Details about Clive W. J. Granger

This author is deceased (2009-05-27).

Access statistics for papers by Clive W. J. Granger.

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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 View citations (1)
   See also Journal Article Fisheries Management Under Cyclical Population Dynamics, Environmental & Resource Economics, Springer (2009) View citations (13) (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, University Library of Munich, Germany View citations (39)
   See also Journal Article Nonstationarities in Stock Returns, The Review of Economics and Statistics, MIT Press (2005) View citations (108) (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 (36)
   Also in Nobel Prize in Economics documents, Nobel Prize Committee (2003) View citations (10)
   See also Journal Article Time Series Analysis, Cointegration, and Applications, American Economic Review, American Economic Association (2004) View citations (34) (2004)

2003

7. Common factors in conditional distributions for Bivariate time series
   FMG Discussion Papers, Financial Markets Group View citations (4)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003)
   See also Journal Article Common factors in conditional distributions for bivariate time series, Journal of Econometrics, Elsevier (2006) View citations (41) (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 (5)
   Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001) View citations (1)
   See also Journal Article Aggregation of space-time processes, Journal of Econometrics, Elsevier (2004) View citations (96) (2004)
10. Common Factors in Conditional Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (2)
11. Efficient Market Hypothesis and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Efficient market hypothesis and forecasting, International Journal of Forecasting, Elsevier (2004) View citations (149) (2004)
12. Hidden Cointegration
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (137)
    Also in Royal Economic Society Annual Conference 2002, Royal Economic Society (2002) View citations (137)
13. Structurally-Induced Volatility Clustering
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)

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, Informatica, Applicazioni "G. Parenti" View citations (1)
    See also Journal Article Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets, IMF Staff Papers, Palgrave Macmillan (2002) View citations (43) (2002)
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 (6)

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 View citations (1)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000) View citations (1)
    See also Journal Article Properties of nonlinear transformations of fractionally integrated processes, Journal of Econometrics, Elsevier (2002) View citations (47) (2002)

1999

18. Economic and Statistical Measures of Forecast Accuracy
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (27)
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 (6)
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 (90)
    See also Journal Article Occasional Structural Breaks and Long Memory, Annals of Economics and Finance, Society for AEF (2013) View citations (3) (2013)
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 View citations (9)
    Also in Research Notes, Deutsche Bank Research (1999) View citations (4)

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 (14)
    See also Journal Article A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu, The Quarterly Review of Economics and Finance, Elsevier (2000) View citations (301) (2000)
23. A simple nonlinear time series model with misleading linear properties
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article A simple nonlinear time series model with misleading linear properties, Economics Letters, Elsevier (1999) View citations (131) (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 (20)
    See also Journal Article Extracting information from mega‐panels and high‐frequency data, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (1998) (1998)
25. Introduction to M-M Processes
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article Introduction to m-m processes, Journal of Econometrics, Elsevier (2006) View citations (2) (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 (16)
    See also Journal Article Spurious regressions with stationary series, Applied Economics, Taylor & Francis Journals (2001) View citations (58) (2001)
27. The correlogram of a long memory process plus a simple noise
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (6)
28. Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (734)
    See also Journal Article Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (732) (1998)
29. Women’s Jobs and Marriage: Baby-Boom versus Baby-Bust (Travail des Femmes et Mariage: du baby-boom au baby-bust)
    MPRA Paper, University Library of Munich, Germany View citations (2)

1997

30. Regime Sensitive Cointegration with an Application to Interest rate Parity
    Working Papers, Wilfrid Laurier University, Department of Economics View citations (61)
    See also Journal Article REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY, Macroeconomic Dynamics, Cambridge University Press (1997) View citations (61) (1997)
31. Seasonal Adjustment and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations (3)

1996

32. A Decision_Theoretic Approach to Forecast Evaluation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (28)
33. An introduction to stochastic Unit Root Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
    See also Journal Article An introduction to stochastic unit-root processes, Journal of Econometrics, Elsevier (1997) View citations (98) (1997)

1995

34. Further Developments in the Study of Cointegrated Variables
    Working Papers, Pennsylvania State - Department of Economics View citations (5)
35. Investigating the relationship between gold and silver prices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (22)
36. Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
    CIRANO Working Papers, CIRANO View citations (3)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (2)
    See also Journal Article Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (46) (1996)

