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 0 0 2 497
A Decision_Theoretic Approach to Forecast Evaluation 0 0 0 0 0 0 1 1,059
A Dependence Metric for Nonlinear Time Series 0 0 1 310 0 0 1 548
A simple nonlinear time series model with misleading linear properties 0 0 0 20 0 0 2 1,214
Aggregation of Space-Time Processes 1 1 2 321 1 1 2 777
Aggregation of time series variables-a survey 1 2 7 664 2 4 21 2,158
Aggregationn of Space-Time Processes 0 0 0 13 0 0 0 83
An introduction to stochastic Unit Root Processes 0 0 0 4 0 1 1 1,432
Autobiography 0 0 0 87 0 0 3 203
Causality: Some New Thoughts on an Old Topic 0 0 0 7 0 1 5 999
Comments on the evaluation of policy models 0 0 1 44 0 0 2 333
Common Factors in Conditional Distributions 0 0 0 7 0 0 0 53
Common factors in conditional distributions 0 0 0 223 0 0 0 1,078
Common factors in conditional distributions for Bivariate time series 0 0 0 240 0 0 1 607
Common factors in conditional distributions for Bivariate time series 0 1 1 1 1 2 3 3
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 0 0 0 108 0 0 1 464
Economic and Statistical Measures of Forecast Accuracy 0 0 1 1,795 1 2 10 5,806
Efficient Market Hypothesis and Forecasting 0 1 4 1,249 1 4 11 3,385
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 6 2 3 12 1,840
Extracting Information from Mega-Panels and High-Frequency Data 0 0 0 41 1 1 2 178
Fisheries Management Under Cyclical Population Dynamics 0 0 0 24 0 0 0 70
Further Developments in the Study of Cointegrated Variables 0 0 0 0 0 0 1 364
Hidden Cointegration 0 0 4 103 0 4 26 349
Hidden Cointegration 0 2 6 527 3 16 32 1,063
Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions 0 0 0 1 0 3 13 556
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 0 0 0 148 0 1 3 486
Introduction to M-M Processes 0 1 1 12 0 1 1 66
Investigating the relationship between gold and silver prices 1 2 5 19 1 2 10 73
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 0 0 1 1,922
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 0 0 1 282
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 0 0 1 512
Modeling Amazon Deforestation for Policy Purposes 0 0 0 267 0 0 3 776
Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk 0 0 0 23 0 0 3 95
Non-stationarities in stock returns 0 0 2 785 0 1 6 1,502
Occasional Structural Breaks and Long Memory 0 0 2 44 0 0 4 135
Properties of Nonlinear Transformations of Fractionally Integrated Processes 0 0 0 11 0 0 0 65
Properties of nonlinear transformations of fractionally integrated processes 0 0 0 4 0 0 0 48
Reasonable extreme bounds analysis 0 0 0 365 0 0 2 1,418
Regime Sensitive Cointegration with an Application to Interest rate Parity 0 0 0 0 1 3 4 1,639
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 0 2 9 1,396
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 1 2 11 1,308
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 0 0 1 1,466
Self-Generating Variables in a Cointegrated VAR Framework 0 0 0 12 0 0 1 72
Some Generalizations on the Algebra of I(1) Processes 0 0 0 0 0 1 5 218
Spurious Regressions with Stationary Series 1 1 3 64 1 1 5 135
Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity 0 0 0 98 0 0 0 607
Structurally-Induced Volatility Clustering 0 0 0 20 0 0 0 67
Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence 0 0 0 0 0 0 0 729
TREASURY BI;; YIELD CURVES AND COINTEGRATION 0 0 0 1 1 1 3 1,378
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 0 3 5 538
The correlogram of a long memory process plus a simple noise 0 0 0 8 0 0 2 45
The impact of the use of forecasts in information sets 0 0 0 16 0 0 1 114
Time Series Analysis, Cointegration, and Applications 0 0 1 350 0 0 7 660
Time Series Analysis, Cointegration, and Applications 0 0 1 81 0 1 3 192
Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 0 3 9 570
What are we learning about the long-run? 0 0 0 9 0 0 0 41
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 0 2 7 62
Total Working Papers 4 11 42 9,238 17 66 260 43,772
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 1 5
