENDIX 2. ERROR CORRECTION AND SEASONALITY -- REFERENCES -- CHAPTER 8 Co-Integration and Error Correction: Representation, Estimation, and Testing -- 1. INTRODUCTION -- 2. INTEGRATION, CO-INTEGRATION, AND ERROR CORRECTION -- 3. PROPERTIES OF CO-INTEGRATED VARIABLES AND THEIR REPRESENTATIONS -- 4. ESTIMATING CO-INTEGRATED SYSTEMS -- 5. TESTING FOR CO-INTEGRATION -- 6. EXAMPLES -- 7. CONCLUSION -- REFERENCES -- CHAPTER 9 Developments in the Study of Cointegrated Economic Variables -- 1. INTRODUCTION -- 2. COINTEGRATION -- 3. TESTING FOR COINTEGRATION -- 4. GENERALISATION: MANY VARIABLES AND GENERAL COINTEGRATION -- 5. FURTHER GENERALIZATIONS -- 6. CONCLUSION -- REFERENCES -- CHAPTER 10 Seasonal Integration and Cointegration -- 1. INTRODUCTION -- 2. SEASONAL TIME-SERIES PROCESSES -- 3. TESTING FOR SEASONAL UNIT ROOTS -- 4. ERROR-CORRECTION REPRESENTATION -- 5. TESTING FOR COINTEGRATION: AN APPLICATION -- 6. CONCLUSION -- REFERENCES -- CHAPTER 11 A Cointegration Analysis of Treasury Bill Yields -- 1. INTRODUCTION -- 2. THEORETICAL FRAMEWORK. 327 $aA. Theory of the Term Structure -- B. Integration and Cointegration within the Term Structure -- C. Modeling Cointegrated Data -- 3. THE DATA -- 4. THE EMPIRICAL EVIDENCE -- A. Time Series Properties of Individual Yields -- B. Cointegration Analysis -- C. Error Correction Models -- D. Forecasts -- 5. CONCLUSION -- REFERENCES -- CHAPTER 12 Estimation of Common Long-Memory Components in Cointegrated Systems -- 1. FACTOR MODEL -- 2. ESTIMATION AND TESTING -- 3. APPLICATIONS -- 3.1 Consumption and GNP, Dividends and Stock Prices -- 3.2 Interest Rates in Canada and the United States -- 4. CONCLUSION -- ACKNOWLEDGMENTS -- APPENDIX: PROOFS OF THE MAIN RESULTS -- REFERENCES -- CHAPTER 13 Separation in Cointegrated Systems and Persistent-Transitory Decompositions -- 1. INTRODUCTION -- 2. DEFINITION OF THE CONCEPTS -- 2.1 Notions of Separation in Cointegrated Systems -- 2.2 P-T Decomposition of a Vector Time Series -- 3. PERSISTENT-TRANSITORY DECOMPOSITION IN SEPARATED COINTEGRATING SYSTEMS -- 3.1 Erroneously Treating Non- and Partially-separated Systems as Completely Separated -- 3.2 Partial Separation and P-T Decomposition of the Full System -- 4. EXTENSIONS TO NON-LINEAR ERROR CORRECTION MODELS -- 5. CONCLUSION -- REFERENCES -- CHAPTER 14 Nonlinear Transformations of Integrated Time Series -- 1. INTRODUCTION -- 2. UNIT ROOT TESTS ON TRANSFORMED SERIES -- 3. COINTEGRATED VARIABLES -- 4. CONCLUSIONS -- ACKNOWLEDGEMENTS -- REFERENCES -- CHAPTER 15 Long Memory Series with Attractors -- 1. INTRODUCTION -- 2. SHORT AND LONG MEMORY -- 3. BIVARIATE ATTRACTOR -- 4. ESTIMATION OF THE ATTRACTOR -- 5. TESTING FOR AN ATTRACTOR -- 6. AN APPLICATION -- 7. CONCLUSION -- REFERENCES -- CHAPTER 16 Further Developments in the Study of Cointegrated Variables -- 1. INTRODUCTION -- 2. SIMPLE GENERALIZATIONS -- 3. NONLINEAR GENERALIZATIONS -- 4. CURRENT INTERPRETATIONS. 327 $a5. EXAMPLE OF NONLINEAR ERROR-CORRECTION -- 6. EARLY WARNINGS, FRAGILITY AND THE FUTURE -- REFERENCES -- PART THREE LONG MEMORY -- CHAPTER 17 An Introduction to Long-Memory Time Series Models and Fractional Differencing -- 1. ON DIFFERENCING TIME SERIES -- 2. TIME SERIES PROPERTIES -- 4. FORECASTING AND ESTIMATION OF d -- 5. PRACTICAL EXPERIENCE -- APPENDIX: THE d = 0 CASE -- REFERENCES -- CHAPTER 18 Long Memory Relationships and the Aggregation of Dynamic Models -- 1. INTRODUCTION -- 2. AGGREGATION OF INDEPENDENT SERIES -- 3. AGGREGATION OF DEPENDENT SERIES -- 4. SOME OTHER MODELS -- 5. CONCLUSION -- REFERENCES -- CHAPTER 19 A Long Memory Property of Stock Market Returns and a New Model -- 1. INTRODUCTION -- 2. THE DATA -- 3. AUTOCORRELATION ANALYSIS OF THE RETURN SERIES -- 4. SENSITIVITY OF AUTOCORRELATION STRUCTURE -- 5. MONTE-CARLO STUDY OF VARIOUS FINANCIAL TIME SERIES MODELS -- 6. A NEW MODEL - ASYMMETRIC POWER ARCH -- 6. CONCLUSION -- APPENDIX A -- APPENDIX B. CONDITIONS FOR THE EXISTENCE OF? -- REFERENCES -- Index. 330 $aThis book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors. 410 0$aEconometric Society monographs ;$vno. 33. 606 $aEconometrics 606 $aEconomics 615 0$aEconometrics. 615 0$aEconomics. 676 $a330/.01/5195 700 $aGranger$b C. W. J$g(Clive William John),$f1934-2009.$00 701 $aGhysels$b Eric$f1956-$0256698 701 $aSwanson$b Norman R$g(Norman Rasmus),$f1964-$0293361 701 $aWatson$b Mark W$0119533 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910828467003321 996 $aCausality, integration and cointegration, and long memory$94192475 997 $aUNINA