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Details about Clive W. J. Granger
Homepage: http://www.econ.ucsd.edu/~cgranger
Postal address: Clive Granger obtained the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003. His entry is maintained by the RePEc team. The listed email address will not respond to inquiries.
Access statistics for papers by Clive W. J. Granger.
Last updated 2009-10-30. Update your information in the RePEc Author Service .
Short-id: pgr55
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Journal Articles Edited books Chapters Editor
Working Papers
2006
Fisheries Management Under Cyclical Population Dynamics
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
See also Journal Article in Environmental & Resource Economics (2009)
Modeling Amazon Deforestation for Policy Purposes
Development Research Working Paper Series, Institute for Advanced Development Studies
2004
Autobiography
Nobel Prize in Economics documents, Nobel Prize Committee
Causality: Some New Thoughts on an Old Topic
Econometric Society 2004 Australasian Meetings, Econometric Society
Non-stationarities in stock returns
Econometrics, EconWPA View citations
See also Journal Article in The Review of Economics and Statistics (2005)
Time Series Analysis, Cointegration, and Applications
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in Nobel Prize in Economics documents, Nobel Prize Committee (2003)
See also Journal Article in American Economic Review (2004)
2003
Common factors in conditional distributions for Bivariate time series
FMG Discussion Papers, Financial Markets Group
See also Journal Article in Journal of Econometrics (2006)
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
Nobel Prize in Economics documents, Nobel Prize Committee
2002
Aggregation of Space-Time Processes
Boston College Working Papers in Economics, Boston College Department of Economics View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001) View citations
See also Journal Article in Journal of Econometrics (2004)
Common Factors in Conditional Distributions
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations
Efficient Market Hypothesis and Forecasting
CEPR Discussion Papers, C.E.P.R. Discussion Papers
See also Journal Article in International Journal of Forecasting (2004)
Hidden Cointegration
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in Royal Economic Society Annual Conference 2002, Royal Economic Society (2002) View citations
Structurally-Induced Volatility Clustering
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
2001
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations
Self-Generating Variables in a Cointegrated VAR Framework
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
2000
A Dependence Metric for Nonlinear Time Series
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
Properties of Nonlinear Transformations of Fractionally Integrated Processes
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
See also Journal Article in Journal of Econometrics (2002)
1999
Economic and Statistical Measures of Forecast Accuracy
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations
Occasional Structural Breaks and Long Memory
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations
The Impact of the Use of Forecasts in Information Sets
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999)
1998
A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations
See also Journal Article in The Quarterly Review of Economics and Finance (2000)
A simple nonlinear time series model with misleading linear properties
Working Paper Series in Economics and Finance, Stockholm School of Economics
See also Journal Article in Economics Letters (1999)
Extracting Information from Mega-Panels and High-Frequency Data
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations
Introduction to M-M Processes
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998)
See also Journal Article in Journal of Econometrics (2006)
Spurious Regressions with Stationary Series
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations
See also Journal Article in Applied Economics (2001)
1997
Evaluation of Panel Data Models: Some Suggestions from Time Series
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Regime Sensitive Cointegration with an Application to Interest rate Parity
Working Papers, Wilfrid Laurier University, Department of Economics View citations
See also Journal Article in Macroeconomic Dynamics (1997)
Seasonal Adjustment and Volatility Dynamics
CIRANO Working Papers, CIRANO View citations
The Correlogram of a Long Memory Process Plus a Simple Noise
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
1996
A Decision Theoretic Approach to Forecast Evaluation
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations
An introduction to stochastic Unit Root Processes
Working Papers, Pennsylvania State - Department of Economics View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1994)
See also Journal Article in Journal of Econometrics (1997)
Investigating the Relationship between Gold and Silver Prices
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Report on Amazon Deforestation
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
Separation in Cointegrated Systems,Long Memory Components and Common Stochastic Trends
Economics Working Papers, School of Economics and Management, University of Aarhus
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1995)
Temporary Cointegration With an Application to Interest Rate Parity
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
See also Journal Article in Journal of Business & Economic Statistics (1998)
Women's Jobs and Marriage -- Baby-Boom Versus Baby-Bust
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
1995
A Linearity Test for Near-Unit Root Time Series
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
A Random Coefficient VAR Transition Model of the Changes in Land Use in the Brazilian Amazon
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
A Tutorial on Linearity Testing under Long Range Dependence and Cointegration
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
Can We Improve the Perceived Quality of Economic Forecasts?
