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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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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 Downloads
    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 Downloads

2004

  1. Autobiography
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads
  2. Causality: Some New Thoughts on an Old Topic
    Econometric Society 2004 Australasian Meetings, Econometric Society
  3. Non-stationarities in stock returns
    Econometrics, EconWPA Downloads View citations (33)
    See also Journal Article in The Review of Economics and Statistics (2005)
  4. Time Series Analysis, Cointegration, and Applications
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (13)
    Also in Nobel Prize in Economics documents, Nobel Prize Committee (2003) Downloads View citations (6)

    See also Journal Article in American Economic Review (2004)

2003

  1. Common factors in conditional distributions for Bivariate time series
    FMG Discussion Papers, Financial Markets Group Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2006)
  2. Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads

2002

  1. Aggregation of Space-Time Processes
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2004)
  2. Common Factors in Conditional Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (2)
  3. Efficient Market Hypothesis and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2004)
  4. Hidden Cointegration
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (46)
    Also in Royal Economic Society Annual Conference 2002, Royal Economic Society (2002) Downloads View citations (46)
  5. Structurally-Induced Volatility Clustering
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)

2001

  1. 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" Downloads View citations (2)
    See also Journal Article in IMF Staff Papers (2002)
  2. Self-Generating Variables in a Cointegrated VAR Framework
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (5)

2000

  1. A Dependence Metric for Nonlinear Time Series
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
  2. Properties of Nonlinear Transformations of Fractionally Integrated Processes
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000) Downloads

    See also Journal Article in Journal of Econometrics (2002)

1999

  1. Economic and Statistical Measures of Forecast Accuracy
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (23)
  2. 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 Downloads View citations (4)
  3. Occasional Structural Breaks and Long Memory
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (71)
    See also Journal Article in Annals of Economics and Finance (2013)
  4. 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 Downloads View citations (4)
    Also in Research Notes, Deutsche Bank Research (1999) Downloads View citations (3)

1998

  1. 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 Downloads View citations (9)
    See also Journal Article in The Quarterly Review of Economics and Finance (2000)
  2. 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 in Economics Letters (1999)
  3. 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 Downloads View citations (6)
  4. Introduction to M-M Processes
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in Journal of Econometrics (2006)
  5. Spurious Regressions with Stationary Series
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (13)
    See also Journal Article in Applied Economics (2001)
  6. 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 Downloads View citations (6)
  7. 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 (319)
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1997

  1. Regime Sensitive Cointegration with an Application to Interest rate Parity
    Working Papers, Wilfrid Laurier University, Department of Economics View citations (54)
    See also Journal Article in Macroeconomic Dynamics (1997)
  2. Seasonal Adjustment and Volatility Dynamics
    CIRANO Working Papers, CIRANO Downloads View citations (1)

1996

  1. A Decision_Theoretic Approach to Forecast Evaluation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (27)
  2. An introduction to stochastic Unit Root Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
    See also Journal Article in Journal of Econometrics (1997)

1995

  1. Further Developments in the Study of Cointegrated Variables
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
  2. Investigating the relationship between gold and silver prices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (1996)

1994

  1. Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions
    Working Papers, Pennsylvania State - Department of Economics View citations (30)

1993

  1. Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
  2. 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)

1992

  1. Estimation of Common Long-Memory Components in Cointegrated Systems
    Working Papers, Boston University - Department of Economics View citations (95)
    See also Journal Article in Journal of Business & Economic Statistics (1995)
  2. What are we learning about the long-run?
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
    See also Journal Article in Economic Journal (1993)

1991

  1. Comments on the evaluation of policy models
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    See also Journal Article in Journal of Policy Modeling (1992)
  2. 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)

1990

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

1988

  1. Aggregation of time series variables-a survey
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (18)
  2. Reasonable extreme bounds analysis
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads
    See also Journal Article in Journal of Econometrics (1990)
  3. SEASONAL INTEGRATION AND COINTEGRATION
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
    Also in Working Papers, Pennsylvania State - Department of Economics (1988) View citations (35)

