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Cointegration, causality, and forecasting a festschrift in honour of Clive W.J. Granger

Halbert White; R. F Engle (Robert F); C. W. J Granger 1934- (Clive William John)

Oxford Oxford University Press New York c1999

Localização: FEA - Fac. Econ. Adm. Contab. e Atuária  ACERVO DELFIM NETTO  (B18.20.8 ) e outros locais(Acessar)

  • Título:
    Cointegration, causality, and forecasting a festschrift in honour of Clive W.J. Granger
  • Autor: Halbert White; R. F Engle (Robert F); C. W. J Granger 1934- (Clive William John)
  • Assuntos: Granger, C. W. J. 1934- (Clive William John),; Granger, C. W. J. 1934- (Clive William John),; Econometric models; Cointegration; Business forecasting -- Econometric models; Econometrics; ECONOMETRIA
  • Notas: Includes bibliographical references
  • Descrição: 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 simultaneo
  • Editor: Oxford Oxford University Press New York
  • Data de criação/publicação: c1999
  • Formato: vi, 497 p. ill., 1 port. 24 cm.
  • Idioma: Inglês
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  • Realização: ABCD-USP USP   Logos de Redes Sociais: Freepik

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