Access Statistics for Clive W. J. Granger

Author contact details at EconPapers.

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 0 0 1 221 1 9 14 512
A Decision_Theoretic Approach to Forecast Evaluation 0 0 0 0 1 3 13 1,073
A Dependence Metric for Nonlinear Time Series 0 0 0 311 0 1 11 561
A simple nonlinear time series model with misleading linear properties 0 0 0 20 3 4 15 1,230
Aggregation of Space-Time Processes 0 0 0 321 0 0 9 787
Aggregation of time series variables-a survey 1 1 14 682 6 9 37 2,202
Aggregationn of Space-Time Processes 0 0 0 13 4 8 18 103
An introduction to stochastic Unit Root Processes 0 0 0 4 3 3 15 1,448
Autobiography 0 0 0 87 1 2 12 215
Causality: Some New Thoughts on an Old Topic 0 0 0 7 1 2 15 1,016
Comments on Testing Economic Theories and the Use of Model Selection Criteria 0 0 1 1 1 2 7 7
Comments on the evaluation of policy models 0 0 1 45 2 2 6 340
Common Factors in Conditional Distributions 0 0 0 7 1 1 9 62
Common factors in conditional distributions 0 0 0 223 2 3 13 1,092
Common factors in conditional distributions for Bivariate time series 0 0 0 1 0 1 10 15
Common factors in conditional distributions for Bivariate time series 0 0 0 240 0 1 8 617
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 1 1 3 111 2 3 17 481
Economic and Statistical Measures of Forecast Accuracy 1 3 10 1,805 7 15 41 5,849
Efficient Market Hypothesis and Forecasting 0 0 5 1,257 1 3 30 3,422
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 6 6 9 30 1,876
Extracting Information from Mega-Panels and High-Frequency Data 0 0 0 41 2 2 6 185
Fisheries Management Under Cyclical Population Dynamics 0 0 0 24 1 6 17 87
Further Developments in the Study of Cointegrated Variables 0 0 0 0 1 2 9 373
Hidden Cointegration 1 1 2 105 3 5 15 364
Hidden Cointegration 0 1 4 534 3 10 37 1,104
Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions 0 0 0 1 1 4 11 568
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 1 2 3 151 3 5 12 498
Introduction to M-M Processes 0 0 0 12 2 2 13 79
Investigating the relationship between gold and silver prices 2 3 4 25 3 11 63 142
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 0 0 14 1,936
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 4 4 12 524
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 3 4 11 293
Modeling Amazon Deforestation for Policy Purposes 0 0 0 267 1 3 8 785
Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk 0 0 0 23 0 1 8 103
Non-stationarities in stock returns 0 0 0 786 5 7 32 1,540
Occasional Structural Breaks and Long Memory 0 0 0 44 1 2 8 144
Properties of Nonlinear Transformations of Fractionally Integrated Processes 0 0 0 11 0 1 17 82
Properties of nonlinear transformations of fractionally integrated processes 0 0 0 4 1 4 14 65
Reasonable extreme bounds analysis 0 0 0 365 4 4 17 1,437
Regime Sensitive Cointegration with an Application to Interest rate Parity 0 0 0 0 2 2 13 1,654
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 4 6 28 1,429
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 2 3 25 1,337
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 2 2 9 1,476
Self-Generating Variables in a Cointegrated VAR Framework 0 0 0 12 0 0 4 76
Some Generalizations on the Algebra of I(1) Processes 0 0 0 0 1 3 9 228
Spurious Regressions with Stationary Series 0 0 0 64 2 9 15 151
Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity 0 0 0 99 1 2 19 631
Strategies for Modelling Nonlinear Time Series Relationships 0 0 0 0 2 6 9 9
Structurally-Induced Volatility Clustering 0 0 0 20 1 2 12 79
Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence 0 0 0 0 0 0 5 736
TREASURY BI;; YIELD CURVES AND COINTEGRATION 0 0 0 1 1 4 15 1,393
The Impact of the Use of Forecasts in Information Sets 0 0 0 5 1 14 24 60
The algebra of I (1) 0 0 1 1 3 3 14 552
The correlogram of a long memory process plus a simple noise 0 0 0 9 3 3 9 55
The impact of the use of forecasts in information sets 0 0 0 17 2 3 8 123
Time Series Analysis, Cointegration, and Applications 0 1 1 83 4 6 11 204
Time Series Analysis, Cointegration, and Applications 0 0 1 352 3 4 30 691
Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 5 6 24 596
What are we learning about the long-run? 0 1 1 11 4 5 19 61
Women’s Jobs and Marriage: Baby-Boom versus Baby-Bust (Travail des Femmes et Mariage: du baby-boom au baby-bust) 0 0 0 4 2 3 11 75
Total Working Papers 7 14 52 9,310 125 244 967 44,833