    See also Journal Article in Journal of Econometrics (1990)
  4. The algebra of I (1)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (10)

Journal Articles

2015

  1. Co-integration and error correction: Representation, estimation, and testing
    Applied Econometrics, 2015, 39, (3), 106-135 Downloads View citations (1)
    Also in Econometrica, 1987, 55, (2), 251-76 (1987) Downloads View citations (5307)

2013

  1. Occasional Structural Breaks and Long Memory
    Annals of Economics and Finance, 2013, 14, (2), 739-764 Downloads View citations (1)
    See also Working Paper (1999)

2012

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

2011

  1. Consideration of Trends in Time Series
    Journal of Time Series Econometrics, 2011, 3, (1), 1-40 Downloads View citations (10)
  2. The Applied Economics journals: a personal reflection
    Applied Financial Economics, 2011, 21, (1-2), 3-5 Downloads
  3. The Evolution of the Phillips Curve: A Modern Time Series Viewpoint
    Economica, 2011, 78, (309), 51-66 Downloads View citations (7)

2010

  1. Curriculum Vitae
    Journal of Financial Econometrics, 2010, 8, (2), 244-264 Downloads
  2. Some thoughts on the development of cointegration
    Journal of Econometrics, 2010, 158, (1), 3-6 Downloads View citations (16)

2009

  1. Comments on "Forecasting economic and financial variables with global VARs"
    International Journal of Forecasting, 2009, 25, (4), 687-688 Downloads View citations (1)
  2. Fisheries Management Under Cyclical Population Dynamics
    Environmental & Resource Economics, 2009, 42, (3), 379-410 Downloads View citations (6)
    See also Working Paper (2006)
  3. THE RESEARCH INTERESTS OF PAUL NEWBOLD
    Econometric Theory, 2009, 25, (06), 1460-1465 Downloads

2008

  1. 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 Downloads View citations (5)
  2. Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 1-11 Downloads View citations (30)

2007

  1. Evaluation of global models
    Economic Modelling, 2007, 24, (6), 980-989 Downloads View citations (6)
  2. 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 Downloads View citations (3)
  3. Long-term forecasting and evaluation
    International Journal of Forecasting, 2007, 23, (4), 539-551 Downloads View citations (5)
  4. Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development
    Environmental Economics and Policy Studies, 2007, 8, (3), 201-210 Downloads

2006

  1. Common factors in conditional distributions for bivariate time series
    Journal of Econometrics, 2006, 132, (1), 43-57 Downloads View citations (33)
    See also Working Paper (2003)
  2. Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
    Journal of Time Series Analysis, 2006, 27, (3), 347-365 Downloads View citations (8)
  3. Introduction to m-m processes
    Journal of Econometrics, 2006, 130, (1), 143-164 Downloads View citations (1)
    See also Working Paper (1998)
  4. 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 Downloads
  5. Structural attribution of observed volatility clustering
    Journal of Econometrics, 2006, 135, (1-2), 15-29 Downloads View citations (11)

2005

  1. A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
    Econometric Theory, 2005, 21, (01), 278-297 Downloads View citations (11)
  2. COMMENTS ON THE 20th ANNIVERSARY ISSUE OF ECONOMETRIC THEORY
    Econometric Theory, 2005, 21, (01), 298-298 Downloads
  3. Modeling, Evaluation, and Methodology in the New Century
    Economic Inquiry, 2005, 43, (1), 1-12 Downloads View citations (4)
  4. Nonstationarities in Stock Returns
    The Review of Economics and Statistics, 2005, 87, (3), 503-522 Downloads View citations (65)
    See also Working Paper (2004)
  5. The past and future of empirical finance: some personal comments
    Journal of Econometrics, 2005, 129, (1-2), 35-40 Downloads View citations (8)

