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 0 220 1 1 2 499
A Decision_Theoretic Approach to Forecast Evaluation 0 0 0 0 1 2 3 1,062
A Dependence Metric for Nonlinear Time Series 0 0 1 311 0 0 2 550
A simple nonlinear time series model with misleading linear properties 0 0 0 20 1 6 7 1,220
Aggregation of Space-Time Processes 0 0 1 321 2 2 4 780
Aggregation of time series variables-a survey 0 5 10 672 4 12 25 2,175
Aggregationn of Space-Time Processes 0 0 0 13 4 4 6 89
An introduction to stochastic Unit Root Processes 0 0 0 4 3 3 5 1,436
Autobiography 0 0 0 87 0 0 2 203
Causality: Some New Thoughts on an Old Topic 0 0 0 7 2 2 7 1,003
Comments on Testing Economic Theories and the Use of Model Selection Criteria 0 0 0 0 0 0 0 0
Comments on the evaluation of policy models 0 0 0 44 0 0 1 334
Common Factors in Conditional Distributions 0 0 0 7 1 1 1 54
Common factors in conditional distributions 0 0 0 223 2 6 6 1,084
Common factors in conditional distributions for Bivariate time series 0 0 0 240 2 4 5 611
Common factors in conditional distributions for Bivariate time series 0 0 1 1 3 6 10 10
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 0 2 2 110 1 5 5 469
Economic and Statistical Measures of Forecast Accuracy 0 0 1 1,795 1 2 9 5,809
Efficient Market Hypothesis and Forecasting 0 1 6 1,253 4 6 19 3,397
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 6 6 8 20 1,854
Extracting Information from Mega-Panels and High-Frequency Data 0 0 0 41 0 0 2 179
Fisheries Management Under Cyclical Population Dynamics 0 0 0 24 2 2 2 72
Further Developments in the Study of Cointegrated Variables 0 0 0 0 3 3 4 367
Hidden Cointegration 0 0 7 530 2 6 33 1,073
Hidden Cointegration 0 0 2 103 2 4 17 353
Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions 0 0 0 1 4 4 13 561
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 0 0 0 148 1 1 3 487
Introduction to M-M Processes 0 0 1 12 1 2 3 68
Investigating the relationship between gold and silver prices 0 0 5 21 5 9 19 86
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 1 2 3 1,924
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 1 1 2 283
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 1 1 2 513
Modeling Amazon Deforestation for Policy Purposes 0 0 0 267 1 2 5 778
Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk 0 0 0 23 0 0 1 95
Non-stationarities in stock returns 0 0 3 786 2 4 12 1,510
Occasional Structural Breaks and Long Memory 0 0 0 44 1 1 2 137
Properties of Nonlinear Transformations of Fractionally Integrated Processes 0 0 0 11 5 5 5 70
Properties of nonlinear transformations of fractionally integrated processes 0 0 0 4 2 6 7 55
Reasonable extreme bounds analysis 0 0 0 365 1 5 8 1,424
Regime Sensitive Cointegration with an Application to Interest rate Parity 0 0 0 0 3 5 10 1,645
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 2 8 18 1,407
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 4 6 16 1,317
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 1 2 2 1,468
Self-Generating Variables in a Cointegrated VAR Framework 0 0 0 12 2 2 3 74
Some Generalizations on the Algebra of I(1) Processes 0 0 0 0 1 3 6 221
Spurious Regressions with Stationary Series 0 0 2 64 2 2 5 138
Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity 0 0 1 99 0 5 8 615
Strategies for Modelling Nonlinear Time Series Relationships 0 0 0 0 0 0 0 0
Structurally-Induced Volatility Clustering 0 0 0 20 1 1 1 68
Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence 0 0 0 0 2 4 5 734
TREASURY BI;; YIELD CURVES AND COINTEGRATION 0 0 0 1 3 4 5 1,382
The Impact of the Use of Forecasts in Information Sets 0 0 0 5 0 0 0 36
The algebra of I (1) 0 0 0 0 1 2 6 540
The correlogram of a long memory process plus a simple noise 0 0 1 9 1 1 3 47
The impact of the use of forecasts in information sets 0 0 1 17 1 2 4 117
Time Series Analysis, Cointegration, and Applications 0 0 1 351 2 6 7 667
Time Series Analysis, Cointegration, and Applications 0 0 1 82 1 1 4 194
Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 4 9 16 581
What are we learning about the long-run? 0 0 1 10 5 5 6 47
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 7 65
Total Working Papers 0 8 48 9,265 110 197 414 44,037
