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" Cointegration, causality, and forecasting : "
edited by Robert F. Engle and Halbert White
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BL
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| Record Number
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712032
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| Doc. No
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b534221
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| Title & Author
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Cointegration, causality, and forecasting : : a festschrift in honour of Clive W.J. Granger /\ edited by Robert F. Engle and Halbert White
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| Publication Statement
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Oxford :: Oxford University Press,, 1999
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| Page. NO
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vi, 497 p. :: ill., 1 port. ;; 24 cm
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| ISBN
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0198296835
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| Bibliographies/Indexes
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Includes bibliographical references
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| Contents
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1. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series / James H. Stock and Mark W. Watson -- 2. A multivariate time series analysis of the data revision process for industrial production and the composite leading indicator / Norman R. Swanson, Eric Ghysels, and Myles Callan -- 3. Evaluating density forecasts of inflation: the survey of professional forecasters / Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis -- 4. Ranking competing multi-step forecasts / Paul Newbold, David I. Harvey, and Stephen J. Leybourne -- 5. The pervasiveness of Granger causality in econometrics / David F. Hendry and Grayham E. Mizon -- 6. A class of tests for integration and cointegration / James H. Stock -- 7. Order selection in testing for the cointegrating rank of a VAR process / Helmut Lütkepohl and Pentti Saikkonen -- 8. Granger's representation theorem and multicointegration / Tom Engsted and Søren Johansen -- 9. Dimensionality effect in cointegration analysis / Jesús Gonzalo and Jean-Yves Pitarakis -- 10. Testing DHSY as a restricted conditional model of a trivariate seasonally cointegrated system / Luigi Ermini -- 11. A unit root test in the presence of structural changes in I(1) and I(0) models / Michio Hatanaka and Kazuo Yamada -- 12. Investigating inflation transmission by stages of processing / Tae-Hwy Lee and Stuart Scott -- 13. Price convergence in the medium and long run: an I(2) analysis of six price indices / Katarina Juselius -- 14. M-testing using finite and infinite dimensional parameter estimators / Halbert White and Yongmiao Hong -- 15. Asymptotic properties of some specification tests in linear models with integrated processes / Jeffrey M. Wooldridge -- 16. Residual variance estimates and order determination in panels of intercorrelated autoregressive time series / Vidar Hjellvik and Dag Tjøstheim -- 17. Partial pooling: a possible answer to "To pool or not to pool" / Farshid Vahid -- 18. A simultaneous binary choice/count model with an application to credit card aprovals / Andrew A. Weiss -- 19. Statistical properties of the asymmetric power ARCH process / Changli He and Timo Teräsvirta -- 20. A long-run and short-run component model of stock return volatility / Robert F. Engle and Gary G.J. Lee
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| Subject
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Business forecasting-- Mathematical models
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Econometric models
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Econometrics
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| Dewey Classification
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330.015195
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| Added Entry
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Engle, R. F., (Robert F.)
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Granger, C. W. J., (Clive William John)
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White, Halbert
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