Access Statistics for Clive W. J. Granger

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu 1 9 17 17 2 17 34 34
A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu 4 23 91 688 12 53 199 1,169
A Decision Theoretic Approach to Forecast Evaluation 0 0 0 5 8 15 40 499
A Decision_Theoretic Approach to Forecast Evaluation 0 0 0 0 7 19 61 824
A Dependence Metric for Nonlinear Time Series 1 7 21 242 2 9 31 386
A Linearity Test for Near-Unit Root Time Series 0 0 0 0 1 4 15 290
A Long Memory Property of Stock Market Returns and a New Model 0 0 0 8 17 70 229 1,527
A Random Coefficient VAR Transition Model of the Changes in Land Use in the Brazilian Amazon 0 0 0 1 2 10 29 187
A Tutorial on Linearity Testing under Long Range Dependence and Cointegration 0 0 0 3 0 5 27 406
A simple nonlinear time series model with misleading linear properties 0 0 0 20 4 20 77 932
Aggregation of Space-Time Processes 0 3 12 164 1 5 24 417
Aggregation of Space-Time Processes 3 8 26 242 6 18 61 542
Aggregation of time series variables-a survey 8 25 75 131 17 57 168 922
An Introduction to Stochastic Unit Root Processes 0 0 0 3 6 22 67 406
An introduction to stochastic Unit Root Processes 0 0 0 4 12 41 132 1,025
Autobiography 3 4 12 14 3 5 20 27
Can We Improve the Perceived Quality of Economic Forecasts? 0 0 0 0 1 7 16 200
Causality: Some New Thoughts on an Old Topic 0 0 0 7 6 17 60 494
Comments on Testing Economic Theories and the Use of Model Selection Criteria 0 0 0 0 3 11 49 255
Comments on the evaluation of policy models 2 5 6 6 4 13 21 152
Common Factors in Conditional Distributions 1 4 15 251 4 11 43 602
Common factors in conditional distributions 0 0 0 223 5 14 64 960
Common factors in conditional distributions for Bivariate time series 0 3 11 166 0 7 35 375
Conjugate Processes 0 0 0 0 1 1 6 106
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 2 4 9 72 2 6 23 294
DEVELOPMENTS IN THE NONLINEAR ANALYSIS OF ECONOMIC SERIES 0 0 0 0 1 4 18 258
Economic and Statistical Measures of Forecast Accuracy 10 43 138 1,331 25 102 333 4,237
Efficient Market Hypothesis and Forecasting 3 15 40 936 7 30 85 2,211
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 6 9 29 106 1,083
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 4 5 22 80 560
Evaluation of Panel Data Models: Some Suggestions from Time Series 5 12 31 307 6 19 54 537
Extracting Information from Mega-Panels and High-Frequency Data 0 0 3 3 1 3 7 7
Extracting Information from Mega-Panels and High-Frequency Data 0 0 3 99 1 4 15 268
Fisheries Management Under Cyclical Population Dynamics 0 6 9 42 4 15 43 144
Forecasting Stock Market Prices - Lessons for Forecasters 0 0 0 2 7 22 52 593
Further Developments in the Study of Cointegrated Variables 0 0 0 0 0 0 16 201
Further Developments in the Study of Cointegrated Variables 0 0 0 0 0 5 27 250
Hidden Cointegration 3 14 42 425 4 18 59 788
Hidden Cointegration 3 11 28 318 5 19 44 507
Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions 0 0 0 1 3 6 42 278
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalizaton in Vector Autoregressions 1 8 25 207 2 16 54 535
Information-Theoretic Schemes for Linearity Testing Under Long-Range Dependence and Cointegration 0 0 0 2 0 1 3 103
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 2 4 19 20 5 13 52 59
Introduction to M-M Processes 2 4 8 91 3 9 18 234
Introduction to M-M Processes 0 3 4 4 0 3 5 5
Investigating the Relationship between Gold and Silver Prices 7 22 78 480 28 86 330 1,936
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 2 5 19 376 5 18 65 1,621
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 7 10 1 2 26 142
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 3 11 31 381
Long Memory Series with Attractors 0 0 0 0 1 5 13 130
Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance 2 5 25 247 5 18 76 592
