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 0 8 13 511
A Decision_Theoretic Approach to Forecast Evaluation 0 0 0 0 1 2 12 1,072
A Dependence Metric for Nonlinear Time Series 0 0 0 311 1 2 11 561
A simple nonlinear time series model with misleading linear properties 0 0 0 20 1 1 13 1,227
Aggregation of Space-Time Processes 0 0 0 321 0 0 9 787
Aggregation of time series variables-a survey 0 1 14 681 1 4 33 2,196
Aggregationn of Space-Time Processes 0 0 0 13 3 4 14 99
An introduction to stochastic Unit Root Processes 0 0 0 4 0 0 12 1,445
Autobiography 0 0 0 87 1 1 11 214
Causality: Some New Thoughts on an Old Topic 0 0 0 7 0 2 14 1,015
Comments on Testing Economic Theories and the Use of Model Selection Criteria 0 1 1 1 0 2 6 6
Comments on the evaluation of policy models 0 0 1 45 0 1 4 338
Common Factors in Conditional Distributions 0 0 0 7 0 0 8 61
Common factors in conditional distributions 0 0 0 223 1 1 12 1,090
Common factors in conditional distributions for Bivariate time series 0 0 0 1 0 1 11 15
Common factors in conditional distributions for Bivariate time series 0 0 0 240 1 1 10 617
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 0 0 2 110 0 1 15 479
Economic and Statistical Measures of Forecast Accuracy 1 3 9 1,804 3 10 35 5,842
Efficient Market Hypothesis and Forecasting 0 1 5 1,257 0 3 30 3,421
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 6 2 3 24 1,870
Extracting Information from Mega-Panels and High-Frequency Data 0 0 0 41 0 0 4 183
Fisheries Management Under Cyclical Population Dynamics 0 0 0 24 0 5 16 86
Further Developments in the Study of Cointegrated Variables 0 0 0 0 0 1 8 372
Hidden Cointegration 1 1 4 534 5 9 34 1,101
Hidden Cointegration 0 0 1 104 1 2 12 361
Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions 0 0 0 1 2 3 10 567
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 1 1 2 150 1 3 9 495
Introduction to M-M Processes 0 0 0 12 0 0 11 77
Investigating the relationship between gold and silver prices 1 1 2 23 5 10 62 139
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 0 0 8 520
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 0 1 8 290
Modeling Amazon Deforestation for Policy Purposes 0 0 0 267 1 2 8 784
Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk 0 0 0 23 1 1 8 103
Non-stationarities in stock returns 0 0 0 786 0 4 29 1,535
Occasional Structural Breaks and Long Memory 0 0 0 44 0 1 7 143
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 2 3 15 64
Reasonable extreme bounds analysis 0 0 0 365 0 0 14 1,433
Regime Sensitive Cointegration with an Application to Interest rate Parity 0 0 0 0 0 0 12 1,652
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 1 2 26 1,425
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 1 1 24 1,335
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 0 0 8 1,474
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 0 2 9 227
Spurious Regressions with Stationary Series 0 0 0 64 0 7 13 149
Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity 0 0 0 99 1 1 20 630
Strategies for Modelling Nonlinear Time Series Relationships 0 0 0 0 2 4 7 7
Structurally-Induced Volatility Clustering 0 0 0 20 0 1 11 78
Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence 0 0 0 0 0 0 6 736
TREASURY BI;; YIELD CURVES AND COINTEGRATION 0 0 0 1 1 4 14 1,392
The Impact of the Use of Forecasts in Information Sets 0 0 0 5 0 13 23 59
The algebra of I (1) 0 0 1 1 0 1 11 549
The correlogram of a long memory process plus a simple noise 0 0 0 9 0 0 6 52
The impact of the use of forecasts in information sets 0 0 0 17 1 1 6 121
Time Series Analysis, Cointegration, and Applications 0 1 1 352 1 2 27 688
Time Series Analysis, Cointegration, and Applications 0 1 1 83 0 3 7 200
Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 0 1 19 591
What are we learning about the long-run? 1 1 1 11 1 1 15 57
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 1 1 9 73
Total Working Papers 5 12 46 9,303 43 138 868 44,708
