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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Working Papers

2006

1. 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)
2. Modeling Amazon Deforestation for Policy Purposes
   Development Research Working Paper Series, Institute for Advanced Development Studies

2004

3. Autobiography
   Nobel Prize in Economics documents, Nobel Prize Committee
4. Causality: Some New Thoughts on an Old Topic
   Econometric Society 2004 Australasian Meetings, Econometric Society
5. Non-stationarities in stock returns
   Econometrics, EconWPA View citations
   See also Journal Article in The Review of Economics and Statistics (2005)
6. 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

7. Common factors in conditional distributions for Bivariate time series
   FMG Discussion Papers, Financial Markets Group
   See also Journal Article in Journal of Econometrics (2006)
8. Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
   Nobel Prize in Economics documents, Nobel Prize Committee

2002

9. 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)
10. 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
11. Efficient Market Hypothesis and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in International Journal of Forecasting (2004)
12. 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
13. Structurally-Induced Volatility Clustering
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego

2001

14. 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
15. 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

16. A Dependence Metric for Nonlinear Time Series
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
17. 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

18. Economic and Statistical Measures of Forecast Accuracy
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
19. 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
20. 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
21. 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

22. 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)
23. 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)
24. 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
25. 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)
26. 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

27. 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
28. 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
29. 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)
30. Seasonal Adjustment and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations
31. 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

32. 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
33. 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)
34. 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
35. Report on Amazon Deforestation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
36. 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)
37. 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
38. 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)
39. 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

40. 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
41. 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
42. 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
43. 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)
44. 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
45. 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
46. 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)
47. 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

48. Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions
    Working Papers, Pennsylvania State - Department of Economics View citations
49. 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)
50. 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

51. 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
52. 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)
53. 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)
54. 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

55. 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)
56. 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)
57. 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)
58. 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
59. Separation in Cointegrated Systems
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
60. 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)
61. 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

62. 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)
63. 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)
64. 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
65. 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
66. 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)
67. 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

68. Conjugate Processes
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
69. 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)
70. 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)
71. SEASONAL COINTEGRATION: THE JAPANESE CONSUMPTION FUNCTION
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
72. 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

73. Aggregation of time series variables-a survey
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
74. Reasonable extreme bounds analysis
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis
    See also Journal Article in Journal of Econometrics (1990)
75. 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)
76. 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

1. Fisheries Management Under Cyclical Population Dynamics
   Environmental & Resource Economics, 2009, 42, (3), 379-410
   See also Working Paper (2006)
2. THE RESEARCH INTERESTS OF PAUL NEWBOLD
   Econometric Theory, 2009, 25, (06), 1460-1465

2008

3. 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
4. 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

5. Evaluation of global models
   Economic Modelling, 2007, 24, (6), 980-989
6. 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
7. Long-term forecasting and evaluation
   International Journal of Forecasting, 2007, 23, (4), 539-551

2006

8. Common factors in conditional distributions for bivariate time series
   Journal of Econometrics, 2006, 132, (1), 43-57 View citations
   See also Working Paper (2003)
9. Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
   Journal of Time Series Analysis, 2006, 27, (3), 347-365 View citations
10. Introduction to m-m processes
    Journal of Econometrics, 2006, 130, (1), 143-164
    See also Working Paper (1998)
11. 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
12. Structural attribution of observed volatility clustering
    Journal of Econometrics, 2006, 135, (1-2), 15-29 View citations

2005

13. A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
    Econometric Theory, 2005, 21, (01), 278-297 View citations
14. COMMENTS ON THE 20th ANNIVERSARY ISSUE OF ECONOMETRIC THEORY
    Econometric Theory, 2005, 21, (01), 298-298
15. Modeling, Evaluation, and Methodology in the New Century
    Economic Inquiry, 2005, 43, (1), 1-12
16. Nonstationarities in Stock Returns
    The Review of Economics and Statistics, 2005, 87, (3), 503-522 View citations
    See also Working Paper (2004)
17. The past and future of empirical finance: some personal comments
    Journal of Econometrics, 2005, 129, (1-2), 35-40