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
See also Journal Article in Journal of Applied Econometrics (1996)
Further Developments in the Study of Cointegrated Variables
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in Working Papers, Pennsylvania State - Department of Economics (1995) View citations
Information-Theoretic Schemes for Linearity Testing Under Long-Range Dependence and Cointegration
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
CIRANO Working Papers, CIRANO View citations
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
See also Journal Article in Journal of Business & Economic Statistics (1996)
Nonlinear Cointegration and Some New Tests for Comovements
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
1994
Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions
Working Papers, Pennsylvania State - Department of Economics View citations
Modeling Volatility Persistence of Speculative Returns: A New Approach
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
See also Journal Article in Journal of Econometrics (1996)
Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
1993
Modelling Non-Linear Relationships Between Long-Memory Variables
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Some Properties of Absolute Return: An Alternative Measure of Risk
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
See also Journal Article in Annales d'Economie et de Statistique (1995)
Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence
Working Papers, Wilfrid Laurier University, Department of Economics
See also Journal Article in Journal of Econometrics (1995)
Varieties of Long Memory Models
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
See also Journal Article in Journal of Econometrics (1996)
1992
A Long Memory Property of Stock Market Returns and a New Model
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
See also Journal Article in Journal of Empirical Finance (1993)
Comments on Testing Economic Theories and the Use of Model Selection Criteria
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
See also Journal Article in Journal of Econometrics (1995)
Estimation of Common Long-Memory Components in Cointegrated Systems
Working Papers, Boston University - Department of Economics View citations
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1991) View citations
See also Journal Article in Journal of Business & Economic Statistics (1995)
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalizaton in Vector Autoregressions
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Separation in Cointegrated Systems
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Short-Run Forecasts of Electricity Loads and Peaks
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
See also Journal Article in International Journal of Forecasting (1997)
What are we Learning about the Long Run?
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
See also Journal Article in Economic Journal (1993)
1991
Comments on the evaluation of policy models
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
See also Journal Article in Journal of Policy Modeling (1992)
Forecasting Stock Market Prices - Lessons for Forecasters
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
See also Journal Article in International Journal of Forecasting (1992)
Power of the Neural Network Linearity Test
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Reducing Self-Interest and Improving the Relevance of Economic Research
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
Some Generalizations on the Algebra of I(1) Processes
Working Papers, University of Hawaii at Manoa, Department of Economics
See also Journal Article in Journal of Econometrics (1993)
Using the Correlation Exponent to Decide if an Economic Series is Chaotic
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
1990
Conjugate Processes
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
DEVELOPMENTS IN THE NONLINEAR ANALYSIS OF ECONOMIC SERIES
Economics Working Papers, School of Economics and Management, University of Aarhus
See also Journal Article in Scandinavian Journal of Economics (1991)
Long Memory Series with Attractors
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
See also Journal Article in Oxford Bulletin of Economics and Statistics (1991)
SEASONAL COINTEGRATION: THE JAPANESE CONSUMPTION FUNCTION
Economics Working Papers, School of Economics and Management, University of Aarhus View citations
TREASURY BI;; YIELD CURVES AND COINTEGRATION
Working Papers, Australian National University - Department of Economics
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1990) View citations
1988
Aggregation of time series variables-a survey
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
Reasonable extreme bounds analysis
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis
See also Journal Article in Journal of Econometrics (1990)
SEASONAL INTEGRATION AND COINTEGRATION
Working Papers, Pennsylvania State - Department of Economics View citations
Also in Working Papers, Pennsylvania State - Department of Economics (1988) View citations
See also Journal Article in Journal of Econometrics (1990)
The algebra of I (1)
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
Journal Articles
2009
Fisheries Management Under Cyclical Population Dynamics
Environmental & Resource Economics , 2009, 42 , (3), 379-410
See also Working Paper (2006)
THE RESEARCH INTERESTS OF PAUL NEWBOLD
Econometric Theory , 2009, 25 , (06), 1460-1465
2008
Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999).