2004

  1. A Dependence Metric for Possibly Nonlinear Processes
    Journal of Time Series Analysis, 2004, 25, (5), 649-669 Downloads View citations (49)
  2. Aggregation of space-time processes
    Journal of Econometrics, 2004, 118, (1-2), 7-26 Downloads View citations (70)
    See also Working Paper (2002)
  3. Efficient market hypothesis and forecasting
    International Journal of Forecasting, 2004, 20, (1), 15-27 Downloads View citations (75)
    See also Working Paper (2002)
  4. Evaluating significance: comments on "size matters"
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2004, 33, (5), 547-550 Downloads View citations (2)
  5. Forecasting Performance of Information Criteria with Many Macro Series
    Journal of Applied Statistics, 2004, 31, (10), 1227-1240 Downloads View citations (12)
  6. 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 Downloads View citations (197)
  7. Thick modeling
    Economic Modelling, 2004, 21, (2), 323-343 Downloads View citations (78)
  8. Time Series Analysis, Cointegration, and Applications
    American Economic Review, 2004, 94, (3), 421-425 Downloads View citations (11)
    See also Working Paper (2004)

2003

  1. A time-distance criterion for evaluating forecasting models
    International Journal of Forecasting, 2003, 19, (2), 199-215 Downloads View citations (5)
  2. Comparing forecasts of inflation using time distance
    International Journal of Forecasting, 2003, 19, (3), 339-349 Downloads View citations (9)
  3. 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 Downloads
  4. Exchange rates and fundamentals - comments
    Proceedings, 2003, (Mar) Downloads
  5. FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS
    Macroeconomic Dynamics, 2003, 7, (05), 734-758 Downloads
  6. Forecasting Volatility in Financial Markets: A Review
    Journal of Economic Literature, 2003, 41, (2), 478-539 Downloads View citations (403)
  7. Interactions between large macro models and time series analysis
    International Journal of Finance & Economics, 2003, 8, (1), 1-10 Downloads View citations (5)
  8. Some aspects of causal relationships
    Journal of Econometrics, 2003, 112, (1), 69-71 Downloads View citations (51)
  9. Time Series Concepts for Conditional Distributions
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 689-701 Downloads View citations (5)

2002

  1. Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
    IMF Staff Papers, 2002, 49, (1), 2 Downloads View citations (24)
    See also Working Paper (2001)
  2. Properties of nonlinear transformations of fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 113-133 Downloads View citations (30)
    See also Working Paper (2000)
  3. Some comments on risk
    Journal of Applied Econometrics, 2002, 17, (5), 447-456 Downloads View citations (18)

2001

  1. 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 Downloads
  2. Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
    Quantitative Finance, 2001, 1, (5), 542-551 Downloads View citations (23)
  3. Macroeconometrics - Past and future
    Journal of Econometrics, 2001, 100, (1), 17-19 Downloads View citations (7)
  4. OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS
    Macroeconomic Dynamics, 2001, 5, (04), 466-481 Downloads View citations (11)
  5. On Model Approximation for Long-Memory Processes: A Cautionary Result
    Annals of Economics and Finance, 2001, 2, (1), 97-100 Downloads
  6. Spurious regressions with stationary series
    Applied Economics, 2001, 33, (7), 899-904 Downloads View citations (39)
    See also Working Paper (1998)
  7. The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution
    Applied Financial Economics, 2001, 11, (5), 469-474 Downloads

2000

  1. 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 Downloads View citations (123)
    See also Working Paper (1998)
  2. Model evaluation based on residual analysis of two similar models
    Applied Economics, 2000, 32, (7), 861-867 Downloads

1999

  1. A simple nonlinear time series model with misleading linear properties
    Economics Letters, 1999, 62, (2), 161-165 Downloads View citations (101)
    See also Working Paper (1998)
  2. Data mining with local model specification uncertainty: a discussion of Hoover and Perez
    Econometrics Journal, 1999, 2, (2), 220-225 View citations (7)
  3. Judy Klein, Statistical Visions in Time: A History of Time Series Analysis, 1662–1938 (Cambridge, Cambridge University Press 1997), pp.xix + 345. $64.95. ISBN 1-521-42-46-6
    Journal of the History of Economic Thought, 1999, 21, (02), 200-203 Downloads
  4. Outline of forecast theory using generalized cost functions
    Spanish Economic Review, 1999, 1, (2), 161-173 Downloads View citations (57)
  5. Spurious Stochastics in a Short Time-Series Panel Data
    Annals of Economics and Statistics, 1999, (55-56), 299-315 Downloads View citations (1)
  6. The effect of aggregation on nonlinearity
    Econometric Reviews, 1999, 18, (3), 259-269 Downloads View citations (14)