2004

18. A Dependence Metric for Possibly Nonlinear Processes
    Journal of Time Series Analysis, 2004, 25, (5), 649-669 View citations
19. Aggregation of space-time processes
    Journal of Econometrics, 2004, 118, (1-2), 7-26 View citations
    See also Working Paper (2002)
20. Efficient market hypothesis and forecasting
    International Journal of Forecasting, 2004, 20, (1), 15-27 View citations
    See also Working Paper (2002)
21. Evaluating significance: comments on "size matters"
    The Journal of Socio-Economics, 2004, 33, (5), 547-550 View citations
22. Forecasting Performance of Information Criteria with Many Macro Series
    Journal of Applied Statistics, 2004, 31, (10), 1227-1240 View citations
23. 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
24. Thick modeling
    Economic Modelling, 2004, 21, (2), 323-343 View citations
25. Time Series Analysis, Cointegration, and Applications
    American Economic Review, 2004, 94, (3), 421-425 View citations
    See also Working Paper (2004)

2003

26. A time-distance criterion for evaluating forecasting models
    International Journal of Forecasting, 2003, 19, (2), 199-215 View citations
27. Comparing forecasts of inflation using time distance
    International Journal of Forecasting, 2003, 19, (3), 339-349
28. 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
29. Exchange rates and fundamentals - comments
    Proceedings, 2003, (Mar)
30. FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS
    Macroeconomic Dynamics, 2003, 7, (05), 734-758
31. Forecasting Volatility in Financial Markets: A Review
    Journal of Economic Literature, 2003, 41, (2), 478-539 View citations
32. Interactions between large macro models and time series analysis
    International Journal of Finance & Economics, 2003, 8, (1), 1-10 View citations
33. Some aspects of causal relationships
    Journal of Econometrics, 2003, 112, (1), 69-71 View citations
34. Time Series Concepts for Conditional Distributions
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 689-701 View citations

2002

35. Properties of nonlinear transformations of fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 113-133 View citations
    See also Working Paper (2000)
36. Some comments on risk
    Journal of Applied Econometrics, 2002, 17, (5), 447-456 View citations

2001

37. Comparing the methodologies used by statisticians and economists for research and modeling5
    The Journal of Socio-Economics, 2001, 30, (1), 7-14
38. Macroeconometrics - Past and future
    Journal of Econometrics, 2001, 100, (1), 17-19 View citations
39. Spurious Regressions with Stationary Series
    Applied Economics, 2001, 33, (7), 899-904 View citations
    See also Working Paper (1998)
40. 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

41. 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)
42. Model Evaluation Based on Residual Analysis of Two Similar Models
    Applied Economics, 2000, 32, (7), 861-67

1999

43. A simple nonlinear time series model with misleading linear properties
    Economics Letters, 1999, 62, (2), 161-165 View citations
    See also Working Paper (1998)
44. Data mining with local model specification uncertainty: a discussion of Hoover and Perez
    Econometrics Journal, 1999, 2, (2), 220-225 View citations
45. Outline of forecast theory using generalized cost functions
    Spanish Economic Review, 1999, 1, (2), 161-173 View citations
46. Spurious Stochastics in a Short Time-Series Panel Data
    Annales d'Economie et de Statistique, 1999, (55-56), 12
47. The effect of aggregation on nonlinearity
    Econometric Reviews, 1999, 18, (3), 259-269 View citations

1998

48. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 268-69 View citations
49. 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

