Essays in Econometrics: Collected Papers of

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.

Acknowledgments

xiii

List of Contributors

xvii

Introduction

1

(30)

Eric Ghysels

Norman R. Swanson

Mark Watson

PART ONE: CAUSALITY

Investigating Causal Relations by Econometric Models and Cross-Spectral Methods

31

(17)

C. W. J. Granger

J. Sargent

R. Lucas

Testing for Causality: A Personal Viewpoint

48

(23)

C. W. J. Granger

Some Recent Developments in a Concept of Causality

71

(13)

C. W. J. Granger

Advertising and Aggregate Consumption: An Analysis of Causality

84

(25)

R. Ashley

C. W. J. Granger

R. Schmalensee

PART TWO: INTEGRATION AND COINTEGRATION

Spurious Regression in Econometrics

109

(10)

C. W. J. Granger

P. Newbold

Some Properties of Time Series Data and Their Use in Econometric Model Specification

119

(10)

C. W. J. Granger

Time Series Analysis of Error Correction Models

129

(16)

C. W. J. Granger

A. A. Weiss

S. Karlin

T. Amemiya

L. A. Goodman

Co-Integration and Error-Correction: Representation, Estimation, and Testing

145

(28)

R. Engle

C. W. J. Granger

Developments in the Study of Cointegrated Economic Variables

173

(16)

C. W. J. Granger

Seasonal Integration and Cointegration

189

(23)

S. Hylleberg

R. F. Engle

C. W. J. Granger

B. S. Yoo

A Cointegration Analysis of Treasury Bill Yields

212

(20)

A. D. Hall

H. M. Anderson

C. W. J. Granger

Estimation of Common Long Memory Components in Cointegrated Systems

232

(22)

J. Gonzalo

C. W. J. Granger

Separation in Cointegrated Systems and Persistent-Transitory Decompositions

254

(15)

C. W. J. Granger

N. Haldrup

Nonlinear Transformations of Integrated Time Series

269

(17)

C. W. J. Granger

J. Hallman

Long Memory Series with Attractors

286

(16)

C. W. J. Granger

J. Hallman

Further Developments in the Study of Cointegrated Variables

302

(19)

C. W. J. Granger

N. R. Swanson

PART THREE: LONG MEMORY

An Introduction to Long-Memory Time Series Models and Fractional Differencing

321

(17)

C. W. J. Granger

R. Joyeux

Long Memory Relationships and the Aggregation of Dynamic Models

338

(11)

C. W. J. Granger

A Long Memory Property of Stock Market Returns and a New Model

349

(24)

Z. Ding

C. W. J. Granger

R. E. Engle

Index

373

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Essays in Econometrics: Collected Papers of Clive W. J. Granger

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