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 0 0 3 9
A Cointegration Analysis of Treasury Bill Yields 1 3 8 1,083 2 7 30 2,977
A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING 0 0 0 50 1 2 13 197
A Dependence Metric for Possibly Nonlinear Processes 0 0 6 125 0 3 29 373
A Fresh Look at Wheat Prices and Markets in the Eighteenth Century 0 0 0 11 0 1 7 67
A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon 0 0 0 3 0 0 7 23
A Review of Some Recent Textbooks of Econometrics 0 0 1 143 0 0 6 422
A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu 1 1 5 678 5 8 35 1,926
A long memory property of stock market returns and a new model 3 12 77 2,942 12 38 186 6,017
A simple nonlinear time series model with misleading linear properties 0 0 1 260 0 1 14 551
A time-distance criterion for evaluating forecasting models 0 0 0 70 0 0 7 194
ACRONYMS IN TIME SERIES ANALYSIS (ATSA) 0 0 0 8 0 0 6 28
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 2 5 59 280 4 13 126 496
Advertising and Aggregate Consumption: An Analysis of Causality 0 0 0 421 0 0 29 1,404
Aggregation of space-time processes 0 0 0 273 1 2 11 676
An introduction to stochastic unit-root processes 0 0 0 382 0 1 11 868
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 1 6 23
Can We Improve the Perceived Quality of Economic Forecasts? 0 0 1 231 0 2 12 693
Causality, cointegration, and control 1 1 9 521 1 1 26 1,109
Co-integration and Error Correction: Representation, Estimation, and Testing 22 60 193 16,139 80 216 830 40,406
Co-integration and error correction: Representation, estimation, and testing 10 16 70 945 18 46 254 3,262
Combining competing forecasts of inflation using a bivariate arch model 0 1 6 189 0 2 17 460
Comments on "Forecasting economic and financial variables with global VARs" 0 0 0 19 0 1 5 86
Comments on testing economic theories and the use of model selection criteria 0 0 0 222 0 1 4 593
Comments on the evaluation of policy models 0 0 0 35 0 1 8 196
Common factors in conditional distributions for bivariate time series 0 0 0 109 2 2 11 304
Comparing forecasts of inflation using time distance 0 0 0 65 0 1 8 199
Comparing the methodologies used by statisticians and economists for research and modeling5 0 0 0 59 1 3 4 199
Consideration of Trends in Time Series 0 0 9 312 0 4 23 656
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 0 0 80 1 2 12 466
Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349] 0 0 0 18 0 0 9 127
Curriculum Vitae 0 0 0 74 0 0 3 189
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 0 1 34 3,190
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots 0 0 0 42 0 0 4 213
Efficient market hypothesis and forecasting 1 1 5 418 2 10 53 1,175
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 0 4 13 73 2,462
Evaluating significance: comments on "size matters" 0 0 0 76 0 2 11 227
Evaluation of global models 0 0 0 130 0 0 4 290
Exchange rates and fundamentals - comments 0 0 0 83 0 0 4 219
Experience with using the Box-Cox transformation when forecasting economic time series 0 0 1 186 0 0 13 589
Extracting information from mega‐panels and high‐frequency data 0 0 1 8 0 2 11 41
FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS 0 0 0 26 0 1 7 119
Fellow's opinion: Evaluating economic theory 0 0 0 37 0 1 6 194
Fisheries Management Under Cyclical Population Dynamics 0 0 0 40 0 0 15 183
Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment 0 0 0 0 0 0 8 287
Forecasting Performance of Information Criteria with Many Macro Series 0 0 0 109 0 1 7 388
Forecasting Volatility in Financial Markets: A Review 1 4 24 485 8 28 106 5,546
Forecasting stock market prices: Lessons for forecasters 0 0 1 334 0 1 6 673
Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam 0 0 0 63 0 1 3 227
Future Developments in the Study of Cointegrated Variables 0 0 0 1 0 0 7 413
Implications of Aggregation with Common Factors 0 0 1 58 0 0 4 126
Implications of seeing economic variables through an aggregation window 0 0 0 23 0 1 6 101