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
2 Some Comments on Econometric Methodology 0 0 0 1 3 3 5 12
A Cointegration Analysis of Treasury Bill Yields 4 7 12 1,087 7 13 36 2,984
A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING 0 0 0 50 1 3 14 198
A Dependence Metric for Possibly Nonlinear Processes 0 0 5 125 2 3 29 375
A Fresh Look at Wheat Prices and Markets in the Eighteenth Century 0 0 0 11 1 2 8 68
A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon 0 0 0 3 2 2 9 25
A Review of Some Recent Textbooks of Econometrics 0 0 0 143 0 0 5 422
A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu 1 2 5 679 6 12 36 1,932
A long memory property of stock market returns and a new model 6 13 80 2,948 15 35 190 6,032
A simple nonlinear time series model with misleading linear properties 0 0 1 260 2 2 16 553
A time-distance criterion for evaluating forecasting models 0 0 0 70 3 3 9 197
ACRONYMS IN TIME SERIES ANALYSIS (ATSA) 0 0 0 8 1 1 6 29
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1 5 57 281 4 12 126 500
Advertising and Aggregate Consumption: An Analysis of Causality 1 1 1 422 1 1 23 1,405
Aggregation of space-time processes 0 0 0 273 1 2 12 677
An introduction to stochastic unit-root processes 0 0 0 382 5 6 16 873
Analysing qualitative data, by A. E. Maxwell, Methuen (1961), pp. 163, $3.00. QUEUES, by D. R. Cox and Walter L. Smith, Methuen (1961), pp. 180, $3.75 0 0 0 3 0 0 6 23
Can We Improve the Perceived Quality of Economic Forecasts? 0 0 1 231 1 2 13 694
Causality, cointegration, and control 0 1 9 521 4 5 30 1,113
Co-integration and Error Correction: Representation, Estimation, and Testing 19 64 201 16,158 62 222 830 40,468
Co-integration and error correction: Representation, estimation, and testing 8 22 70 953 18 57 249 3,280
Combining competing forecasts of inflation using a bivariate arch model 0 1 6 189 2 3 18 462
Comments on "Forecasting economic and financial variables with global VARs" 0 0 0 19 0 0 4 86
Comments on testing economic theories and the use of model selection criteria 0 0 0 222 1 2 5 594
Comments on the evaluation of policy models 0 0 0 35 0 0 8 196
Common factors in conditional distributions for bivariate time series 0 0 0 109 2 4 13 306
Comparing forecasts of inflation using time distance 0 0 0 65 1 1 9 200
Comparing the methodologies used by statisticians and economists for research and modeling5 0 0 0 59 0 2 4 199
Consideration of Trends in Time Series 0 0 5 312 2 4 19 658
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 0 0 80 1 3 13 467
Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349] 0 0 0 18 3 3 11 130
Curriculum Vitae 0 0 0 74 1 1 4 190
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 0 8 491
Developments in the Study of Cointegrated Economic Variables 0 0 0 26 5 6 36 3,195
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots 0 0 0 42 0 0 3 213
Efficient market hypothesis and forecasting 0 1 4 418 2 8 51 1,177
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 0 9 17 79 2,471
Evaluating significance: comments on "size matters" 0 0 0 76 1 1 12 228
Evaluation of global models 0 0 0 130 2 2 6 292
Exchange rates and fundamentals - comments 0 0 0 83 4 4 8 223
Experience with using the Box-Cox transformation when forecasting economic time series 0 0 1 186 1 1 14 590
Extracting information from mega‐panels and high‐frequency data 0 0 1 8 0 0 10 41
FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS 0 0 0 26 0 0 7 119
Fellow's opinion: Evaluating economic theory 0 0 0 37 4 5 10 198
Fisheries Management Under Cyclical Population Dynamics 0 0 0 40 2 2 17 185
Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment 0 0 0 0 1 1 9 288
Forecasting Performance of Information Criteria with Many Macro Series 0 0 0 109 3 4 10 391
Forecasting Volatility in Financial Markets: A Review 2 4 22 487 13 34 110 5,559
Forecasting stock market prices: Lessons for forecasters 0 0 1 334 1 2 7 674
Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam 0 0 0 63 1 1 4 228
Future Developments in the Study of Cointegrated Variables 0 0 0 1 1 1 7 414
Implications of Aggregation with Common Factors 0 0 1 58 3 3 7 129
Implications of seeing economic variables through an aggregation window 0 0 0 23 2 2 8 103
Interactions between large macro models and time series analysis 0 0 0 98 2 2 8 355
Interval forecasting: An analysis based upon ARCH-quantile estimators 0 0 1 218 1 1 10 504