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 1 3 5 9
A Cointegration Analysis of Treasury Bill Yields 2 3 8 1,078 6 11 24 2,958
A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING 0 0 0 50 1 1 1 185
A Dependence Metric for Possibly Nonlinear Processes 0 1 4 120 1 4 9 348
A Fresh Look at Wheat Prices and Markets in the Eighteenth Century 0 0 0 11 0 1 1 61
A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon 0 0 0 3 1 2 4 18
A Review of Some Recent Textbooks of Econometrics 0 1 2 143 1 2 4 418
A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu 1 2 5 675 3 12 26 1,903
A long memory property of stock market returns and a new model 2 10 54 2,875 9 29 131 5,860
A simple nonlinear time series model with misleading linear properties 0 0 0 259 3 3 7 540
A time-distance criterion for evaluating forecasting models 0 0 0 70 0 3 3 190
ACRONYMS IN TIME SERIES ANALYSIS (ATSA) 0 0 0 8 0 1 4 23
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 9 15 48 236 20 31 91 401
Advertising and Aggregate Consumption: An Analysis of Causality 0 0 0 421 4 17 21 1,392
Aggregation of space-time processes 0 0 3 273 1 3 7 668
An introduction to stochastic unit-root processes 0 0 0 382 1 3 6 860
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 1 3 1 1 3 18
Can We Improve the Perceived Quality of Economic Forecasts? 0 0 0 230 3 6 10 687
Causality, cointegration, and control 0 2 9 514 1 6 18 1,089
Co-integration and Error Correction: Representation, Estimation, and Testing 17 37 99 15,983 77 201 492 39,777
Co-integration and error correction: Representation, estimation, and testing 11 27 63 902 39 90 263 3,098
Combining competing forecasts of inflation using a bivariate arch model 1 1 2 184 1 5 6 448
Comments on "Forecasting economic and financial variables with global VARs" 0 0 0 19 1 2 3 83
Comments on testing economic theories and the use of model selection criteria 0 0 0 222 0 0 1 589
Comments on the evaluation of policy models 0 0 0 35 0 0 0 188
Common factors in conditional distributions for bivariate time series 0 0 0 109 1 4 6 297
Comparing forecasts of inflation using time distance 0 0 0 65 0 1 2 192
Comparing the methodologies used by statisticians and economists for research and modeling5 0 0 1 59 0 0 1 195
Consideration of Trends in Time Series 0 5 11 308 0 8 19 641
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 0 0 80 1 4 5 458
Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349] 0 0 0 18 1 2 2 120
Curriculum Vitae 0 0 0 74 0 0 0 186
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 0 1 483
Developments in the Study of Cointegrated Economic Variables 0 0 0 26 6 9 22 3,165
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots 0 0 0 42 0 1 2 210
Efficient market hypothesis and forecasting 1 2 8 415 5 11 42 1,133
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 0 12 20 36 2,409
Evaluating significance: comments on "size matters" 0 0 1 76 1 1 2 217
Evaluation of global models 0 0 0 130 1 1 2 287
Experience with using the Box-Cox transformation when forecasting economic time series 0 0 0 185 6 7 10 583
Extracting information from mega‐panels and high‐frequency data 0 0 0 7 0 1 2 31
FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS 0 0 1 26 0 0 2 112
Fellow's opinion: Evaluating economic theory 0 0 0 37 2 2 3 190
Fisheries Management Under Cyclical Population Dynamics 0 0 1 40 5 6 10 174
Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment 0 0 0 0 2 4 12 283
Forecasting Performance of Information Criteria with Many Macro Series 0 0 0 109 1 1 2 382
Forecasting Volatility in Financial Markets: A Review 2 12 27 473 12 35 94 5,475
Forecasting stock market prices: Lessons for forecasters 0 0 7 333 0 0 9 667
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 0 0 224
Future Developments in the Study of Cointegrated Variables 0 0 0 1 1 3 4 409
Implications of Aggregation with Common Factors 0 1 1 58 0 2 4 124
Implications of seeing economic variables through an aggregation window 0 0 0 23 0 1 1 96
Interactions between large macro models and time series analysis 0 0 0 98 1 1 1 348
Interval forecasting: An analysis based upon ARCH-quantile estimators 0 0 1 217 2 3 6 497
