Sir Clive Granger's contributions to nonlinear time series and econometrics

Timo Teräsvirta

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: Clive Granger had a wide range of reseach interests and has worked in a number of areas. In this work the focus is on his contributions to nonlinear time series models and modelling. Granger's contributions to a few other aspects of nonlinearity are reviewed as well.

Keywords: cointegration; nonlinearity; nonstationarity; testing linearity (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 C53 (search for similar items in EconPapers)
Pages: 35
Date: 2017-01-27
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-his and nep-hpe
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