Journal of Forecasting , 2008, 27 , (2), 95-108
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
Studies in Nonlinear Dynamics & Econometrics , 2008, 12 , (3)
Also in Studies in Nonlinear Dynamics & Econometrics , 2008, 12 , (3), 1639-1639 (2008) View citations
2007
Evaluation of global models
Economic Modelling , 2007, 24 , (6), 980-989
Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam
Journal of Econometrics , 2007, 138 , (1), 3-13
Long-term forecasting and evaluation
International Journal of Forecasting , 2007, 23 , (4), 539-551
2006
Common factors in conditional distributions for bivariate time series
Journal of Econometrics , 2006, 132 , (1), 43-57 View citations
See also Working Paper (2003)
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
Journal of Time Series Analysis , 2006, 27 , (3), 347-365 View citations
Introduction to m-m processes
Journal of Econometrics , 2006, 130 , (1), 143-164
See also Working Paper (1998)
Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004
Journal of Econometrics , 2006, 135 , (1-2), 11-13
Structural attribution of observed volatility clustering
Journal of Econometrics , 2006, 135 , (1-2), 15-29 View citations
2005
A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
Econometric Theory , 2005, 21 , (01), 278-297 View citations
COMMENTS ON THE 20th ANNIVERSARY ISSUE OF ECONOMETRIC THEORY
Econometric Theory , 2005, 21 , (01), 298-298
Modeling, Evaluation, and Methodology in the New Century
Economic Inquiry , 2005, 43 , (1), 1-12
Nonstationarities in Stock Returns
The Review of Economics and Statistics , 2005, 87 , (3), 503-522 View citations
See also Working Paper (2004)
The past and future of empirical finance: some personal comments
Journal of Econometrics , 2005, 129 , (1-2), 35-40
2004
A Dependence Metric for Possibly Nonlinear Processes
Journal of Time Series Analysis , 2004, 25 , (5), 649-669 View citations
Aggregation of space-time processes
Journal of Econometrics , 2004, 118 , (1-2), 7-26 View citations
See also Working Paper (2002)
Efficient market hypothesis and forecasting
International Journal of Forecasting , 2004, 20 , (1), 15-27 View citations
See also Working Paper (2002)
Evaluating significance: comments on "size matters"
The Journal of Socio-Economics , 2004, 33 , (5), 547-550 View citations
Forecasting Performance of Information Criteria with Many Macro Series
Journal of Applied Statistics , 2004, 31 , (10), 1227-1240 View citations
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
Journal of Empirical Finance , 2004, 11 , (3), 399-421 View citations
Thick modeling
Economic Modelling , 2004, 21 , (2), 323-343 View citations
Time Series Analysis, Cointegration, and Applications
American Economic Review , 2004, 94 , (3), 421-425 View citations
See also Working Paper (2004)
2003
A time-distance criterion for evaluating forecasting models
International Journal of Forecasting , 2003, 19 , (2), 199-215 View citations
Comparing forecasts of inflation using time distance
International Journal of Forecasting , 2003, 19 , (3), 339-349
Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349]
International Journal of Forecasting , 2003, 19 , (4), 767-767
Exchange rates and fundamentals - comments
Proceedings , 2003, (Mar)
FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS
Macroeconomic Dynamics , 2003, 7 , (05), 734-758
Forecasting Volatility in Financial Markets: A Review
Journal of Economic Literature , 2003, 41 , (2), 478-539 View citations