1998

  1. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 268-69 View citations (10)
  2. 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 (377)
    See also Working Paper (1998)

1997

  1. A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon
    Brazilian Review of Econometrics, 1997, 17, (1) Downloads View citations (6)
  2. An introduction to stochastic unit-root processes
    Journal of Econometrics, 1997, 80, (1), 35-62 Downloads View citations (57)
    See also Working Paper (1996)
  3. Nonlinear stochastic trends
    Journal of Econometrics, 1997, 81, (1), 65-92 Downloads View citations (13)
  4. On Modelling the Long Run in Applied Economics
    Economic Journal, 1997, 107, (440), 169-77 Downloads View citations (24)
  5. REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
    Macroeconomic Dynamics, 1997, 1, (03), 640-657 Downloads View citations (49)
    See also Working Paper (1997)
  6. Separation in Cointegrated Systems and Persistent-Transitory Decompositions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 449-63 View citations (18)
  7. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174 Downloads View citations (74)
  8. The ET Interview: Professor Clive Granger
    Econometric Theory, 1997, 13, (02), 253-303 Downloads View citations (3)

1996

  1. Can We Improve the Perceived Quality of Economic Forecasts?
    Journal of Applied Econometrics, 1996, 11, (5), 455-73 Downloads View citations (77)
  2. Future Developments in the Study of Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 537-53 View citations (17)
  3. Introducing Non-Linearity Into Cointegration
    Brazilian Review of Econometrics, 1996, 16, (2) Downloads View citations (2)
  4. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
    Journal of Business & Economic Statistics, 1996, 14, (3), 374-86 View citations (27)
    See also Working Paper (1995)
  5. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply
    Journal of Business & Economic Statistics, 1996, 14, (3), 396-97 View citations (11)
  6. Modeling volatility persistence of speculative returns: A new approach
    Journal of Econometrics, 1996, 73, (1), 185-215 Downloads View citations (271)
  7. Varieties of long memory models
    Journal of Econometrics, 1996, 73, (1), 61-77 Downloads View citations (158)

1995

  1. Comments on testing economic theories and the use of model selection criteria
    Journal of Econometrics, 1995, 67, (1), 173-187 Downloads View citations (66)
  2. Estimation of Common Long-Memory Components in Cointegrated Systems
    Journal of Business & Economic Statistics, 1995, 13, (1), 27-35 View citations (368)
    See also Working Paper (1992)
  3. Modelling Nonlinear Relationships between Extended-Memory Variables
    Econometrica, 1995, 63, (2), 265-79 Downloads View citations (50)
  4. Some Properties of Absolute Return: An Alternative Measure of Risk
    Annals of Economics and Statistics, 1995, (40), 67-91 Downloads View citations (54)
  5. Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence
    Journal of Econometrics, 1995, 66, (1-2), 357-369 Downloads View citations (38)
    See also Working Paper (1993)

1994

  1. A Review of Some Recent Textbooks of Econometrics
    Journal of Economic Literature, 1994, 32, (1), 115-22 Downloads View citations (1)
  2. The combination of forecasts using changing weights
    International Journal of Forecasting, 1994, 10, (1), 47-57 Downloads View citations (49)