1994

37. Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions
    Working Papers, Pennsylvania State - Department of Economics View citations (29)

1993

38. Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
39. Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence
    Working Papers, Wilfrid Laurier University, Department of Economics
    See also Journal Article Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence, Journal of Econometrics, Elsevier (1995) View citations (49) (1995)

1992

40. Estimation of Common Long-Memory Components in Cointegrated Systems
    Working Papers, Boston University - Department of Economics View citations (95)
    See also Journal Article Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business & Economic Statistics, American Statistical Association (1995) View citations (688) (1995)
41. What are we learning about the long-run?
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
    See also Journal Article What Are We Learning about the Long-Run?, Economic Journal, Royal Economic Society (1993) View citations (16) (1993)

1991

42. Comments on the evaluation of policy models
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article Comments on the evaluation of policy models, Journal of Policy Modeling, Elsevier (1992) View citations (21) (1992)
43. Some Generalizations on the Algebra of I(1) Processes
    Working Papers, University of Hawaii at Manoa, Department of Economics
    See also Journal Article Some generalizations on the algebra of I(1) processes, Journal of Econometrics, Elsevier (1993) View citations (26) (1993)

1990

44. TREASURY BI;; YIELD CURVES AND COINTEGRATION
    Working Papers, Australian National University - Department of Economics View citations (12)

1988

45. Aggregation of time series variables-a survey
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (20)
46. Reasonable extreme bounds analysis
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis
    See also Journal Article Reasonable extreme-bounds analysis, Journal of Econometrics, Elsevier (1990) View citations (44) (1990)
47. SEASONAL INTEGRATION AND COINTEGRATION
    Working Papers, Pennsylvania State - Department of Economics View citations (9)
    Also in Working Papers, Pennsylvania State - Department of Economics (1988) View citations (39)
    See also Journal Article Seasonal integration and cointegration, Journal of Econometrics, Elsevier (1990) View citations (649) (1990)
48. The algebra of I (1)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (9)

Journal Articles

2015

1. Co-integration and error correction: Representation, estimation, and testing
   Applied Econometrics, 2015, 39, (3), 106-135 View citations (49)
   Also in Econometrica, 1987, 55, (2), 251-76 (1987) View citations (10356)

2013

2. Occasional Structural Breaks and Long Memory
   Annals of Economics and Finance, 2013, 14, (2), 739-764 View citations (3)
   See also Working Paper Occasional Structural Breaks and Long Memory, University of California at San Diego, Economics Working Paper Series (1999) View citations (90) (1999)

2012

3. Useful conclusions from surprising results
   Journal of Econometrics, 2012, 169, (2), 142-146

2011

4. Consideration of Trends in Time Series
   Journal of Time Series Econometrics, 2011, 3, (1), 40 View citations (25)
5. The Applied Economics journals: a personal reflection
   Applied Financial Economics, 2011, 21, (1-2), 3-5
6. The Evolution of the Phillips Curve: A Modern Time Series Viewpoint
   Economica, 2011, 78, (309), 51-66 View citations (15)

2010

7. Curriculum Vitae
   Journal of Financial Econometrics, 2010, 8, (2), 244-264
8. Some thoughts on the development of cointegration
   Journal of Econometrics, 2010, 158, (1), 3-6 View citations (37)

2009

9. Comments on "Forecasting economic and financial variables with global VARs"
   International Journal of Forecasting, 2009, 25, (4), 687-688 View citations (1)
10. Fisheries Management Under Cyclical Population Dynamics
    Environmental & Resource Economics, 2009, 42, (3), 379-410 View citations (13)
    See also Working Paper Fisheries Management Under Cyclical Population Dynamics, University of California at San Diego, Economics Working Paper Series (2006) View citations (1) (2006)
11. THE RESEARCH INTERESTS OF PAUL NEWBOLD
    Econometric Theory, 2009, 25, (6), 1460-1465

2008

12. 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 View citations (5)
13. Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 11 View citations (116)

2007

14. Evaluation of global models
    Economic Modelling, 2007, 24, (6), 980-989 View citations (9)
15. 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 View citations (27)
16. Long-term forecasting and evaluation
    International Journal of Forecasting, 2007, 23, (4), 539-551 View citations (11)
17. Management of supply chain: an alternative modelling technique for forecasting
    Journal of the Operational Research Society, 2007, 58, (11), 1459-1469 View citations (8)
18. Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development
    Environmental Economics and Policy Studies, 2007, 8, (3), 201-210 View citations (3)
    Also in Environmental Economics and Policy Studies, 2007, 8, (3), 201-210 (2007) View citations (2)