50. An introduction to stochastic unit-root processes
    Journal of Econometrics, 1997, 80, (1), 35-62 View citations
    See also Working Paper (1996)
51. Nonlinear stochastic trends
    Journal of Econometrics, 1997, 81, (1), 65-92 View citations
52. On Modelling the Long Run in Applied Economics
    Economic Journal, 1997, 107, (440), 169-77 View citations
53. REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
    Macroeconomic Dynamics, 1997, 1, (03), 640-657 View citations
    See also Working Paper (1997)
54. Separation in Cointegrated Systems and Persistent-Transitory Decompositions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 449-63 View citations
55. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174
    See also Working Paper (1992)
56. The ET Interview: Professor Clive Granger
    Econometric Theory, 1997, 13, (02), 253-303 View citations

1996

57. 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)
58. Future Developments in the Study of Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 537-53 View citations
59. 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)
60. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply
    Journal of Business & Economic Statistics, 1996, 14, (3), 396-97 View citations
61. Modeling volatility persistence of speculative returns: A new approach
    Journal of Econometrics, 1996, 73, (1), 185-215 View citations
    See also Working Paper (1994)
62. Varieties of long memory models
    Journal of Econometrics, 1996, 73, (1), 61-77 View citations
    See also Working Paper (1993)

1995

63. 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)
64. 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)
65. Modelling Nonlinear Relationships between Extended-Memory Variables
    Econometrica, 1995, 63, (2), 265-79 View citations
66. 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)
67. 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

68. A Review of Some Recent Textbooks of Econometrics
    Journal of Economic Literature, 1994, 32, (1), 115-22 View citations
69. Some comments on emprical investigations involving cointegration
    Econometric Reviews, 1994, 13, (3), 345-350
70. The combination of forecasts using changing weights
    International Journal of Forecasting, 1994, 10, (1), 47-57 View citations

1993

71. 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)
72. Implications of seeing economic variables through an aggregation window
    Ricerche Economiche, 1993, 47, (3), 269-279 View citations
73. Some generalizations on the algebra of I(1) processes
    Journal of Econometrics, 1993, 58, (3), 369-384 View citations
    See also Working Paper (1991)
74. Strategies for Modelling Nonlinear Time-Series Relationships
    The Economic Record, 1993, 69, (206), 233-38 View citations
75. Testing for Common Features: Comment
    Journal of Business & Economic Statistics, 1993, 11, (4), 384-85 View citations
76. 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
77. The Japanese consumption function
    Journal of Econometrics, 1993, 55, (1-2), 275-298 View citations
78. What Are We Learning about the Long-Run?
    Economic Journal, 1993, 103, (417), 307-17 View citations
    See also Working Paper (1992)

1992

79. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations
80. Comments on the evaluation of policy models
    Journal of Policy Modeling, 1992, 14, (4), 497-516 View citations
    See also Working Paper (1991)
81. Fellow's opinion: Evaluating economic theory
    Journal of Econometrics, 1992, 51, (1-2), 3-5 View citations
82. Forecasting stock market prices: Lessons for forecasters
    International Journal of Forecasting, 1992, 8, (1), 3-13 View citations
    See also Working Paper (1991)
83. Using the Correlation Exponent to Decide whether an Economic Series is Chaotic
    Journal of Applied Econometrics, 1992, 7, (S), S25-39 View citations

1991

84. Developments in the Nonlinear Analysis of Economic Series
    Scandinavian Journal of Economics, 1991, 93, (2), 263-76 View citations
    See also Working Paper (1990)
85. Long Memory Series with Attractors
    Oxford Bulletin of Economics and Statistics, 1991, 53, (1), 11-26 View citations
    See also Working Paper (1990)

1990

86. Reasonable extreme-bounds analysis
    Journal of Econometrics, 1990, 44, (1-2), 159-170 View citations
    See also Working Paper (1988)
87. Seasonal integration and cointegration
    Journal of Econometrics, 1990, 44, (1-2), 215-238 View citations
    See also Working Paper (1988)

1989

88. Interval forecasting: An analysis based upon ARCH-quantile estimators
    Journal of Econometrics, 1989, 40, (1), 87-96 View citations
89. 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
90. 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