Interactions between large macro models and time series analysis
International Journal of Finance & Economics , 2003, 8 , (1), 1-10 View citations
Some aspects of causal relationships
Journal of Econometrics , 2003, 112 , (1), 69-71 View citations
Time Series Concepts for Conditional Distributions
Oxford Bulletin of Economics and Statistics , 2003, 65 , (s1), 689-701 View citations
2002
Properties of nonlinear transformations of fractionally integrated processes
Journal of Econometrics , 2002, 110 , (2), 113-133 View citations
See also Working Paper (2000)
Some comments on risk
Journal of Applied Econometrics , 2002, 17 , (5), 447-456 View citations
2001
Comparing the methodologies used by statisticians and economists for research and modeling5
The Journal of Socio-Economics , 2001, 30 , (1), 7-14
Macroeconometrics - Past and future
Journal of Econometrics , 2001, 100 , (1), 17-19 View citations
Spurious Regressions with Stationary Series
Applied Economics , 2001, 33 , (7), 899-904 View citations
See also Working Paper (1998)
The Distributional Properties of Shocks to a Fractional I(d) Process Having a Marginal Exponential Distribution
Applied Financial Economics , 2001, 11 , (5), 469-74
2000
A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu
The Quarterly Review of Economics and Finance , 2000, 40 , (3), 337-354 View citations
See also Working Paper (1998)
Model Evaluation Based on Residual Analysis of Two Similar Models
Applied Economics , 2000, 32 , (7), 861-67
1999
A simple nonlinear time series model with misleading linear properties
Economics Letters , 1999, 62 , (2), 161-165 View citations
See also Working Paper (1998)
Data mining with local model specification uncertainty: a discussion of Hoover and Perez
Econometrics Journal , 1999, 2 , (2), 220-225 View citations
Outline of forecast theory using generalized cost functions
Spanish Economic Review , 1999, 1 , (2), 161-173 View citations
Spurious Stochastics in a Short Time-Series Panel Data
Annales d'Economie et de Statistique , 1999, (55-56), 12
The effect of aggregation on nonlinearity
Econometric Reviews , 1999, 18 , (3), 259-269 View citations
1998
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
Journal of Business & Economic Statistics , 1998, 16 , (3), 268-69 View citations
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates
Journal of Business & Economic Statistics , 1998, 16 , (3), 304-11 View citations
See also Working Paper (1996)
1997
An introduction to stochastic unit-root processes
Journal of Econometrics , 1997, 80 , (1), 35-62 View citations
See also Working Paper (1996)
Nonlinear stochastic trends
Journal of Econometrics , 1997, 81 , (1), 65-92 View citations
On Modelling the Long Run in Applied Economics
Economic Journal , 1997, 107 , (440), 169-77 View citations
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
Macroeconomic Dynamics , 1997, 1 , (03), 640-657 View citations
See also Working Paper (1997)
Separation in Cointegrated Systems and Persistent-Transitory Decompositions
Oxford Bulletin of Economics and Statistics , 1997, 59 , (4), 449-63 View citations
Shorte-run forecasts of electricity loads and peaks
International Journal of Forecasting , 1997, 13 , (2), 161-174
See also Working Paper (1992)
The ET Interview: Professor Clive Granger
Econometric Theory , 1997, 13 , (02), 253-303 View citations
1996
Can We Improve the Perceived Quality of Economic Forecasts?
