By Clive W. J. Granger, Eric Ghysels, Norman R. Swanson, Mark W. Watson
This e-book, and its significant other quantity, current a suite of papers via Clive W.J. Granger. His contributions to economics and econometrics, a lot of them seminal, span greater than 4 a long time and contact on all features of time sequence research. The papers assembled during this quantity discover issues in spectral research, seasonality, nonlinearity, method, and forecasting. these within the significant other quantity examine issues in causality, integration and cointegration, and lengthy reminiscence. the 2 volumes include the unique articles in addition to an advent written via the editors.
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This e-book, and its better half quantity, current a set of papers by way of Clive W. J. Granger. His contributions to economics and econometrics, lots of them seminal, span greater than 4 a long time and contact on all elements of time sequence research. The papers assembled during this quantity discover issues in spectral research, seasonality, nonlinearity, method, and forecasting.
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Extra info for Essays in Econometrics: Collected Papers of Clive W. J. Granger
It was brand new in those days in Britain. And so I applied, even though Nottingham was my home town, and it was always thought a good idea to go away to another city. I liked the description of the degree because it mixed two things – one thing I thought I could do, and one thing I thought was going to be interesting, economics, and I liked very much the people there in Nottingham. They did not get too many applicants the ﬁrst year, so I think that got me into that degree rather easily. So, I went to Nottingham to enter that joint degree, but at the end of the ﬁrst year, the Math Department persuaded me to switch over to mathematics but to concentrate on statistics.
Hansen, L. , and T. J. Sargent, 1980, Formulating and Estimating Dynamic Linear Rational Expectations Models, Journal of Economic Dynamics and Control, 2, No. 1, 7–46. , 1990, Applied Nonparametric Regression, Cambridge: Cambridge University Press. Hendry, D. , 1995, Dynamic Econometrics, Oxford, England: Oxford University Press. Hendry, D. , and G. E. Mizon, 1978, Serial Correlation as a Convenient Simpliﬁcation, Not a Nuisance: A Comment on a Study of the Demand For Money by the Bank of England, Economic Journal, 88, 549–63.
The paper does not tackle the unitroot distribution problems that arise in the tests (more on this later) and instead suggests practical “identiﬁcation” procedures analogous to those used in Box-Jenkins model building. The ﬁnal contribution of the paper is an application of cointegration to three classic economic relations, each of which was studied in more detail by later researchers using “modern” cointegration methods. The ﬁrst application considered employee income and national income (in logarithms) and, thus, focused on labor’s share of national income, one of the “Great Ratios” investigated earlier by Kosobud and Klein (1961) using other statistical methods.