2006

19. Common factors in conditional distributions for bivariate time series
    Journal of Econometrics, 2006, 132, (1), 43-57 View citations (41)
    See also Working Paper Common factors in conditional distributions for Bivariate time series, FMG Discussion Papers (2003) View citations (4) (2003)
20. Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
    Journal of Time Series Analysis, 2006, 27, (3), 347-365 View citations (11)
21. Introduction to m-m processes
    Journal of Econometrics, 2006, 130, (1), 143-164 View citations (2)
    See also Working Paper Introduction to M-M Processes, University of California at San Diego, Economics Working Paper Series (1998) (1998)
22. 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
23. Structural attribution of observed volatility clustering
    Journal of Econometrics, 2006, 135, (1-2), 15-29 View citations (13)

2005

24. A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
    Econometric Theory, 2005, 21, (1), 278-297 View citations (12)
25. Modeling, Evaluation, and Methodology in the New Century
    Economic Inquiry, 2005, 43, (1), 1-12 View citations (5)
26. Nonstationarities in Stock Returns
    The Review of Economics and Statistics, 2005, 87, (3), 503-522 View citations (108)
    See also Working Paper Non-stationarities in stock returns, Econometrics (2004) View citations (39) (2004)
27. Practical Issues in Forecasting Volatility
    Financial Analysts Journal, 2005, 61, (1), 45-56 View citations (2)
28. Preface: Some Thoughts on the Future of Forecasting
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 707-711 View citations (1)
29. The Present and Future of Empirical Finance
    Financial Analysts Journal, 2005, 61, (4), 15-18
30. The past and future of empirical finance: some personal comments
    Journal of Econometrics, 2005, 129, (1-2), 35-40 View citations (12)

2004

31. A Dependence Metric for Possibly Nonlinear Processes
    Journal of Time Series Analysis, 2004, 25, (5), 649-669 View citations (81)
32. Aggregation of space-time processes
    Journal of Econometrics, 2004, 118, (1-2), 7-26 View citations (96)
    See also Working Paper Aggregation of Space-Time Processes, Boston College Working Papers in Economics (2002) View citations (5) (2002)
33. Efficient market hypothesis and forecasting
    International Journal of Forecasting, 2004, 20, (1), 15-27 View citations (149)
    See also Working Paper Efficient Market Hypothesis and Forecasting, CEPR Discussion Papers (2002) View citations (1) (2002)
34. Evaluating significance: comments on "size matters"
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2004, 33, (5), 547-550 View citations (5)
35. Forecasting Performance of Information Criteria with Many Macro Series
    Journal of Applied Statistics, 2004, 31, (10), 1227-1240 View citations (22)
36. 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 (492)
37. Thick modeling
    Economic Modelling, 2004, 21, (2), 323-343 View citations (80)
38. Time Series Analysis, Cointegration, and Applications
    American Economic Review, 2004, 94, (3), 421-425 View citations (34)
    See also Working Paper Time Series Analysis, Cointegration, and Applications, University of California at San Diego, Economics Working Paper Series (2004) View citations (36) (2004)

2003

39. A time-distance criterion for evaluating forecasting models
    International Journal of Forecasting, 2003, 19, (2), 199-215 View citations (5)
40. Comparing forecasts of inflation using time distance
    International Journal of Forecasting, 2003, 19, (3), 339-349 View citations (10)
41. 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
42. Exchange rates and fundamentals - comments
    Proceedings, 2003, (Mar)
43. FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS
    Macroeconomic Dynamics, 2003, 7, (5), 734-758
44. Forecasting Volatility in Financial Markets: A Review
    Journal of Economic Literature, 2003, 41, (2), 478-539 View citations (819)
45. Interactions between large macro models and time series analysis
    International Journal of Finance & Economics, 2003, 8, (1), 1-10 View citations (6)
46. Some aspects of causal relationships
    Journal of Econometrics, 2003, 112, (1), 69-71 View citations (88)
47. Time Series Concepts for Conditional Distributions*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 689-701 View citations (4)