Introducing Non-Linearity Into Cointegration 1 1 2 10 1 3 4 28
Introduction to m-m processes 0 0 2 49 1 1 3 192
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 5 17 46 4,737 47 115 280 14,744
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 0 523 4 9 15 1,281
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 1 2 6 596
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 0 0 2 192
Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment 0 0 0 0 0 0 1 135
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 1 50 0 1 2 164
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach 0 0 1 28 0 2 6 133
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 1 79 0 2 4 223
Long Memory Series with Attractors 0 0 0 0 0 1 3 246
Long memory relationships and the aggregation of dynamic models 0 3 12 517 2 5 21 1,028
Long-term forecasting and evaluation 0 0 1 125 0 0 2 321
MODELS THAT GENERATE TRENDS 0 0 0 0 1 1 1 10
Macroeconometrics - Past and future 0 1 2 176 1 3 6 317
Management of supply chain: an alternative modelling technique for forecasting 0 0 0 5 1 1 4 26
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 0 1 5 289 1 5 11 695
Model evaluation based on residual analysis of two similar models 0 0 1 55 1 2 5 237
Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development 0 0 0 1 2 2 4 6
Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development 0 0 0 7 2 2 3 56
Modeling volatility persistence of speculative returns: A new approach 2 2 7 522 4 6 21 1,054
Modeling, Evaluation, and Methodology in the New Century 0 0 0 86 2 2 5 334
Modelling Nonlinear Relationships between Extended-Memory Variables 1 1 2 103 1 2 3 576
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 2 37 1 2 5 86
NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 0 0 2 10 2 4 11 32
Nearer-Normality and Some Econometric Models 0 0 0 22 0 4 4 147
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? 2 3 8 438 5 10 24 808
Nonlinear stochastic trends 0 1 1 71 1 4 6 210
Nonstationarities in Stock Returns 1 2 5 339 1 5 15 747
OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS 0 0 1 41 0 0 4 104
Occasional Structural Breaks and Long Memory 0 0 3 67 0 1 8 258
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 1 1 3 283 5 9 19 616
On Model Approximation for Long-Memory Processes: A Cautionary Result 0 0 0 20 0 1 2 157
On Modelling the Long Run in Applied Economics 0 0 0 115 0 0 0 358
On the Price Consciousness of Consumers 0 0 1 47 2 4 11 134
On the invertibility of time series models 0 0 0 37 1 2 4 154
On the properties of forecasts used in optimal economic policy decisions 0 0 0 22 1 1 1 74
Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 0 0 1 15 0 2 3 139
Outline of forecast theory using generalized cost functions 0 2 8 378 1 5 13 1,231
POWER OF THE NEURAL NETWORK LINEARITY TEST 2 7 36 133 9 18 67 246
Practical Issues in Forecasting Volatility 0 0 1 1 3 3 7 8
Predictive Consequences of Using Conditioning or Causal Variables 0 0 0 25 1 3 5 90
Preface: Some Thoughts on the Future of Forecasting 0 0 2 5 0 1 4 11
Properties of nonlinear transformations of fractionally integrated processes 0 0 0 83 2 4 5 267
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY 0 0 1 82 1 3 5 244
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 0 0 5 202
Reasonable extreme-bounds analysis 0 0 1 221 2 5 8 608
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 3 4 4 907
Seasonal integration and cointegration 1 3 33 1,698 6 11 58 3,585
Separation in Cointegrated Systems and Persistent-Transitory Decompositions 0 0 0 0 3 4 4 176
Shorte-run forecasts of electricity loads and peaks 0 0 3 236 1 3 8 522
Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts 0 0 1 18 2 2 3 78
Some Properties of Absolute Return: An Alternative Measure of Risk 1 2 8 104 1 4 19 233
Some aspects of causal relationships 2 2 8 325 4 5 17 688
Some comments on risk 0 0 1 221 2 5 6 507
Some generalizations on the algebra of I(1) processes 0 0 0 79 1 1 5 226
Some properties of time series data and their use in econometric model specification 6 11 28 2,801 10 19 47 6,389
Some recent development in a concept of causality 2 3 11 1,957 3 9 31 3,930
