Essays in Econometrics Causality, Integration and Cointegration, and Long Memory

Name: Essays in Econometrics Causality, Integration and Cointegration, and Long Memory
Price: 46.53 USD
Availability: InStock
ISBN: 9780521796491

ISBN-10: 0521796490

ISBN-13: 9780521796491

Edition: 2001

Authors: Eric Ghysels, Norman R. Swanson, Mark W. Watson, Clive W. J. Granger

List price: $46.99

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Description:

This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

Book details

List price: $46.99
Copyright year: 2001
Publisher: Cambridge University Press
Publication date: 7/23/2001
Binding: Paperback
Pages: 398
Size: 5.35" wide x 9.09" long x 0.87" tall
Weight: 1.166
Language: English

Part I. Causality: 1. Investigating causal relations by econometric models and cross-spectral methods; 2. Testing for causality; 3. Some recent developments in a concept of causality; 4. Advertising and aggregate consumption: an analysis of causality R. Ashley and R. Schmalensee; Part II. Integration and Cointegration: 5. Spurious regressions in econometrics; 6. Some properties of time series data and their use in econometric model specification; 7. Time series analysis of error correction models A. A. Weiss; 8. Co-Integration and error-correction: representation, estimation and testing; 9. Developments in the study of cointegrated economic variables; 10. Seasonal integration and…