2002

48. Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
    IMF Staff Papers, 2002, 49, (1), 2 View citations (43)
    See also Working Paper Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets, Econometrics Working Papers Archive (2001) View citations (1) (2001)
49. Properties of nonlinear transformations of fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 113-133 View citations (47)
    See also Working Paper Properties of Nonlinear Transformations of Fractionally Integrated Processes, University of California at San Diego, Economics Working Paper Series (2000) View citations (1) (2000)
50. Some comments on risk
    Journal of Applied Econometrics, 2002, 17, (5), 447-456 View citations (23)

2001

51. Comparing the methodologies used by statisticians and economists for research and modeling5
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2001, 30, (1), 7-14
52. Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
    Quantitative Finance, 2001, 1, (5), 542-551 View citations (41)
53. Macroeconometrics - Past and future
    Journal of Econometrics, 2001, 100, (1), 17-19 View citations (8)
54. OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS
    Macroeconomic Dynamics, 2001, 5, (4), 466-481 View citations (18)
55. On Model Approximation for Long-Memory Processes: A Cautionary Result
    Annals of Economics and Finance, 2001, 2, (1), 97-100
56. Spurious regressions with stationary series
    Applied Economics, 2001, 33, (7), 899-904 View citations (58)
    See also Working Paper Spurious Regressions with Stationary Series, University of California at San Diego, Economics Working Paper Series (1998) View citations (16) (1998)
57. The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution
    Applied Financial Economics, 2001, 11, (5), 469-474 View citations (1)

2000

58. 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 (301)
    See also Working Paper A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu, University of California at San Diego, Economics Working Paper Series (1998) View citations (14) (1998)
59. Model evaluation based on residual analysis of two similar models
    Applied Economics, 2000, 32, (7), 861-867

1999

60. A simple nonlinear time series model with misleading linear properties
    Economics Letters, 1999, 62, (2), 161-165 View citations (131)
    See also Working Paper A simple nonlinear time series model with misleading linear properties, SSE/EFI Working Paper Series in Economics and Finance (1998) (1998)
61. Data mining with local model specification uncertainty: a discussion of Hoover and Perez
    Econometrics Journal, 1999, 2, (2), 220-225 View citations (11)
62. Judy Klein, Statistical Visions in Time: A History of Time Series Analysis, 1662–1938 (Cambridge, Cambridge University Press1997), pp.xix + 345. $64.95. ISBN 1-521-42-46-6
    Journal of the History of Economic Thought, 1999, 21, (2), 200-203
63. Outline of forecast theory using generalized cost functions
    Spanish Economic Review, 1999, 1, (2), 161-173 View citations (87)
64. Spurious Stochastics in a Short Time-Series Panel Data
    Annals of Economics and Statistics, 1999, (55-56), 299-315 View citations (2)
65. The effect of aggregation on nonlinearity
    Econometric Reviews, 1999, 18, (3), 259-269 View citations (22)

1998

66. Extracting information from mega‐panels and high‐frequency data
    Statistica Neerlandica, 1998, 52, (3), 258-272
    See also Working Paper Extracting Information from Mega-Panels and High-Frequency Data, University of California at San Diego, Economics Working Paper Series (1998) View citations (20) (1998)
67. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 268-69 View citations (12)
68. 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 (732)
    See also Working Paper Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates, Staff General Research Papers Archive (1998) View citations (734) (1998)

1997

69. A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon
    Brazilian Review of Econometrics, 1997, 17, (1) View citations (7)
70. An introduction to stochastic unit-root processes
    Journal of Econometrics, 1997, 80, (1), 35-62 View citations (98)
    See also Working Paper An introduction to stochastic Unit Root Processes, Working Papers (1996) View citations (6) (1996)
71. Nonlinear stochastic trends
    Journal of Econometrics, 1997, 81, (1), 65-92 View citations (15)
72. On Modelling the Long Run in Applied Economics
    Economic Journal, 1997, 107, (440), 169-77 View citations (29)
73. REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
    Macroeconomic Dynamics, 1997, 1, (3), 640-657 View citations (61)
    See also Working Paper Regime Sensitive Cointegration with an Application to Interest rate Parity, Working Papers (1997) View citations (61) (1997)
74. Separation in Cointegrated Systems and Persistent-Transitory Decompositions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 449-63 View citations (23)
75. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174 View citations (109)

