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Informationen zum Autor Robert Engle holds the Chancellor's Associates Chair in Economics at the University of California, San Diego. Previously Assistant Professor at Massachusetts Institute of Technology (MIT), He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society.Halbert White (the late) was formerly Professor of Economics at the University of California, San Diego (UCSD) and was a member of UCSDs Institute for Neural Computation. Klappentext This book is a collection of essays in honor of Clive Granger by some of the world's leading econometricians, all of whom have collaborated with or studied with Granger. It reflects central themes in Granger's work with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecasting evaluation, and non-linear and non-parametric econometric techniques. Zusammenfassung A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with Granger. Inhaltsverzeichnis Chapter 1: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series Chapter 2: A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator Chapter 3: Evaluating Density Forecasts: The Survey of Professional Forecasters Chapter 4: Ranking Competing Multi-step Forecasts Chapter 5: The Pervasiveness of Granger Causality in Econometrics Chapter 6: A Class for Tests for Integration and Cointegration Chapter 7: Order Selection in Testing for the Cointegration Rank of a VAR Process Chapter 8: Granger's Representation Theorem and Multicointegration Chapter 9: Dimensionality Effect in Cointegration Analysis Chapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System Chapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models Chapter 12: Investigating Inflation Transmission by Stages of Processing Chapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices Chapter 14: M-testing using Finite and Infinite Dimensional Parameter Estimators Chapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes Chapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series Chapter 17: Partial Pooling: a Possible Answer to 'To Pool or not to Pool' Chapter 18: A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals Chapter 19: Statistical Properties of the Asymmetric Power ARCH Process Chapter 20: A Long-run and Short-run Component Model of Stock Return Volatility ...