Introducing Non-Linearity Into Cointegration 0 0 1 10 1 1 9 35
Introduction to m-m processes 0 0 0 49 2 2 15 206
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 7 33 92 4,819 29 119 435 15,101
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 1 524 0 0 22 1,295
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 1 1 8 602
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 3 3 8 200
Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment 0 0 0 0 1 2 6 141
Judy Klein, Statistical Visions in Time: A History of Time Series Analysis, 1662–1938 (Cambridge, Cambridge University Press1997), pp.xix + 345. $64.95. ISBN 1-521-42-46-6 0 0 0 50 0 0 9 173
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach 0 0 0 28 4 5 9 142
Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999) 0 0 0 79 2 2 10 231
Long Memory Series with Attractors 0 0 0 0 2 2 5 250
Long memory relationships and the aggregation of dynamic models 2 4 15 530 11 18 50 1,074
Long-term forecasting and evaluation 0 1 3 128 5 7 21 342
MODELS THAT GENERATE TRENDS 0 0 0 0 0 0 4 13
Macroeconometrics - Past and future 0 0 0 176 2 3 12 327
Management of supply chain: an alternative modelling technique for forecasting 0 0 0 5 1 1 10 35
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 0 0 3 291 2 2 19 710
Model evaluation based on residual analysis of two similar models 1 1 1 56 1 1 10 245
Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development 0 0 0 1 0 0 9 13
Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development 0 0 0 7 0 0 11 65
Modeling volatility persistence of speculative returns: A new approach 0 0 7 527 2 2 30 1,078
Modeling, Evaluation, and Methodology in the New Century 0 0 0 86 1 1 8 340
Modelling Nonlinear Relationships between Extended-Memory Variables 0 0 1 103 1 1 12 587
Multidimensional Gaussian distributions, by K. S. Miller, published by John Wiley and Sons, New York, 1964, viii + 129 pages, $9.50. The SIAM series in Applied Mathematics 0 0 0 37 2 2 8 92
NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 1 1 2 12 3 3 13 42
Nearer-Normality and Some Econometric Models 0 0 0 22 0 0 7 151
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? 0 1 8 443 3 5 30 828
Nonlinear stochastic trends 0 0 0 71 2 2 15 222
Nonstationarities in Stock Returns 0 0 1 339 2 4 19 763
OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS 0 0 0 41 4 4 11 115
Occasional Structural Breaks and Long Memory 0 0 0 67 2 3 15 272
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 1 4 8 290 3 9 37 646
On Model Approximation for Long-Memory Processes: A Cautionary Result 0 0 0 20 0 0 5 161
On Modelling the Long Run in Applied Economics 0 0 0 115 0 1 4 362
On the Price Consciousness of Consumers 0 0 0 47 2 4 15 145
On the invertibility of time series models 0 0 0 37 0 0 12 164
On the properties of forecasts used in optimal economic policy decisions 0 0 0 22 4 5 13 86
Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 0 0 0 15 0 0 4 142
Outline of forecast theory using generalized cost functions 0 0 1 379 1 1 20 1,248
POWER OF THE NEURAL NETWORK LINEARITY TEST 1 5 26 154 1 9 86 317
Practical Issues in Forecasting Volatility 0 0 0 1 1 2 16 21
Predictive Consequences of Using Conditioning or Causal Variables 0 0 0 25 0 0 8 95
Preface: Some Thoughts on the Future of Forecasting 0 0 1 6 0 0 3 14
Properties of nonlinear transformations of fractionally integrated processes 0 0 0 83 1 2 16 280
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY 0 0 0 82 2 3 12 253
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 1 1 7 209
Reasonable extreme-bounds analysis 0 0 0 221 2 3 15 619
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 1 2 7 910
Seasonal integration and cointegration 5 6 19 1,715 13 21 70 3,648
Separation in Cointegrated Systems and Persistent-Transitory Decompositions 0 0 0 0 1 1 7 179
Shorte-run forecasts of electricity loads and peaks 0 1 3 239 3 5 15 535
Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts 0 0 0 18 0 0 9 85
Some Properties of Absolute Return: An Alternative Measure of Risk 2 3 10 112 3 6 24 253
Some aspects of causal relationships 0 0 3 326 2 4 15 699
Some comments on risk 0 0 0 221 0 1 8 512
Some generalizations on the algebra of I(1) processes 0 0 0 79 1 1 7 232
Some properties of time series data and their use in econometric model specification 0 3 20 2,813 5 12 67 6,442