Journal of Applied Econometrics , 1996, 11 , (5), 455-73 View citations
See also Working Paper (1995)
Future Developments in the Study of Cointegrated Variables
Oxford Bulletin of Economics and Statistics , 1996, 58 , (3), 537-53 View citations
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
Journal of Business & Economic Statistics , 1996, 14 , (3), 374-86 View citations
See also Working Paper (1995)
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply
Journal of Business & Economic Statistics , 1996, 14 , (3), 396-97 View citations
Modeling volatility persistence of speculative returns: A new approach
Journal of Econometrics , 1996, 73 , (1), 185-215 View citations
See also Working Paper (1994)
Varieties of long memory models
Journal of Econometrics , 1996, 73 , (1), 61-77 View citations
See also Working Paper (1993)
1995
Comments on testing economic theories and the use of model selection criteria
Journal of Econometrics , 1995, 67 , (1), 173-187 View citations
See also Working Paper (1992)
Estimation of Common Long-Memory Components in Cointegrated Systems
Journal of Business & Economic Statistics , 1995, 13 , (1), 27-35 View citations
See also Working Paper (1992)
Modelling Nonlinear Relationships between Extended-Memory Variables
Econometrica , 1995, 63 , (2), 265-79 View citations
Some Properties of Absolute Return: An Alternative Measure of Risk
Annales d'Economie et de Statistique , 1995, (40), 06 View citations
See also Working Paper (1993)
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence
Journal of Econometrics , 1995, 66 , (1-2), 357-369 View citations
See also Working Paper (1993)
1994
A Review of Some Recent Textbooks of Econometrics
Journal of Economic Literature , 1994, 32 , (1), 115-22 View citations
Some comments on emprical investigations involving cointegration
Econometric Reviews , 1994, 13 , (3), 345-350
The combination of forecasts using changing weights
International Journal of Forecasting , 1994, 10 , (1), 47-57 View citations
1993
A long memory property of stock market returns and a new model
Journal of Empirical Finance , 1993, 1 , (1), 83-106 View citations
See also Working Paper (1992)
Implications of seeing economic variables through an aggregation window
Ricerche Economiche , 1993, 47 , (3), 269-279 View citations
Some generalizations on the algebra of I(1) processes
Journal of Econometrics , 1993, 58 , (3), 369-384 View citations
See also Working Paper (1991)
Strategies for Modelling Nonlinear Time-Series Relationships
The Economic Record , 1993, 69 , (206), 233-38 View citations
Testing for Common Features: Comment
Journal of Business & Economic Statistics , 1993, 11 , (4), 384-85 View citations
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests
Journal of Econometrics , 1993, 56 , (3), 269-290 View citations
The Japanese consumption function
Journal of Econometrics , 1993, 55 , (1-2), 275-298 View citations
What Are We Learning about the Long-Run?
Economic Journal , 1993, 103 , (417), 307-17 View citations
See also Working Paper (1992)
1992
A Cointegration Analysis of Treasury Bill Yields
The Review of Economics and Statistics , 1992, 74 , (1), 116-26 View citations
Comments on the evaluation of policy models
Journal of Policy Modeling , 1992, 14 , (4), 497-516 View citations
See also Working Paper (1991)
Fellow's opinion: Evaluating economic theory
Journal of Econometrics , 1992, 51 , (1-2), 3-5 View citations
Forecasting stock market prices: Lessons for forecasters
International Journal of Forecasting , 1992, 8 , (1), 3-13 View citations
See also Working Paper (1991)
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic
Journal of Applied Econometrics , 1992, 7 , (S), S25-39 View citations
1991
Developments in the Nonlinear Analysis of Economic Series
Scandinavian Journal of Economics , 1991, 93 , (2), 263-76 View citations
See also Working Paper (1990)
Long Memory Series with Attractors
Oxford Bulletin of Economics and Statistics , 1991, 53 , (1), 11-26 View citations
See also Working Paper (1990)
1990
Reasonable extreme-bounds analysis
Journal of Econometrics , 1990, 44 , (1-2), 159-170 View citations
See also Working Paper (1988)
Seasonal integration and cointegration
Journal of Econometrics , 1990, 44 , (1-2), 215-238 View citations
See also Working Paper (1988)
1989
Interval forecasting: An analysis based upon ARCH-quantile estimators
Journal of Econometrics , 1989, 40 , (1), 87-96 View citations
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models
Journal of Applied Econometrics , 1989, 4 , (S), S145-59 View citations