Modeling Amazon Deforestation for Policy Purposes 4 14 43 108 16 44 126 315
Modeling Volatility Persistence of Speculative Returns: A New Approach 0 0 0 7 3 13 41 420
Modelling Non-Linear Relationships Between Long-Memory Variables 0 0 0 0 2 10 25 186
Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk 0 0 3 3 3 6 11 11
Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk 1 2 17 367 3 6 44 685
Non-stationarities in stock returns 6 22 71 471 10 35 131 722
Nonlinear Cointegration and Some New Tests for Comovements 0 0 0 0 0 3 12 194
Occasional Structural Breaks and Long Memory 3 14 55 549 5 22 115 1,046
Occasional Structural Breaks and Long Memory 1 2 6 6 2 4 11 11
Power of the Neural Network Linearity Test 0 0 0 4 3 14 49 444
Properties of Nonlinear Transformations of Fractionally Integrated Processes 1 4 11 163 2 8 23 398
Reasonable extreme bounds analysis 10 27 57 126 24 70 144 758
Reducing Self-Interest and Improving the Relevance of Economic Research 0 0 0 0 1 4 8 75
Regime Sensitive Cointegration with an Application to Interest rate Parity 0 0 0 0 3 15 45 1,368
Report on Amazon Deforestation 0 0 0 1 9 50 186 2,284
SEASONAL COINTEGRATION: THE JAPANESE CONSUMPTION FUNCTION 0 0 0 0 7 42 193 859
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 3 20 76 989
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 0 16 62 915
Seasonal Adjustment and Volatility Dynamics 2 7 23 325 10 34 122 1,156
Self-Generating Variables in a Cointegrated VAR Framework 1 2 10 150 1 7 23 398
Separation in Cointegrated Systems 0 0 0 1 0 3 8 113
Separation in Cointegrated Systems, Long Memory Components and Common Stochastic Trends 0 0 0 0 1 2 6 96
Separation in Cointegrated Systems,Long Memory Components and Common Stochastic Trends 0 0 0 80 2 6 22 767
Short-Run Forecasts of Electricity Loads and Peaks 0 0 0 3 5 13 52 386
Some Generalizations on the Algebra of I(1) Processes 0 0 0 0 1 4 16 89
Some Properties of Absolute Return: An Alternative Measure of Risk 1 2 42 342 6 15 77 568
Spurious Regressions with Stationary Series 3 13 29 360 3 19 46 765
Spurious Regressions with Stationary Series 1 5 8 8 2 9 13 13
Structurally-Induced Volatility Clustering 0 1 9 250 1 4 19 413
Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets 0 0 0 0 0 5 30 266
Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence 0 0 0 0 6 14 38 538
TREASURY BI;; YIELD CURVES AND COINTEGRATION 0 0 0 1 8 14 83 1,176
Temporary Cointegration With an Application to Interest Rate Parity 0 3 14 263 2 10 30 471
The Correlogram of a Long Memory Process Plus a Simple Noise 3 7 36 407 7 28 95 1,242
The Impact of the Use of Forecasts in Information Sets 0 1 7 104 0 5 19 239
The Impact of the Use of Forecasts in Information Sets 0 0 0 0 0 0 1 1
The algebra of I (1) 0 0 0 0 1 4 15 376
Time Series Analysis, Cointegration, and Applications 3 11 37 48 6 20 72 85
Time Series Analysis, Cointegration, and Applications 14 48 133 1,059 25 79 218 1,457
Treasury Bill Yield Curves and Cointegration 0 0 0 2 7 20 69 435
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 6 16 55 472 9 22 77 681
Using the Correlation Exponent to Decide if an Economic Series is Chaotic 0 0 0 0 2 5 11 166
Varieties of Long Memory Models 0 0 0 1 3 8 25 264
What are we Learning about the Long Run? 0 0 0 0 1 2 8 106
Women's Jobs and Marriage -- Baby-Boom Versus Baby-Bust 0 0 0 1 4 16 48 504
Total Working Papers 125 448 1,440 12,864 466 1,687 5,730 55,142

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cointegration Analysis of Treasury Bill Yields 3 16 71 674 6 30 133 1,925
A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING 1 3 5 11 1 3 7 22
A Dependence Metric for Possibly Nonlinear Processes 1 2 14 46 1 5 33 135
A Review of Some Recent Textbooks of Econometrics 0 5 13 102 1 7 29 268
