×

Sir Clive W. J. Granger memorial special issue on econometrics: an introduction. (English) Zbl 1358.00115

Summary: Clive W. J. Granger made many fundamental contributions to econometrics and was awarded the Sveriges Riksbank Prize in Economic Science in Memory of Alfred Nobel in 2003 for developing cointegration. This Special Issue reviews his contributions to Granger causality, forecasting, cointegration, fractional integration, non-linearity and model selection.

MSC:

00B15 Collections of articles of miscellaneous specific interest
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
91G70 Statistical methods; risk measures
91B84 Economic time series analysis
62M20 Inference from stochastic processes and prediction
60G22 Fractional processes, including fractional Brownian motion
60G25 Prediction theory (aspects of stochastic processes)
01A70 Biographies, obituaries, personalia, bibliographies

Biographic References:

Granger, Clive William John
PDFBibTeX XMLCite

References:

[1] D. N. Adams. The Salmon of Doubt. MacMillan, London, 2002.
[2] L. E. Andersen, C. W. J. Granger, E. J. Reis, D. Weinhold, and S. Wunder, editors. The dynamics of deforestation and economic development in the Brazilian Amazon. Cambridge University Press, Cambridge, 2002. REFERENCES9
[3] J. M. Bates and C. W. J. Granger. The combination of forecasts. Operations Research Quarterly, 20:451–468, 1969. Reprinted in T.C. Mills (ed.), Economic Forecasting. Edward Elgar, 1999.
[4] I. Dittmann and C. W. J. Granger. Properties of nonlinear transformations of fractionally integrated processes. Journal of Econometrics, 110:113–133, 2002. · Zbl 1043.62071
[5] R. F. Engle.Autoregressive conditional heteroscedasticity, with estimates of the variance of United Kingdom inflation. Econometrica, 50:987–1007, 1982. · Zbl 0491.62099
[6] R. F. Engle and C. W. J. Granger. Cointegration and error correction: Representation, estimation and testing. Econometrica, 55:251–276, 1987. · Zbl 0613.62140
[7] R. F. Engle and H. White, editors. Cointegration, Causality and Forecasting. Oxford University Press, Oxford, 1999.
[8] A. Gabor and C.W.J. Granger. Pricing, principles and practices. Heinemann Educational, London, 1977.
[9] E. Ghysels, N. R. Swanson, and M. W. Watson, editors. Essays in Econometrics. Collected Papers of Clive W.J. Granger. 2 Volumes. Cambridge University Press, Cambridge, 2001.
[10] C. W. J. Granger. Spectral Analysis of Economic Time Series. Princeton University Press, Princeton, 1964. In association with M. Hatanaka. · Zbl 0128.14701
[11] C. W. J. Granger. The typical spectral shape of an economic variable. Econometrica, 34:150–161, 1966.
[12] C. W. J. Granger. Investigating causal relations by econometric models and crossspectral methods. Econometrica, 37:424–438, 1969. · Zbl 1366.91115
[13] C. W. J. Granger. Trading in Commodities. Woodhead-Faulkner, Cambridge, 1975.
[14] C. W. J. Granger. Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics, 48:213–228, 1986.
[15] C. W. J. Granger. Strategies for modelling nonlinear time series relationships. Economic Record, 60:233–238, 1993.
[16] C. W. J. Granger. Introducing nonlinearity into cointegration. Revista de Econometria, 16:25–36, 1996.
[17] C. W. J. Granger. Empirical Modeling in Economics: Specification and Evaluation. Cambridge University Press, Cambridge, 1999.
[18] C. W. J. Granger. Non-linear models: Where do we go next–time varying parameter models? Studies in Nonlinear Dynamics and Econometrics, 12:Article 1, 2008. REFERENCES10 · Zbl 1193.91115
[19] C. W. J. Granger and A. P. Andersen. Introduction to Bilinear Time Series Models. Vandenhoeck & Ruprecht, G”ottingen, 1978. · Zbl 0379.62074
[20] C. W. J. Granger and D. F. Hendry. A dialogue concerning a new instrument for econometric modeling. Econometric Theory, 21:278–297, 2005. · Zbl 1161.62453