1996

76. Can We Improve the Perceived Quality of Economic Forecasts?
    Journal of Applied Econometrics, 1996, 11, (5), 455-73 View citations (105)
77. Future Developments in the Study of Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 537-53 View citations (24)
78. Introducing Non-Linearity Into Cointegration
    Brazilian Review of Econometrics, 1996, 16, (2) View citations (9)
79. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
    Journal of Business & Economic Statistics, 1996, 14, (3), 374-86 View citations (46)
    See also Working Paper Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?, CIRANO Working Papers (1995) View citations (3) (1995)
80. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply
    Journal of Business & Economic Statistics, 1996, 14, (3), 396-97 View citations (41)
81. Modeling volatility persistence of speculative returns: A new approach
    Journal of Econometrics, 1996, 73, (1), 185-215 View citations (406)
82. Varieties of long memory models
    Journal of Econometrics, 1996, 73, (1), 61-77 View citations (231)

1995

83. Comments on testing economic theories and the use of model selection criteria
    Journal of Econometrics, 1995, 67, (1), 173-187 View citations (81)
84. Estimation of Common Long-Memory Components in Cointegrated Systems
    Journal of Business & Economic Statistics, 1995, 13, (1), 27-35 View citations (688)
    See also Working Paper Estimation of Common Long-Memory Components in Cointegrated Systems, Working Papers (1992) View citations (95) (1992)
85. Modelling Nonlinear Relationships between Extended-Memory Variables
    Econometrica, 1995, 63, (2), 265-79 View citations (58)
86. Some Properties of Absolute Return: An Alternative Measure of Risk
    Annals of Economics and Statistics, 1995, (40), 67-91 View citations (117)
87. Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence
    Journal of Econometrics, 1995, 66, (1-2), 357-369 View citations (49)
    See also Working Paper Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence, Working Papers (1993) (1993)

1994

88. A Review of Some Recent Textbooks of Econometrics
    Journal of Economic Literature, 1994, 32, (1), 115-22 View citations (1)
89. The combination of forecasts using changing weights
    International Journal of Forecasting, 1994, 10, (1), 47-57 View citations (64)
90. USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
    Journal of Time Series Analysis, 1994, 15, (4), 371-384 View citations (48)

1993

91. A long memory property of stock market returns and a new model
    Journal of Empirical Finance, 1993, 1, (1), 83-106 View citations (1736)
92. Implications of seeing economic variables through an aggregation window
    Ricerche Economiche, 1993, 47, (3), 269-279 View citations (8)
93. POWER OF THE NEURAL NETWORK LINEARITY TEST
    Journal of Time Series Analysis, 1993, 14, (2), 209-220 View citations (76)
94. Some generalizations on the algebra of I(1) processes
    Journal of Econometrics, 1993, 58, (3), 369-384 View citations (26)
    See also Working Paper Some Generalizations on the Algebra of I(1) Processes, Working Papers (1991) (1991)
95. Strategies for Modelling Nonlinear Time‐Series Relationships
    The Economic Record, 1993, 69, (3), 233-238 View citations (2)
96. Testing for Common Features: Comment
    Journal of Business & Economic Statistics, 1993, 11, (4), 384-85 View citations (1)
97. 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 (226)
98. The Japanese consumption function
    Journal of Econometrics, 1993, 55, (1-2), 275-298 View citations (92)
99. What Are We Learning about the Long-Run?
    Economic Journal, 1993, 103, (417), 307-17 View citations (16)
    See also Working Paper What are we learning about the long-run?, UC3M Working papers. Economics (1992) View citations (2) (1992)

1992

100. A Cointegration Analysis of Treasury Bill Yields
     The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations (387)
101. Comments on the evaluation of policy models
     Journal of Policy Modeling, 1992, 14, (4), 497-516 View citations (21)
     See also Working Paper Comments on the evaluation of policy models, International Finance Discussion Papers (1991) View citations (1) (1991)
102. Fellow's opinion: Evaluating economic theory
     Journal of Econometrics, 1992, 51, (1-2), 3-5 View citations (9)
103. Forecasting stock market prices: Lessons for forecasters
     International Journal of Forecasting, 1992, 8, (1), 3-13 View citations (38)
104. Using the Correlation Exponent to Decide whether an Economic Series is Chaotic
     Journal of Applied Econometrics, 1992, 7, (S), S25-39 View citations (12)