A Cointegration Analysis of Treasury Bill Yields 0 3 8 1,074 1 8 16 2,943
A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING 0 0 0 50 0 0 1 184
A Dependence Metric for Possibly Nonlinear Processes 0 0 4 118 0 0 6 341
A Fresh Look at Wheat Prices and Markets in the Eighteenth Century 0 0 0 11 0 0 0 60
A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon 0 0 0 3 0 0 2 16
A Review of Some Recent Textbooks of Econometrics 0 0 0 141 0 0 1 415
A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu 1 1 7 673 1 7 24 1,887
A long memory property of stock market returns and a new model 5 18 59 2,847 17 41 121 5,793
A simple nonlinear time series model with misleading linear properties 0 0 0 259 0 0 6 536
A time-distance criterion for evaluating forecasting models 0 0 0 70 0 0 0 187
ACRONYMS IN TIME SERIES ANALYSIS (ATSA) 0 0 0 8 1 1 2 21
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 3 11 42 213 10 23 64 352
Advertising and Aggregate Consumption: An Analysis of Causality 0 0 3 421 2 2 7 1,375
Aggregation of space-time processes 2 2 2 272 2 3 4 664
An introduction to stochastic unit-root processes 0 0 0 382 0 1 2 855
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 1 1 3 0 1 2 17
Can We Improve the Perceived Quality of Economic Forecasts? 0 0 2 230 1 2 5 679
Causality, cointegration, and control 1 3 13 511 2 5 26 1,081
Co-integration and Error Correction: Representation, Estimation, and Testing 10 31 117 15,931 36 108 417 39,477
Co-integration and error correction: Representation, estimation, and testing 1 13 66 863 15 60 280 2,960
Combining competing forecasts of inflation using a bivariate arch model 0 0 0 182 0 0 2 442
Comments on "Forecasting economic and financial variables with global VARs" 0 0 0 19 0 0 2 81
Comments on testing economic theories and the use of model selection criteria 0 0 2 222 1 1 7 589
Comments on the evaluation of policy models 0 0 0 35 0 0 1 188
Common factors in conditional distributions for bivariate time series 0 0 0 109 0 1 3 293
Comparing forecasts of inflation using time distance 0 0 0 65 0 0 0 190
Comparing the methodologies used by statisticians and economists for research and modeling5 0 1 4 59 0 1 5 195
Consideration of Trends in Time Series 0 2 6 302 1 4 12 630
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 0 0 80 0 0 0 453
Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349] 0 0 1 18 0 0 1 118
Curriculum Vitae 0 0 1 74 0 0 1 186
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 1 3 483
Developments in the Study of Cointegrated Economic Variables 0 0 0 26 0 4 19 3,154
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots 0 0 0 42 0 0 1 209
Efficient market hypothesis and forecasting 0 2 10 411 1 11 34 1,111
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 0 2 5 23 2,386
Evaluating significance: comments on "size matters" 0 1 1 76 0 1 1 216
Evaluation of global models 0 0 0 130 0 0 3 286
Exchange rates and fundamentals - comments 0 0 0 82 0 0 0 214
Experience with using the Box-Cox transformation when forecasting economic time series 0 0 0 185 1 2 3 575
Extracting information from mega‐panels and high‐frequency data 0 0 0 7 1 1 1 30
FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS 0 0 0 25 0 0 1 111
Fellow's opinion: Evaluating economic theory 0 0 0 37 0 0 1 187
Fisheries Management Under Cyclical Population Dynamics 1 1 1 40 1 1 2 166
Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment 0 0 0 0 1 4 7 277
Forecasting Performance of Information Criteria with Many Macro Series 0 0 0 109 1 1 1 381
Forecasting Volatility in Financial Markets: A Review 4 7 21 460 7 19 54 5,416
Forecasting stock market prices: Lessons for forecasters 0 3 6 331 1 4 8 665
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 1 224
Future Developments in the Study of Cointegrated Variables 0 0 0 1 0 1 1 406
Implications of Aggregation with Common Factors 0 0 1 57 0 0 1 120
Implications of seeing economic variables through an aggregation window 0 0 0 23 0 0 1 95
Interactions between large macro models and time series analysis 0 0 0 98 0 0 0 347