A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu 3 10 40 144 7 20 73 307
A long memory property of stock market returns and a new model 42 133 411 1,484 67 227 801 2,595
A simple nonlinear time series model with misleading linear properties 1 3 14 156 1 6 30 263
A time-distance criterion for evaluating forecasting models 0 0 4 43 0 0 10 105
Advertising and Aggregate Consumption: An Analysis of Causality 3 5 25 296 5 12 56 970
Aggregation of space-time processes 0 1 14 86 0 2 28 197
An introduction to stochastic unit-root processes 2 10 45 237 4 16 64 402
COMMENTS ON THE 20th ANNIVERSARY ISSUE OF ECONOMETRIC THEORY 0 2 2 4 0 4 5 13
Can We Improve the Perceived Quality of Economic Forecasts? 0 2 9 148 0 6 28 442
Causality, cointegration, and control 3 14 40 111 6 22 67 182
Co-integration and Error Correction: Representation, Estimation, and Testing 146 466 1,602 6,637 314 939 2,916 13,172
Combining competing forecasts of inflation using a bivariate arch model 6 11 26 56 10 21 53 124
Comments on testing economic theories and the use of model selection criteria 3 10 41 119 5 15 123 318
Comments on the evaluation of policy models 0 0 0 24 0 1 6 90
Common factors in conditional distributions for bivariate time series 1 2 7 48 1 3 17 112
Comparing forecasts of inflation using time distance 0 1 5 41 0 2 15 115
Comparing the methodologies used by statisticians and economists for research and modeling5 0 1 2 22 0 3 9 95
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 1 3 5 51 1 6 18 314
Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349] 0 0 2 10 0 0 7 65
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 1 3 20 384
Developments in the Nonlinear Analysis of Economic Series 0 0 0 0 0 3 20 137
Developments in the Study of Cointegrated Economic Variables 0 0 0 26 10 47 194 1,992
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots 0 0 2 22 1 3 23 107
Efficient market hypothesis and forecasting 1 9 26 277 4 23 75 578
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 0 13 46 153 950
Evaluating significance: comments on "size matters" 0 1 6 31 0 2 16 80
Evaluation of global models 1 1 13 26 1 1 31 56
Exchange rates and fundamentals - comments 0 1 6 62 0 1 10 149
Experience with using the Box-Cox transformation when forecasting economic time series 4 11 35 86 14 43 108 257
FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS 2 5 7 7 2 8 13 13
Fellow's opinion: Evaluating economic theory 0 0 8 20 2 2 16 70
Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment 0 0 0 0 1 4 20 185
Forecasting Performance of Information Criteria with Many Macro Series 1 3 9 65 2 6 23 208
Forecasting Volatility in Financial Markets: A Review 0 0 0 15 39 108 409 3,318
Forecasting stock market prices: Lessons for forecasters 1 9 30 220 3 15 44 385
Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam 0 1 9 19 0 3 21 74
Future Developments in the Study of Cointegrated Variables 0 0 0 1 4 6 26 256
Implications of Aggregation with Common Factors 0 1 1 1 0 1 1 1
Implications of seeing economic variables through an aggregation window 0 0 2 9 0 2 10 39
Interactions between large macro models and time series analysis 0 4 13 67 0 6 28 252
Interval forecasting: An analysis based upon ARCH-quantile estimators 3 13 46 100 9 26 88 197
Introduction to m-m processes 2 2 3 28 2 4 12 68
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 34 96 321 2,492 66 182 612 6,333
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 6 15 56 189 7 23 125 501
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 0 8 39 378
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 1 2 4 102
Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment 0 0 0 0 0 1 6 100
Linking series generated at different frequencies

This work is part of a PhD dissertation presented at the University of California, San Diego (1999).

