Ulteriori informazioni
Klappentext These are econometrician Clive W. J. Granger's major essays in spectral analysis! seasonality! nonlinearity! methodology! and forecasting. Zusammenfassung These essays by Clive W. J. Granger span more than four decades and cover major topics in spectral analysis! seasonality! nonlinearity! methodology! and forecasting. The introduction by Eric Gysels! Norman R. Swanson and Mark W. Watson places the essays in context and demonstrates their enduring value. Inhaltsverzeichnis Part I. Spectral Analysis: 1. Spectral analysis of New York Stock Market prices O. Morgenstern; 2. The typical spectral shape of an eonomic variable; Part II. Seasonality: 3. Seasonality: causation, interpretation and implications A. Zellner; 4. Is seasonal adjustment a linear or nonlinear data-filtering process? E. Ghysels and P. L. Siklos; Part III. Nonlinearity: 5. Non-linear time series modeling A. Anderson; 6. Using the correlation exponent to decide whether an economic series is chaotic T. Liu and W. P. Heller; 7. Testing for neglected nonlinearity in time series models: a comparison of neural network methods and alternative tests; 8. Modeling nonlinear relationships between extended-memory variables; 9. Semiparametric estimates of the relation between weather and electricity sales R. F. Engle, J. Rice and A. Weiss; Part IV. Methodology: 10. Time series modeling and interpretation M. J. Morris; 11. On the invertibility of time series models A. Anderson; 12. Near normality and some econometric models; 13. The time series approach to econometric model building P. Newbold; 14. Comments on the evaluation of policy models; 15. Implications of aggregation with common factors; Part V. Forecasting: 16. Estimating the probability of flooding on a tidal river; 17. Prediction with a generalized cost of error function; 18. Some comments on the evaluation of economic forecasts P. Newbold; 19. The combination of forecasts; 20. Invited review: combining forecasts - twenty years later; 21. The combination of forecasts using changing weights M. Deutsch and T. Terasvirta; 22. Forecasting transformed series; 23. Forecasting white noise A. Zellner; 24. Can we improve the perceived quality of economic forecasts? Short-run forecasts of electricity loads and peaks R. Ramanathan, R. F. Engle, F. Vahid-Araghi and C. Brace; Index....