1991

105. Long Memory Series with Attractors
     Oxford Bulletin of Economics and Statistics, 1991, 53, (1), 11-26 View citations (45)
106. NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
     Journal of Time Series Analysis, 1991, 12, (3), 207-224 View citations (60)

1990

107. Reasonable extreme-bounds analysis
     Journal of Econometrics, 1990, 44, (1-2), 159-170 View citations (44)
     See also Working Paper Reasonable extreme bounds analysis, Discussion Paper / Institute for Empirical Macroeconomics (1988) (1988)
108. Seasonal integration and cointegration
     Journal of Econometrics, 1990, 44, (1-2), 215-238 View citations (649)
     See also Working Paper SEASONAL INTEGRATION AND COINTEGRATION, Working Papers (1988) View citations (9) (1988)

1989

109. Interval forecasting: An analysis based upon ARCH-quantile estimators
     Journal of Econometrics, 1989, 40, (1), 87-96 View citations (73)
110. 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 (305)
111. 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 (77)
112. Trends in unit energy consumption: The performance of end-use models
     Energy, 1989, 14, (12), 943-960

1988

113. 2 Some Comments on Econometric Methodology
     The Economic Record, 1988, 64, (4), 327-330
114. Causality, cointegration, and control
     Journal of Economic Dynamics and Control, 1988, 12, (2-3), 551-559 View citations (180)
115. MODELS THAT GENERATE TRENDS
     Journal of Time Series Analysis, 1988, 9, (4), 329-343 View citations (6)
116. Some recent development in a concept of causality
     Journal of Econometrics, 1988, 39, (1-2), 199-211 View citations (1136)

1987

117. Implications of Aggregation with Common Factors
     Econometric Theory, 1987, 3, (2), 208-222 View citations (38)
118. Predictive Consequences of Using Conditioning or Causal Variables
     Econometric Theory, 1987, 3, (1), 150-152 View citations (7)

1986

119. Developments in the Study of Cointegrated Economic Variables
     Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 213-28 View citations (778)
120. 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 (5)

1984

121. Combining competing forecasts of inflation using a bivariate arch model
     Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 View citations (67)
122. Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment
     Journal of Business & Economic Statistics, 1984, 2, (4), 335-36 View citations (1)
123. The billing cycle and weather variables in models of electricity sales
     Energy, 1984, 9, (11), 1041-1047 View citations (6)

1982

124. ACRONYMS IN TIME SERIES ANALYSIS (ATSA)
     Journal of Time Series Analysis, 1982, 3, (2), 103-107 View citations (2)

1981

125. Some properties of time series data and their use in econometric model specification
     Journal of Econometrics, 1981, 16, (1), 121-130 View citations (905)

1980

126. AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
     Journal of Time Series Analysis, 1980, 1, (1), 15-29 View citations (852)
127. Advertising and Aggregate Consumption: An Analysis of Causality
     Econometrica, 1980, 48, (5), 1149-67 View citations (282)
128. Long memory relationships and the aggregation of dynamic models
     Journal of Econometrics, 1980, 14, (2), 227-238 View citations (713)
129. Testing for causality: A personal viewpoint
     Journal of Economic Dynamics and Control, 1980, 2, (1), 329-352 View citations (410)

1979

130. Experience with using the Box-Cox transformation when forecasting economic time series
     Journal of Econometrics, 1979, 10, (1), 57-69 View citations (18)
131. Nearer-Normality and Some Econometric Models
     Econometrica, 1979, 47, (3), 781-84
132. Residential load curves and time-of-day pricing: An econometric analysis
     Journal of Econometrics, 1979, 9, (1-2), 13-32 View citations (9)
133. Time series analysis of residuals from the St. Louis model
     Journal of Macroeconomics, 1979, 1, (4), 373-394 View citations (3)

1978

134. On the invertibility of time series models
     Stochastic Processes and their Applications, 1978, 8, (1), 87-92 View citations (23)

1976

135. Tendency towards normality of linear combinations of random variables
     Metrika: International Journal for Theoretical and Applied Statistics, 1976, 23, (1), 237-248 View citations (2)
136. The use of R2 to determine the appropriate transformation of regression variables
     Journal of Econometrics, 1976, 4, (3), 205-210 View citations (11)