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting
Journal of Econometrics , 1989, 40 , (1), 45-62 View citations
1988
Causality, cointegration, and control
Journal of Economic Dynamics and Control , 1988, 12 , (2-3), 551-559 View citations
Some Comments on Econometric Methodology
The Economic Record , 1988, 64 , (187), 327-30
Some recent development in a concept of causality
Journal of Econometrics , 1988, 39 , (1-2), 199-211 View citations
1987
Co-integration and Error Correction: Representation, Estimation, and Testing
Econometrica , 1987, 55 , (2), 251-76 View citations
Implications of Aggregation with Common Factors
Econometric Theory , 1987, 3 , (02), 208-222 View citations
Predictive Consequences of Using Conditioning or Causal Variables
Econometric Theory , 1987, 3 , (01), 150-152 View citations
1986
Developments in the Study of Cointegrated Economic Variables
Oxford Bulletin of Economics and Statistics , 1986, 48 , (3), 213-28 View citations
Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment
Journal of Business & Economic Statistics , 1986, 4 , (1), 16-17 View citations
1984
Combining competing forecasts of inflation using a bivariate arch model
Journal of Economic Dynamics and Control , 1984, 8 , (2), 151-165 View citations
Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment
Journal of Business & Economic Statistics , 1984, 2 , (4), 335-36 View citations
1981
Some properties of time series data and their use in econometric model specification
Journal of Econometrics , 1981, 16 , (1), 121-130 View citations
1980
Advertising and Aggregate Consumption: An Analysis of Causality
Econometrica , 1980, 48 , (5), 1149-67 View citations
Long memory relationships and the aggregation of dynamic models
Journal of Econometrics , 1980, 14 , (2), 227-238 View citations
Testing for causality: A personal viewpoint
Journal of Economic Dynamics and Control , 1980, 2 , (1), 329-352 View citations
1979
Experience with using the Box-Cox transformation when forecasting economic time series
Journal of Econometrics , 1979, 10 , (1), 57-69 View citations
Nearer-Normality and Some Econometric Models
Econometrica , 1979, 47 , (3), 781-84
Residential load curves and time-of-day pricing: An econometric analysis
Journal of Econometrics , 1979, 9 , (1-2), 13-32 View citations
Time series analysis of residuals from the St. Louis model
Journal of Macroeconomics , 1979, 1 , (4), 373-394
1976
Tendency towards normality of linear combinations of random variables
Metrika , 1976, 23 , (1), 237-248
The use of R2 to determine the appropriate transformation of regression variables
Journal of Econometrics , 1976, 4 , (3), 205-210 View citations
1975
Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts
Journal of Finance , 1975, 30 , (1), 135-45 View citations
1974
Spurious regressions in econometrics
Journal of Econometrics , 1974, 2 , (2), 111-120 View citations
1973
On the properties of forecasts used in optimal economic policy decisions
Journal of Public Economics , 1973, 2 , (4), 347-356
Some Comments on the Evaluation of Economic Forecasts
Applied Economics , 1973, 5 , (1), 35-47 View citations
1972
The Gold Sovereign Market in Greece-An Unusual Speculative Market
Journal of Finance , 1972, 27 , (5), 1127-35
1971
The Effect of Price on Choice: A Theoretical and Empirical Investigation
Applied Economics , 1971, 3 , (3), 167-81
1969
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
Econometrica , 1969, 37 , (3), 424-38 View citations
Edited books
2006
Handbook of Economic Forecasting, vol 1
Handbook of Economic Forecasting, Elsevier
Chapters
2006
Forecasting and Decision Theory
Elsevier View citations
1993
Modeling Nonlinearity over the Business Cycle
A chapter in Business Cycles, Indicators and Forecasting , 1993, pp 311-326 View citations
1986
Aspects of modelling nonlinear time series
Chapter 48 in Handbook of Econometrics , 1986, vol. 4, pp 2917-2957 View citations
1984
Time series and spectral methods in econometrics
Chapter 17 in Handbook of Econometrics , 1984, vol. 2, pp 979-1022 View citations
1980
Some Comments on the Role of Time-Series Analysis in Econometrics
A chapter in Evaluation of Econometric Models , 1980, pp 339-341
1979
Seasonality: Causation, Interpretation, and Implications
A chapter in Seasonal Analysis of Economic Time Series , 1979, pp 33-56
Also in A chapter in Seasonal Analysis of Economic Time Series , 1978, pp 33-56 (1978) View citations
Editor
Handbook of Economic Forecasting
Elsevier
Handbook of Economic Forecasting
Elsevier