Some recent development in a concept of causality 1 1 6 1,960 3 5 33 3,957
Some thoughts on the development of cointegration 1 1 1 70 1 1 13 201
Spectral Analysis of the Term Structure of Interest Rates 0 0 0 10 0 2 11 62
Spurious Stochastics in a Short Time-Series Panel Data 0 0 0 12 1 1 3 45
Spurious regressions in econometrics 4 35 111 3,127 17 91 341 7,773
Spurious regressions with stationary series 0 0 1 331 2 4 18 852
Statistical theory of communication, by Y. W. Lee. John Wiley and Sons, New York, 1960. pp. xviii + 510 0 0 0 18 1 1 12 140
Strategies for Modelling Nonlinear Time‐Series Relationships 0 0 0 6 1 1 6 20
Structural attribution of observed volatility clustering 0 0 0 45 4 4 7 211
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence 0 0 0 121 1 1 15 415
THE RESEARCH INTERESTS OF PAUL NEWBOLD 0 0 0 35 0 0 8 145
Tendency towards normality of linear combinations of random variables 0 0 0 28 2 2 9 113
Testing for Common Features: Comment 0 0 0 0 0 0 3 122
Testing for causality: A personal viewpoint 1 5 17 1,943 3 12 48 3,557
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 0 2 633 2 2 32 1,479
The Applied Economics journals: a personal reflection 0 0 0 70 0 2 12 859
The Evolution of the Phillips Curve: A Modern Time Series Viewpoint 1 1 2 81 3 3 17 219
The Gold Sovereign Market in Greece-An Unusual Speculative Market 0 0 0 72 4 4 8 331
The Japanese consumption function 0 1 1 183 1 2 14 532
The Present and Future of Empirical Finance 0 0 1 1 0 0 8 10
The billing cycle and weather variables in models of electricity sales 0 0 0 7 1 1 8 51
The combination of forecasts using changing weights 0 0 0 380 4 4 11 774
The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution 0 0 0 25 2 2 6 182
The effect of aggregation on nonlinearity 0 0 0 53 0 1 11 176
The mathematica theory of linear systems, by B. M. Brown. Automation and control engineering series, no. 1. J. Wiley & Sons, New York, 1961. pp. xv + 267 0 0 0 0 0 0 6 16
The past and future of empirical finance: some personal comments 0 0 0 84 2 2 15 240
The use of R2 to determine the appropriate transformation of regression variables 0 0 2 90 0 1 10 277
Thick modeling 0 0 1 636 1 3 18 1,564
Time Series Analysis, Cointegration, and Applications 0 0 1 656 2 3 16 1,329
Time Series Concepts for Conditional Distributions* 0 1 1 106 2 4 12 285
Time series analysis of residuals from the St. Louis model 0 1 1 30 2 3 11 157
Trends in unit energy consumption: The performance of end-use models 0 0 0 4 2 2 8 55
USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS 0 0 2 48 1 2 15 96
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 3 4 33 2,157
Useful conclusions from surprising results 0 0 1 73 3 3 17 180
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic 1 1 1 136 3 4 19 528
Varieties of long memory models 0 0 1 423 1 1 16 932
What Are We Learning about the Long-Run? 0 0 0 86 1 1 5 271
Total Journal Articles 71 231 863 55,600 422 974 4,424 157,676
3 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Empirical Modeling in Economics 0 0 0 0 2 2 18 157
Empirical Modeling in Economics 0 0 0 0 2 2 14 88
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 2 2 10 92
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 0 0 13 106
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 4 5 11 66
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 2 2 15 82
Forecasting Economic Time Series 2 6 39 870 6 14 109 2,212
Forecasting in Business and Economics 0 0 3 44 2 2 21 174
Modelling Non-Linear Economic Relationships 0 0 0 0 4 8 71 9,017
Modelling Nonlinear Economic Time Series 0 0 0 0 1 5 35 2,059
The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon 0 0 0 0 2 3 15 513
Total Books 2 6 42 914 27 45 332 14,566

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 0 0 0 275 4 5 13 726
Chapter 9 A Source of Long Memory in Volatility 0 0 0 3 1 1 2 12
Conjugate Processes 0 0 0 0 2 2 3 3
Forecasting and Decision Theory 0 2 5 419 2 8 39 1,575
Modeling Nonlinearity over the Business Cycle 0 1 3 153 0 1 20 355
Personal Comments on Yoon's Discussion of My 1957 Paper 0 0 0 0 1 1 6 8
Seasonality: Causation, Interpretation, and Implications 1 1 1 42 2 3 15 147
Some Comments on the Role of Time-Series Analysis in Econometrics 0 0 0 45 0 0 15 110
Time series and spectral methods in econometrics 0 0 1 500 0 1 9 1,052
Total Chapters 1 4 10 1,437 12 22 122 3,988

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