1975

137. Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts
     Journal of Finance, 1975, 30, (1), 135-45 View citations (2)

1974

138. Spurious regressions in econometrics
     Journal of Econometrics, 1974, 2, (2), 111-120 View citations (2147)

1973

139. On the properties of forecasts used in optimal economic policy decisions
     Journal of Public Economics, 1973, 2, (4), 347-356 View citations (4)

1972

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

1969

141. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
     Econometrica, 1969, 37, (3), 424-38 View citations (5393)

1968

142. Spectral Analysis of the Term Structure of Interest Rates
     The Review of Economic Studies, 1968, 35, (1), 67-76 View citations (8)

1967

143. A Fresh Look at Wheat Prices and Markets in the Eighteenth Century
     Economic History Review, 1967, 20, (2), 257-265 View citations (11)

1964

144. Analysing qualitative data, by A. E. Maxwell, Methuen (1961), pp. 163, $3.00. QUEUES, by D. R. Cox and Walter L. Smith, Methuen (1961), pp. 180, $3.75
     Naval Research Logistics Quarterly, 1964, 11, (2), 229-230
145. Multidimensional Gaussian distributions, by K. S. Miller, published by John Wiley and Sons, New York, 1964, viii + 129 pages, $9.50. The SIAM series in Applied Mathematics
     Naval Research Logistics Quarterly, 1964, 11, (2), 231-231

1962

146. Statistical theory of communication, by Y. W. Lee. John Wiley and Sons, New York, 1960. pp. xviii + 510
     Naval Research Logistics Quarterly, 1962, 9, (2), 161-162
147. The mathematica theory of linear systems, by B. M. Brown. Automation and control engineering series, no. 1. J. Wiley & Sons, New York, 1961. pp. xv + 267
     Naval Research Logistics Quarterly, 1962, 9, (2), 159-160

1961

148. On the Price Consciousness of Consumers
     Journal of the Royal Statistical Society Series C, 1961, 10, (3), 170-188 View citations (28)

Books

2010

1. Modelling Nonlinear Economic Time Series
   OUP Catalogue, Oxford University Press View citations (175)

2002

2. The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon
   Cambridge Books, Cambridge University Press View citations (103)

2001

3. Essays in Econometrics Real Author-Name:Granger,Clive W. J
   Cambridge Books, Cambridge University Press
   Also in Cambridge Books, Cambridge University Press (2001)
   Cambridge Books, Cambridge University Press (2001)
   Cambridge Books, Cambridge University Press (2001)

1999

4. Empirical Modeling in Economics
   Cambridge Books, Cambridge University Press View citations (71)
   Also in Cambridge Books, Cambridge University Press (1999) View citations (72)

1993

5. Modelling Non-Linear Economic Relationships
   OUP Catalogue, Oxford University Press View citations (447)

1986

6. Forecasting Economic Time Series
   Elsevier Monographs, Elsevier View citations (551)

1979

7. Forecasting in Business and Economics
   Elsevier Monographs, Elsevier View citations (4)

Edited books

2013

1. Handbook of Economic Forecasting, vol 2
   Handbook of Economic Forecasting, Elsevier View citations (931)

2006

2. Handbook of Economic Forecasting, vol 1
   Handbook of Economic Forecasting, Elsevier View citations (891)

1991

3. Long-Run Economic Relationships: Readings in Cointegration
   OUP Catalogue, Oxford University Press View citations (737)
4. Modelling Economic Series: Readings in Econometric Methodology
   OUP Catalogue, Oxford University Press

Chapters

2008

1. Chapter 9 A Source of Long Memory in Volatility
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 329-380

2006

2. Forecasting and Decision Theory
   Elsevier View citations (56)
3. Personal Comments on Yoon's Discussion of My 1957 Paper
   A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 315-316

1993

4. Modeling Nonlinearity over the Business Cycle
   A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 311-326 View citations (25)

1986

5. Aspects of modelling nonlinear time series
   Chapter 48 in Handbook of Econometrics, 1986, vol. 4, pp 2917-2957 View citations (5)

1984

6. Time series and spectral methods in econometrics
   Chapter 17 in Handbook of Econometrics, 1984, vol. 2, pp 979-1022 View citations (20)

1980

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

1978

8. Seasonality: Causation, Interpretation, and Implications
   A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 33-56 View citations (8)

Editor

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