Interval forecasting: An analysis based upon ARCH-quantile estimators 0 0 2 217 0 0 3 492
Introducing Non-Linearity Into Cointegration 0 0 0 8 0 0 1 24
Introduction to m-m processes 0 0 0 47 0 0 0 189
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 0 5 59 4,710 18 48 264 14,573
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 2 523 1 3 9 1,271
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 1 2 5 594
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 1 1 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 0 49 0 0 0 162
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach 0 1 1 28 0 2 5 129
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 78 0 0 1 219
Long Memory Series with Attractors 0 0 0 0 0 0 1 244
Long memory relationships and the aggregation of dynamic models 2 5 9 511 3 8 25 1,018
Long-term forecasting and evaluation 0 0 0 124 0 0 2 320
MODELS THAT GENERATE TRENDS 0 0 0 0 0 0 0 9
Macroeconometrics - Past and future 0 1 1 175 0 1 2 313
Management of supply chain: an alternative modelling technique for forecasting 0 0 0 5 0 0 2 23
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 0 2 4 288 0 4 10 690
Model evaluation based on residual analysis of two similar models 0 0 1 54 0 0 3 232
Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development 0 0 0 7 0 0 1 54
Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development 0 0 0 1 0 0 1 3
Modeling volatility persistence of speculative returns: A new approach 0 0 4 516 0 2 18 1,041
Modeling, Evaluation, and Methodology in the New Century 0 0 0 86 1 1 2 331
Modelling Nonlinear Relationships between Extended-Memory Variables 0 0 1 102 0 0 2 574
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 1 4 36 0 1 9 83
NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 1 1 1 9 2 3 7 27
Nearer-Normality and Some Econometric Models 0 0 0 22 0 0 1 143
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? 0 1 5 432 1 4 23 793
Nonlinear stochastic trends 0 0 0 70 0 1 1 205
Nonstationarities in Stock Returns 0 1 1 335 2 4 7 739
OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS 0 0 0 40 0 0 1 101
Occasional Structural Breaks and Long Memory 1 1 1 65 1 1 3 252
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 0 1 4 282 1 3 9 601
On Model Approximation for Long-Memory Processes: A Cautionary Result 0 0 0 20 0 1 1 156
On Modelling the Long Run in Applied Economics 0 0 0 115 0 0 0 358
On the Price Consciousness of Consumers 0 0 4 46 0 3 14 127
On the invertibility of time series models 0 0 0 37 0 1 3 152
On the properties of forecasts used in optimal economic policy decisions 0 0 0 22 0 0 1 73
Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 0 0 0 14 0 0 1 136
Outline of forecast theory using generalized cost functions 2 3 6 375 2 3 8 1,225
POWER OF THE NEURAL NETWORK LINEARITY TEST 4 9 39 118 7 17 60 212
Practical Issues in Forecasting Volatility 0 1 1 1 0 2 5 5
Predictive Consequences of Using Conditioning or Causal Variables 0 0 0 25 0 0 1 86
Preface: Some Thoughts on the Future of Forecasting 0 0 1 4 0 0 2 9
Properties of nonlinear transformations of fractionally integrated processes 0 0 1 83 1 1 3 263
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY 0 0 0 81 0 0 1 240
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 2 2 5 201
Reasonable extreme-bounds analysis 0 0 0 220 0 0 2 601
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 0 0 0 903
Seasonal integration and cointegration 0 5 31 1,683 3 14 58 3,558
Separation in Cointegrated Systems and Persistent-Transitory Decompositions 0 0 0 0 0 0 1 172
Shorte-run forecasts of electricity loads and peaks 0 0 3 234 0 1 5 516
Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts 0 0 1 18 0 0 1 76
Some Properties of Absolute Return: An Alternative Measure of Risk 1 2 14 100 1 5 24 223
Some aspects of causal relationships 1 2 5 320 1 2 13 679
Some comments on risk 0 0 0 220 0 0 1 501
Some generalizations on the algebra of I(1) processes 0 0 0 79 0 2 3 223