Some thoughts on the development of cointegration 0 0 0 69 3 4 8 191
Spectral Analysis of the Term Structure of Interest Rates 0 0 1 10 1 2 4 53
Spurious Stochastics in a Short Time-Series Panel Data 0 0 1 12 1 1 4 43
Spurious regressions in econometrics 8 30 94 3,035 30 91 219 7,494
Spurious regressions with stationary series 0 1 5 331 2 7 15 839
Statistical theory of communication, by Y. W. Lee. John Wiley and Sons, New York, 1960. pp. xviii + 510 0 1 2 18 0 2 5 128
Strategies for Modelling Nonlinear Time‐Series Relationships 0 0 1 6 1 2 4 15
Structural attribution of observed volatility clustering 0 0 0 45 0 0 2 204
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence 0 0 0 121 3 5 6 404
THE RESEARCH INTERESTS OF PAUL NEWBOLD 0 0 0 35 1 1 2 138
Tendency towards normality of linear combinations of random variables 0 0 0 28 1 2 3 105
Testing for Common Features: Comment 0 0 0 0 0 1 2 120
Testing for causality: A personal viewpoint 1 7 30 1,929 4 20 64 3,520
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 0 5 631 4 12 23 1,456
The Applied Economics journals: a personal reflection 0 0 0 70 2 2 3 849
The Evolution of the Phillips Curve: A Modern Time Series Viewpoint 0 0 0 79 3 5 7 206
The Gold Sovereign Market in Greece-An Unusual Speculative Market 0 1 2 72 1 2 5 324
The Japanese consumption function 0 0 1 182 3 3 6 521
The Present and Future of Empirical Finance 0 0 0 0 2 2 4 4
The billing cycle and weather variables in models of electricity sales 0 0 1 7 1 2 3 45
The combination of forecasts using changing weights 0 1 1 380 1 3 4 764
The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution 0 0 0 25 0 0 0 176
The effect of aggregation on nonlinearity 0 0 0 53 2 4 7 168
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 1 10
The past and future of empirical finance: some personal comments 0 0 0 84 2 3 5 228
The use of R2 to determine the appropriate transformation of regression variables 0 0 0 88 1 3 14 269
Thick modeling 0 1 4 636 2 3 10 1,549
Time Series Analysis, Cointegration, and Applications 0 0 1 655 0 3 5 1,315
Time Series Concepts for Conditional Distributions* 0 0 1 105 1 2 4 274
Time series analysis of residuals from the St. Louis model 0 0 0 29 2 3 6 148
Trends in unit energy consumption: The performance of end-use models 0 0 0 4 0 0 0 47
USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS 0 0 5 46 2 6 14 83
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 3 8 16 2,129
Useful conclusions from surprising results 0 0 0 72 0 3 3 164
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic 0 0 0 135 2 3 5 512
Varieties of long memory models 0 0 0 422 3 7 9 922
What Are We Learning about the Long-Run? 0 0 0 86 1 2 6 267
Total Journal Articles 82 224 764 54,804 466 1,109 2,790 153,849
4 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 4 8 143
Empirical Modeling in Economics 0 0 0 0 3 3 5 77
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 1 1 4 83
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 2 6 9 71
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 0 0 1 55
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 0 2 4 94
Forecasting Economic Time Series 5 13 58 841 20 37 166 2,133
Forecasting in Business and Economics 2 3 8 43 8 12 34 161
Modelling Non-Linear Economic Relationships 0 0 0 0 11 26 83 8,965
Modelling Nonlinear Economic Time Series 0 0 0 0 2 10 30 2,030
The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon 0 0 0 0 4 6 13 504
Total Books 7 16 66 884 53 107 357 14,316

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 1 275 0 1 5 714
Chapter 9 A Source of Long Memory in Volatility 0 0 0 3 0 0 2 10
Conjugate Processes 0 0 0 0 0 0 0 0
Forecasting and Decision Theory 0 0 8 414 0 5 18 1,538
Modeling Nonlinearity over the Business Cycle 0 1 1 151 0 5 7 337
Personal Comments on Yoon's Discussion of My 1957 Paper 0 0 0 0 1 1 2 3
Seasonality: Causation, Interpretation, and Implications 0 0 3 41 1 4 12 136
Some Comments on the Role of Time-Series Analysis in Econometrics 0 0 0 45 0 0 2 95
Time series and spectral methods in econometrics 0 1 2 500 2 3 11 1,046
Total Chapters 0 2 15 1,429 4 19 59 3,879

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Statistics updated 2026-01-09