1993

  1. A long memory property of stock market returns and a new model
    Journal of Empirical Finance, 1993, 1, (1), 83-106 Downloads View citations (991)
  2. Implications of seeing economic variables through an aggregation window
    Ricerche Economiche, 1993, 47, (3), 269-279 Downloads View citations (7)
  3. Some generalizations on the algebra of I(1) processes
    Journal of Econometrics, 1993, 58, (3), 369-384 Downloads View citations (17)
    See also Working Paper (1991)
  4. Strategies for Modelling Nonlinear Time-Series Relationships
    The Economic Record, 1993, 69, (206), 233-38 View citations (48)
  5. Testing for Common Features: Comment
    Journal of Business & Economic Statistics, 1993, 11, (4), 384-85 View citations (1)
  6. 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 Downloads View citations (160)
  7. The Japanese consumption function
    Journal of Econometrics, 1993, 55, (1-2), 275-298 Downloads View citations (46)
  8. What Are We Learning about the Long-Run?
    Economic Journal, 1993, 103, (417), 307-17 Downloads View citations (11)
    See also Working Paper (1992)

1992

  1. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 Downloads View citations (338)
  2. Comments on the evaluation of policy models
    Journal of Policy Modeling, 1992, 14, (4), 497-516 Downloads View citations (17)
    See also Working Paper (1991)
  3. Fellow's opinion: Evaluating economic theory
    Journal of Econometrics, 1992, 51, (1-2), 3-5 Downloads View citations (6)
  4. Forecasting stock market prices: Lessons for forecasters
    International Journal of Forecasting, 1992, 8, (1), 3-13 Downloads View citations (28)
  5. Using the Correlation Exponent to Decide whether an Economic Series is Chaotic
    Journal of Applied Econometrics, 1992, 7, (S), S25-39 Downloads View citations (8)

1991

  1. Developments in the Nonlinear Analysis of Economic Series
    Scandinavian Journal of Economics, 1991, 93, (2), 263-76 View citations (10)
  2. Long Memory Series with Attractors
    Oxford Bulletin of Economics and Statistics, 1991, 53, (1), 11-26 View citations (34)

1990

  1. Reasonable extreme-bounds analysis
    Journal of Econometrics, 1990, 44, (1-2), 159-170 Downloads View citations (32)
    See also Working Paper (1988)
  2. Seasonal integration and cointegration
    Journal of Econometrics, 1990, 44, (1-2), 215-238 Downloads View citations (482)
    See also Working Paper (1988)

1989

  1. Interval forecasting: An analysis based upon ARCH-quantile estimators
    Journal of Econometrics, 1989, 40, (1), 87-96 Downloads View citations (59)
  2. Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models
    Journal of Applied Econometrics, 1989, 4, (S), S145-59 Downloads View citations (127)
  3. Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting
    Journal of Econometrics, 1989, 40, (1), 45-62 Downloads View citations (61)
  4. Trends in unit energy consumption: The performance of end-use models
    Energy, 1989, 14, (12), 943-960 Downloads

1988

  1. Causality, cointegration, and control
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 551-559 Downloads View citations (92)
  2. Some Comments on Econometric Methodology
    The Economic Record, 1988, 64, (187), 327-30
  3. Some recent development in a concept of causality
    Journal of Econometrics, 1988, 39, (1-2), 199-211 Downloads View citations (715)

1987

  1. Implications of Aggregation with Common Factors
    Econometric Theory, 1987, 3, (02), 208-222 Downloads View citations (27)
  2. Predictive Consequences of Using Conditioning or Causal Variables
    Econometric Theory, 1987, 3, (01), 150-152 Downloads View citations (4)

1986

  1. Developments in the Study of Cointegrated Economic Variables
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 213-28 View citations (529)
  2. 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 (3)

1984

  1. Combining competing forecasts of inflation using a bivariate arch model
    Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 Downloads View citations (40)
  2. Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment
    Journal of Business & Economic Statistics, 1984, 2, (4), 335-36 View citations (1)
  3. The billing cycle and weather variables in models of electricity sales
    Energy, 1984, 9, (11), 1041-1047 Downloads View citations (3)

1981

  1. Some properties of time series data and their use in econometric model specification
    Journal of Econometrics, 1981, 16, (1), 121-130 Downloads View citations (547)