91. Causality, cointegration, and control
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 551-559 View citations
92. Some Comments on Econometric Methodology
    The Economic Record, 1988, 64, (187), 327-30
93. Some recent development in a concept of causality
    Journal of Econometrics, 1988, 39, (1-2), 199-211 View citations

1987

94. Co-integration and Error Correction: Representation, Estimation, and Testing
    Econometrica, 1987, 55, (2), 251-76 View citations
95. Implications of Aggregation with Common Factors
    Econometric Theory, 1987, 3, (02), 208-222 View citations
96. Predictive Consequences of Using Conditioning or Causal Variables
    Econometric Theory, 1987, 3, (01), 150-152 View citations

1986

97. Developments in the Study of Cointegrated Economic Variables
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 213-28 View citations
98. 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

99. Combining competing forecasts of inflation using a bivariate arch model
    Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 View citations
100. Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment
     Journal of Business & Economic Statistics, 1984, 2, (4), 335-36 View citations

1981

101. Some properties of time series data and their use in econometric model specification
     Journal of Econometrics, 1981, 16, (1), 121-130 View citations

1980

102. Advertising and Aggregate Consumption: An Analysis of Causality
     Econometrica, 1980, 48, (5), 1149-67 View citations
103. Long memory relationships and the aggregation of dynamic models
     Journal of Econometrics, 1980, 14, (2), 227-238 View citations
104. Testing for causality: A personal viewpoint
     Journal of Economic Dynamics and Control, 1980, 2, (1), 329-352 View citations

1979

105. Experience with using the Box-Cox transformation when forecasting economic time series
     Journal of Econometrics, 1979, 10, (1), 57-69 View citations
106. Nearer-Normality and Some Econometric Models
     Econometrica, 1979, 47, (3), 781-84
107. Residential load curves and time-of-day pricing: An econometric analysis
     Journal of Econometrics, 1979, 9, (1-2), 13-32 View citations
108. Time series analysis of residuals from the St. Louis model
     Journal of Macroeconomics, 1979, 1, (4), 373-394

1976

109. Tendency towards normality of linear combinations of random variables
     Metrika, 1976, 23, (1), 237-248
110. The use of R2 to determine the appropriate transformation of regression variables
     Journal of Econometrics, 1976, 4, (3), 205-210 View citations

1975

111. 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

112. Spurious regressions in econometrics
     Journal of Econometrics, 1974, 2, (2), 111-120 View citations

1973

113. On the properties of forecasts used in optimal economic policy decisions
     Journal of Public Economics, 1973, 2, (4), 347-356
114. Some Comments on the Evaluation of Economic Forecasts
     Applied Economics, 1973, 5, (1), 35-47 View citations

1972

115. The Gold Sovereign Market in Greece-An Unusual Speculative Market
     Journal of Finance, 1972, 27, (5), 1127-35

1971

116. The Effect of Price on Choice: A Theoretical and Empirical Investigation
     Applied Economics, 1971, 3, (3), 167-81

1969

117. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
     Econometrica, 1969, 37, (3), 424-38 View citations

Edited books

2006

1. Handbook of Economic Forecasting, vol 1
   Handbook of Economic Forecasting, Elsevier

Chapters

2006

1. Forecasting and Decision Theory
   Elsevier View citations

1993

2. Modeling Nonlinearity over the Business Cycle
   A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 311-326 View citations

1986

3. Aspects of modelling nonlinear time series
   Chapter 48 in Handbook of Econometrics, 1986, vol. 4, pp 2917-2957 View citations

1984

4. Time series and spectral methods in econometrics
   Chapter 17 in Handbook of Econometrics, 1984, vol. 2, pp 979-1022 View citations

1980

5. Some Comments on the Role of Time-Series Analysis in Econometrics
   A chapter in Evaluation of Econometric Models, 1980, pp 339-341

1979

6. 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

1. Handbook of Economic Forecasting
   Elsevier
2. Handbook of Economic Forecasting
   Elsevier