Causality, integration and cointegration, and long memory : collected papers of Clive W.J. Granger / / edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson

• Autore: Granger C. W. J (Clive William John), <1934-2009.>
• Pubblicazione: Cambridge ; ; New York, : Cambridge University Press, 2001
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (xviii, 378 pages) : digital, PDF file(s)
• Disciplina: 330/.01/5195
• Soggetto topico: Econometrics; Economics
• Altri autori: GhyselsEric <1956-> SwansonNorman R <1964-> (Norman Rasmus) WatsonMark W
• Note generali: Title from publisher's bibliographic system (viewed on 05 Oct 2015).
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Cover -- 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. ; 4. 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. ; A. 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. ; 5. 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.
• Sommario/riassunto: This 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.
• Titolo autorizzato: Causality, integration and cointegration, and long memory
• ISBN: 1-139-88285-6; 1-280-16035-7; 1-139-14681-5; 0-511-11903-8; 0-511-06725-9; 0-511-06094-7; 0-511-29763-7; 0-511-75397-7; 0-511-06938-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910828467003321
• Lo trovi qui: Univ. Federico II
• Serie: Econometric Society monographs ; ; no. 33.