1980

  1. Advertising and Aggregate Consumption: An Analysis of Causality
    Econometrica, 1980, 48, (5), 1149-67 Downloads View citations (213)
  2. Long memory relationships and the aggregation of dynamic models
    Journal of Econometrics, 1980, 14, (2), 227-238 Downloads View citations (512)
  3. Testing for causality: A personal viewpoint
    Journal of Economic Dynamics and Control, 1980, 2, (1), 329-352 Downloads View citations (204)

1979

  1. Experience with using the Box-Cox transformation when forecasting economic time series
    Journal of Econometrics, 1979, 10, (1), 57-69 Downloads View citations (11)
  2. Nearer-Normality and Some Econometric Models
    Econometrica, 1979, 47, (3), 781-84 Downloads
  3. Residential load curves and time-of-day pricing: An econometric analysis
    Journal of Econometrics, 1979, 9, (1-2), 13-32 Downloads View citations (8)
  4. Time series analysis of residuals from the St. Louis model
    Journal of Macroeconomics, 1979, 1, (4), 373-394 Downloads View citations (1)

1978

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

1976

  1. Tendency towards normality of linear combinations of random variables
    Metrika: International Journal for Theoretical and Applied Statistics, 1976, 23, (1), 237-248 Downloads View citations (1)
  2. The use of R2 to determine the appropriate transformation of regression variables
    Journal of Econometrics, 1976, 4, (3), 205-210 Downloads View citations (7)

1975

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

1974

  1. Spurious regressions in econometrics
    Journal of Econometrics, 1974, 2, (2), 111-120 Downloads View citations (1302)

1973

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

1972

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

1969

  1. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
    Econometrica, 1969, 37, (3), 424-38 Downloads View citations (2500)

1968

  1. Spectral Analysis of the Term Structure of Interest Rates
    Review of Economic Studies, 1968, 35, (1), 67-76 Downloads View citations (3)

1967

  1. A Fresh Look at Wheat Prices and Markets in the Eighteenth Century
    Economic History Review, 1967, 20, (2), 257-265 Downloads View citations (3)

Books

2010

  1. Modelling Nonlinear Economic Time Series
    OUP Catalogue, Oxford University Press View citations (30)

2002

  1. The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon
    Cambridge Books, Cambridge University Press View citations (62)

2001

  1. Essays in Econometrics 2 Volume Hardback Set Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  2. Essays in Econometrics 2 Volume Paperback Set Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  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

  1. Empirical Modeling in Economics
    Cambridge Books, Cambridge University Press View citations (28)
    Also in Cambridge Books, Cambridge University Press (1999) View citations (27)

1993

  1. Modelling Non-Linear Economic Relationships
    OUP Catalogue, Oxford University Press View citations (157)

1986

  1. Forecasting Economic Time Series
    Elsevier Monographs, Elsevier Downloads View citations (418)

1979

  1. Forecasting in Business and Economics
    Elsevier Monographs, Elsevier Downloads

Edited books

2013

  1. Handbook of Economic Forecasting, vol 2
    Handbook of Economic Forecasting, Elsevier Downloads View citations (29)

2006

  1. Handbook of Economic Forecasting, vol 1
    Handbook of Economic Forecasting, Elsevier Downloads View citations (76)

1991

  1. Long-Run Economic Relationships: Readings in Cointegration
    OUP Catalogue, Oxford University Press View citations (134)
  2. Modelling Economic Series: Readings in Econometric Methodology
    OUP Catalogue, Oxford University Press

Chapters

2006

  1. Forecasting and Decision Theory
    Elsevier Downloads View citations (17)

1993

  1. Modeling Nonlinearity over the Business Cycle
    A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 311-326 Downloads View citations (18)

1986

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

1984

  1. Time series and spectral methods in econometrics
    Chapter 17 in Handbook of Econometrics, 1984, vol. 2, pp 979-1022 Downloads View citations (10)

1980

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

1979

  1. Seasonality: Causation, Interpretation, and Implications
    A chapter in Seasonal Analysis of Economic Time Series, 1979, pp 33-56 Downloads
    Also in A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 33-56 (1978) Downloads View citations (1)

Software Items

Editor

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