Interactions between large macro models and time series analysis 0 0 0 98 0 2 6 353
Interval forecasting: An analysis based upon ARCH-quantile estimators 0 0 1 218 0 1 9 503
Introducing Non-Linearity Into Cointegration 0 0 1 10 0 0 9 34
Introduction to m-m processes 0 0 0 49 0 5 13 204
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 10 32 92 4,812 39 121 443 15,072
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 1 524 0 0 23 1,295
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 0 0 7 601
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 0 0 5 197
Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment 0 0 0 0 0 1 5 140
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 1 10 173
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach 0 0 0 28 1 1 7 138
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 0 0 8 229
Long Memory Series with Attractors 0 0 0 0 0 0 3 248
Long memory relationships and the aggregation of dynamic models 0 4 14 528 3 10 40 1,063
Long-term forecasting and evaluation 0 1 3 128 1 2 16 337
MODELS THAT GENERATE TRENDS 0 0 0 0 0 0 4 13
Macroeconometrics - Past and future 0 0 1 176 0 2 11 325
Management of supply chain: an alternative modelling technique for forecasting 0 0 0 5 0 1 9 34
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 0 0 3 291 0 0 18 708
Model evaluation based on residual analysis of two similar models 0 0 0 55 0 0 9 244
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 0 0 28 1,076
Modeling, Evaluation, and Methodology in the New Century 0 0 0 86 0 1 7 339
Modelling Nonlinear Relationships between Extended-Memory Variables 0 0 1 103 0 0 12 586
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 0 0 6 90
NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 0 0 1 11 0 0 11 39
Nearer-Normality and Some Econometric Models 0 0 0 22 0 1 8 151
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? 1 1 8 443 2 2 27 825
Nonlinear stochastic trends 0 0 1 71 0 1 14 220
Nonstationarities in Stock Returns 0 0 2 339 0 2 19 761
OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS 0 0 0 41 0 0 7 111
Occasional Structural Breaks and Long Memory 0 0 0 67 0 1 13 270
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 2 3 7 289 3 8 36 643
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 1 1 4 362
On the Price Consciousness of Consumers 0 0 0 47 0 2 13 143
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 0 1 9 82
Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 0 0 0 15 0 0 5 142
Outline of forecast theory using generalized cost functions 0 1 3 379 0 4 21 1,247
POWER OF THE NEURAL NETWORK LINEARITY TEST 3 6 27 153 6 12 88 316
Practical Issues in Forecasting Volatility 0 0 0 1 0 6 15 20
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 1 4 14
Properties of nonlinear transformations of fractionally integrated processes 0 0 0 83 0 2 16 279
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY 0 0 0 82 0 1 10 251
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 0 0 6 208
Reasonable extreme-bounds analysis 0 0 0 221 1 3 14 617
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 0 1 6 909
Seasonal integration and cointegration 0 3 15 1,710 4 14 61 3,635
Separation in Cointegrated Systems and Persistent-Transitory Decompositions 0 0 0 0 0 0 6 178
Shorte-run forecasts of electricity loads and peaks 1 1 3 239 2 2 13 532
Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts 0 0 0 18 0 1 9 85
Some Properties of Absolute Return: An Alternative Measure of Risk 1 1 8 110 1 4 21 250
Some aspects of causal relationships 0 0 3 326 1 3 14 697
Some comments on risk 0 0 0 221 0 1 10 512
Some generalizations on the algebra of I(1) processes 0 0 0 79 0 1 6 231
Some properties of time series data and their use in econometric model specification 1 4 23 2,813 4 14 67 6,437
Some recent development in a concept of causality 0 0 5 1,959 2 4 33 3,954
Some thoughts on the development of cointegration 0 0 0 69 0 0 13 200
Spectral Analysis of the Term Structure of Interest Rates 0 0 0 10 2 2 11 62