[21] C. W. J. Granger and Y. Jeon. Thick modeling. Economic Modelling, 21:323–343, 2004.
[22] C. W. J. Granger and R. Joyeux. An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1:15–30, 1980. · Zbl 0503.62079
[23] C. W. J. Granger, M. L. King, and H. White. Comments on testing economic theories and the use of model selection criteria. Econometrics Journal, 67:173–187, 1995. · Zbl 0925.62521
[24] C. W. J. Granger and H. S. Lee. An introduction to time-varying parameter cointegration. in Hackl, P. and Westlund, A.H. (eds), Economic Structural Change, Analysis and Forecasting, Springer-Verlag, Berlin pages 138–157. 1991.
[25] C. W. J. Granger and O. Morgenstern. Spectral analysis of New York stock market prices. Kyklos, 16:1–27, 1963. Reprinted in The Random Character of Stock Market Prices, P.H. Cootner (ed.), M.I.T. Press, 1964.
[26] C. W. J. Granger and P. Newbold. The time series approach to econometric model building. In Sims [41], pages 7–21.
[27] C. W. J. Granger and T. Ter”asvirta. Modelling Nonlinear Economic Relationships. Oxford University Press, Oxford, 1993.
[28] T. Haavelmo. The probability approach in econometrics. Econometrica, 12:1–118, 1944. Supplement. · Zbl 0063.01837
[29] D. F. Hendry. On the time series approach to econometric model building. In Sims
[30] , pages 183–202.
[31] D. F. Hendry.Econometric modelling: The consumption function in retrospect. Scottish Journal of Political Economy, 30:193–220, 1983.
[32] D. F. Hendry. The Nobel Memorial Prize for Clive W.J. Granger. Scandinavian Journal of Economics, 106:187–213, 2004.
[33] D. F. Hendry and T. Ter”asvirta. Sir Clive William John Granger 1934–2009. Biographical Memoirs of Fellows of the British Academy, XII:451–469, 2013.
[34] D. Hume. An Enquiry Concerning Human Understanding, (1927 edn). Open Court Publishing Co, Chicago, 1758.
[35] W. S. Jevons. Investigations in Currency and Finance. Macmillan, London, 1884. REFERENCES11
[36] J. L. Klein. Statistical Visions in Time: A History of Time Series Analysis 1662-1938. Cambridge University Press, Cambridge, 1997. · Zbl 0941.01006
[37] W. C. Labys and C. W. J. Granger. Speculation, Hedging and Forecasts of Commodity Prices. Heath, and Co., London, 1970.
[38] A. A. Milne. Winnie-the-Pooh. Methuen and Co. Ltd, London, 1926.
[39] P. C. B. Phillips. The ET interview: Professor Clive Granger. Econometric Theory, 13:253–303, 1997.
[40] D. H. Robertson. The non-econometrician’s lament. In E. Lundberg, editor, The Business Cycle in the Post-War World. Macmillan, London, 1955.
[41] J. D. Sargan. Wages and prices in the United Kingdom: A study in econometric methodology (with discussion). In P. E. Hart, G. Mills, and J. K. Whitaker, editors, Econometric Analysis for National Economic Planning, volume 16 of Colston Papers, pages 25–63. Butterworth Co., London, 1964.
[42] C. A. Sims, editor. New Methods in Business Cycle Research. Federal Reserve Bank of Minneapolis, Minneapolis, 1977.
[43] M. P. Taylor, editor. Perspectives on Econometrics and Applied Economics: A Tribute to Sir Clive Granger. Routledge, London, 2012.
[44] T. Ter”asvirta, D. Tjøstheim, and C. W. J. Granger. Modelling Nonlinear Economic Time Series. Oxford University Press, Oxford, 2011. · Zbl 1305.62010
[45] G. U. Yule. On the theory of correlation. Journal of the Royal Statistical Society, 60:812–838, 1897.
[46] G. U. Yule. Why do we sometimes get nonsense-correlations between time-series? A study in sampling and the nature of time series (with discussion). Journal of the Royal Statistical Society, 89:1–64, 1926. Reprinted in Hendry, D. F. and Morgan, M. S. (1995), The Foundations of Econometric Analysis. Cambridge: Cambridge University Press. · JFM 52.0532.04
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.