 1 1 22 26 1 3 48 64
Long Memory Series with Attractors 0 0 0 0 0 3 13 114
Long memory relationships and the aggregation of dynamic models 6 17 85 231 9 28 123 329
Long-term forecasting and evaluation 0 0 18 51 1 3 53 135
Macroeconometrics - Past and future 0 4 12 101 0 6 22 151
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 11 19 50 107 18 30 111 236
Model Evaluation Based on Residual Analysis of Two Similar Models 0 1 4 43 0 5 14 143
Modeling volatility persistence of speculative returns: A new approach 6 13 50 221 7 19 73 385
Modeling, Evaluation, and Methodology in the New Century 0 3 7 70 3 10 30 224
Modelling Nonlinear Relationships between Extended-Memory Variables 2 3 13 66 3 6 70 419
Nearer-Normality and Some Econometric Models 0 0 1 13 0 2 8 96
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? 3 12 14 14 9 31 35 35
Nonlinear stochastic trends 2 4 7 38 2 4 9 95
Nonstationarities in Stock Returns 1 9 38 100 2 15 70 217
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 2 6 30 154 2 10 46 259
On Modelling the Long Run in Applied Economics 2 3 9 75 2 7 27 209
On the properties of forecasts used in optimal economic policy decisions 0 0 2 5 0 1 4 17
Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 0 0 1 7 0 2 15 61
Outline of forecast theory using generalized cost functions 1 2 15 220 5 17 83 893
Predictive Consequences of Using Conditioning or Causal Variables 0 1 1 1 1 2 2 2
Properties of nonlinear transformations of fractionally integrated processes 1 2 6 35 3 5 12 133
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY 2 6 7 7 2 9 10 10
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 2 6 17 111
Reasonable extreme-bounds analysis 3 8 21 140 5 16 44 299
Residential load curves and time-of-day pricing: An econometric analysis 6 16 40 88 15 43 133 272
Seasonal integration and cointegration 6 29 120 747 11 58 217 1,284
Separation in Cointegrated Systems and Persistent-Transitory Decompositions 0 0 0 0 3 3 9 94
Shorte-run forecasts of electricity loads and peaks 3 4 21 130 4 9 41 259
Some Comments on Econometric Methodology 0 0 0 0 0 3 8 65
Some Comments on the Evaluation of Economic Forecasts 0 0 0 13 4 8 34 279
Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts 1 1 4 8 1 2 9 30
Some Properties of Absolute Return: An Alternative Measure of Risk 1 1 1 1 1 1 1 1
Some aspects of causal relationships 3 4 14 61 4 7 22 108
Some comments on emprical investigations involving cointegration 0 0 1 4 0 0 2 5
Some comments on risk 1 7 17 166 1 9 28 341
Some generalizations on the algebra of I(1) processes 0 0 8 35 0 3 18 93
Some properties of time series data and their use in econometric model specification 18 60 185 410 32 102 315 769
Some recent development in a concept of causality 9 27 110 332 15 40 194 578
Spurious Regressions with Stationary Series 0 6 17 143 2 11 47 403
Spurious Stochastics in a Short Time-Series Panel Data 0 0 0 0 0 1 1 1
Spurious regressions in econometrics 24 96 350 787 40 159 549 1,217
Strategies for Modelling Nonlinear Time-Series Relationships 0 0 0 2 5 15 40 267
Structural attribution of observed volatility clustering 0 2 5 21 0 9 21 69
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence 1 2 7 74 2 7 24 249
Tendency towards normality of linear combinations of random variables 0 0 3 8 3 5 19 30
Testing for Common Features: Comment 0 0 0 0 0 2 10 64
Testing for causality: A personal viewpoint 11 25 108 300 15 38 162 409
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 6 45 227 1 8 77 407
The Distributional Properties of Shocks to a Fractional I(d) Process Having a Marginal Exponential Distribution 0 0 0 25 0 1 5 123
The ET Interview: Professor Clive Granger 0 2 4 4 2 5 7 7
The Effect of Price on Choice: A Theoretical and Empirical Investigation 0 0 0 3 0 3 15 123
The Gold Sovereign Market in Greece-An Unusual Speculative Market 0 1 12 26 0 5 48 115
The Japanese consumption function 2 3 18 71 2 7 45 204
The combination of forecasts using changing weights 1 8 42 197 5 23 98 352
The effect of aggregation on nonlinearity 0 1 12 19 0 4 22 36
The past and future of empirical finance: some personal comments 0 2 4 57 1 5 10 126
The use of R2 to determine the appropriate transformation of regression variables 1 3 14 31 2 8 27 93
Thick modeling 4 11 29 241 8 21 77 464
Time Series Analysis, Cointegration, and Applications 2 9 29 439 6 18 60 834
Time Series Concepts for Conditional Distributions 0 2 19 36 3 9 50 91
Time series analysis of residuals from the St. Louis model 0 1 4 10 0 4 17 49
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 11 25 125 1,174
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic 0 3 15 82 4 13 40 337
Varieties of long memory models 2 13 45 249 4 21 77 451
What Are We Learning about the Long-Run? 0 0 10 62 0 0 15 167
Total Journal Articles 410 1,331 4,716 21,148 896 2,884 10,333 56,078

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Aspects of modelling nonlinear time series 1 8 31 127 6 19 81 289
Forecasting and Decision Theory 2 8 33 81 6 23 120 237
Seasonality: Causation, Interpretation, and Implications 0 1 1 1 0 2 2 2
Seasonality: Causation, Interpretation, and Implications 0 1 1 1 0 1 1 1
Some Comments on the Role of Time-Series Analysis in Econometrics 0 1 1 1 0 2 2 2
Time series and spectral methods in econometrics 5 15 50 237 9 28 94 449
Total Chapters 8 34 117 448 21 75 300 980

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Statistics updated 2009-07-03