Spurious Stochastics in a Short Time-Series Panel Data 0 0 0 12 0 0 2 44
Spurious regressions in econometrics 15 36 118 3,123 35 89 353 7,756
Spurious regressions with stationary series 0 0 1 331 0 2 18 850
Statistical theory of communication, by Y. W. Lee. John Wiley and Sons, New York, 1960. pp. xviii + 510 0 0 1 18 0 0 13 139
Strategies for Modelling Nonlinear Time‐Series Relationships 0 0 0 6 0 0 6 19
Structural attribution of observed volatility clustering 0 0 0 45 0 0 3 207
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence 0 0 0 121 0 1 15 414
THE RESEARCH INTERESTS OF PAUL NEWBOLD 0 0 0 35 0 1 8 145
Tendency towards normality of linear combinations of random variables 0 0 0 28 0 0 8 111
Testing for Common Features: Comment 0 0 0 0 0 1 3 122
Testing for causality: A personal viewpoint 4 4 20 1,942 7 10 54 3,554
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 2 2 633 0 2 33 1,477
The Applied Economics journals: a personal reflection 0 0 0 70 0 4 12 859
The Evolution of the Phillips Curve: A Modern Time Series Viewpoint 0 1 1 80 0 1 15 216
The Gold Sovereign Market in Greece-An Unusual Speculative Market 0 0 1 72 0 0 5 327
The Japanese consumption function 0 1 1 183 0 2 13 531
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 0 0 7 50
The combination of forecasts using changing weights 0 0 1 380 0 0 9 770
The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution 0 0 0 25 0 1 4 180
The effect of aggregation on nonlinearity 0 0 0 53 1 1 12 176
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 1 6 16
The past and future of empirical finance: some personal comments 0 0 0 84 0 0 13 238
The use of R2 to determine the appropriate transformation of regression variables 0 1 2 90 1 3 11 277
Thick modeling 0 0 1 636 0 6 17 1,563
Time Series Analysis, Cointegration, and Applications 0 1 1 656 0 2 15 1,327
Time Series Concepts for Conditional Distributions* 1 1 1 106 2 2 11 283
Time series analysis of residuals from the St. Louis model 0 1 1 30 0 1 10 155
Trends in unit energy consumption: The performance of end-use models 0 0 0 4 0 0 6 53
USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS 0 0 2 48 0 2 18 95
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 1 2 33 2,154
Useful conclusions from surprising results 0 0 1 73 0 0 16 177
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic 0 0 0 135 0 1 16 525
Varieties of long memory models 0 0 1 423 0 1 16 931
What Are We Learning about the Long-Run? 0 0 0 86 0 0 5 270
Total Journal Articles 81 209 866 55,529 262 800 4,299 157,254
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 0 1 16 155
Empirical Modeling in Economics 0 0 0 0 0 0 12 86
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 0 1 7 62
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 0 1 15 80
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 0 0 14 106
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 0 0 8 90
Forecasting Economic Time Series 1 8 40 868 5 15 110 2,206
Forecasting in Business and Economics 0 0 4 44 0 0 23 172
Modelling Non-Linear Economic Relationships 0 0 0 0 3 7 74 9,013
Modelling Nonlinear Economic Time Series 0 0 0 0 1 8 38 2,058
The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon 0 0 0 0 0 1 13 511
Total Books 1 8 44 912 9 34 330 14,539

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 0 1 9 722
Chapter 9 A Source of Long Memory in Volatility 0 0 0 3 0 0 1 11
Conjugate Processes 0 0 0 0 0 0 1 1
Forecasting and Decision Theory 1 3 5 419 4 11 40 1,573
Modeling Nonlinearity over the Business Cycle 0 1 3 153 0 1 23 355
Personal Comments on Yoon's Discussion of My 1957 Paper 0 0 0 0 0 0 5 7
Seasonality: Causation, Interpretation, and Implications 0 0 0 41 1 1 13 145
Some Comments on the Role of Time-Series Analysis in Econometrics 0 0 0 45 0 1 15 110
Time series and spectral methods in econometrics 0 0 1 500 0 2 9 1,052
Total Chapters 1 4 9 1,436 5 17 116 3,976

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