Some properties of time series data and their use in econometric model specification 0 4 27 2,786 3 8 55 6,363
Some recent development in a concept of causality 0 1 11 1,950 2 4 30 3,912
Some thoughts on the development of cointegration 0 0 2 69 1 1 5 184
Spectral Analysis of the Term Structure of Interest Rates 0 1 1 10 0 1 3 51
Spurious Stochastics in a Short Time-Series Panel Data 0 0 0 11 0 0 3 41
Spurious regressions in econometrics 9 31 59 2,983 17 58 143 7,357
Spurious regressions with stationary series 0 0 7 328 0 1 18 830
Statistical theory of communication, by Y. W. Lee. John Wiley and Sons, New York, 1960. pp. xviii + 510 0 0 3 17 1 1 6 125
Strategies for Modelling Nonlinear Time‐Series Relationships 0 0 0 5 0 0 0 11
Structural attribution of observed volatility clustering 0 0 1 45 0 0 2 202
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence 0 0 0 121 0 0 2 399
THE RESEARCH INTERESTS OF PAUL NEWBOLD 0 0 0 35 0 0 1 137
Tendency towards normality of linear combinations of random variables 0 0 0 28 0 0 1 102
Testing for Common Features: Comment 0 0 0 0 0 0 0 118
Testing for causality: A personal viewpoint 2 7 40 1,917 6 17 68 3,487
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 2 4 7 630 4 7 19 1,441
The Applied Economics journals: a personal reflection 0 0 1 70 0 0 2 847
The Evolution of the Phillips Curve: A Modern Time Series Viewpoint 0 0 0 79 0 0 1 199
The Gold Sovereign Market in Greece-An Unusual Speculative Market 0 0 2 71 0 0 4 321
The Japanese consumption function 0 0 3 182 0 1 5 518
The Present and Future of Empirical Finance 0 0 0 0 0 1 2 2
The billing cycle and weather variables in models of electricity sales 0 0 2 7 0 0 5 43
The combination of forecasts using changing weights 0 0 2 379 1 1 5 761
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 0 0 1 162
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 0 1 2 224
The use of R2 to determine the appropriate transformation of regression variables 0 0 0 88 0 0 13 266
Thick modeling 1 1 7 634 2 3 11 1,544
Time Series Analysis, Cointegration, and Applications 0 0 4 655 0 0 7 1,311
Time Series Concepts for Conditional Distributions* 0 0 3 104 0 0 5 271
Time series analysis of residuals from the St. Louis model 0 0 1 29 0 0 2 143
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 9 45 0 0 13 74
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 0 0 0 0 0 1 9 2,117
Useful conclusions from surprising results 0 0 2 72 0 0 3 161
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic 0 0 1 135 1 1 4 509
Varieties of long memory models 0 0 1 422 0 0 1 913
What Are We Learning about the Long-Run? 0 0 0 86 0 0 1 262
Total Journal Articles 54 191 780 54,485 193 574 2,274 152,384
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 0 2 72
Empirical Modeling in Economics 0 0 0 0 0 1 7 139
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 1 1 3 82
Essays in Econometrics Real Author-Name:Granger,Clive W. J 0 0 0 0 1 1 2 64
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 0 1 91
Forecasting Economic Time Series 7 26 75 822 19 67 192 2,067
Forecasting in Business and Economics 3 4 10 40 4 9 29 144
Modelling Non-Linear Economic Relationships 0 0 0 0 4 12 86 8,916
Modelling Nonlinear Economic Time Series 0 0 0 0 2 7 32 2,014
The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon 0 0 0 0 0 1 9 496
Total Books 10 30 85 862 31 99 364 14,140

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 1 1 6 713
Chapter 9 A Source of Long Memory in Volatility 0 0 0 3 0 0 2 10
Forecasting and Decision Theory 2 5 9 413 3 6 18 1,531
Modeling Nonlinearity over the Business Cycle 0 0 0 150 0 0 0 330
Personal Comments on Yoon's Discussion of My 1957 Paper 0 0 0 0 0 0 1 2
Seasonality: Causation, Interpretation, and Implications 1 1 1 39 1 5 8 129
Some Comments on the Role of Time-Series Analysis in Econometrics 0 0 0 45 1 1 1 94
Time series and spectral methods in econometrics 1 1 1 499 1 3 9 1,040
Total Chapters 4 7 12 1,424 7 16 45 3,849

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Statistics updated 2025-07-04