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Co-integration and error correction: representation, estimation and testing
The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of
Investigating causal relations by econometric models and cross-spectral methods
There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring. Testable definitions of causality and
The Combination of Forecasts
Two separate sets of forecasts of airline passenger data have been combined to form a composite set of forecasts. The main conclusion is that the composite set of forecasts can yield lower
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring. Testable definitions of causality and
A long memory property of stock market returns and a new model
Abstract A ‘long memory’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
Abstract. The idea of fractional differencing is introduced in terms of the infinite filter that corresponds to the expansion of (1-B)d. When the filter is applied to white noise, a class of time
Estimation of Common Long-Memory Components in Cointegrated Systems
TLDR
A new way of estimating common long-memory components of a cointegrated system is proposed by imposing that they be linear combinations of the original variables Xt , and that the error-correction terms do not cause the common factors at low frequencies.
Spurious regressions in econometrics
It is very common to see reported in applied econometric literature time series regression equations with an apparently high degree of fit, as measured by the coefficient of multiple correlation R2
Some properties of time series data and their use in econometric model specification
It is well known that time-series analysts have a rather different approach to the analysis of economic data than does the remainder of the econometric profession. One aspect of this difference is
Modelling Nonlinear Economic Relationships
Basic concepts general models and tools for analysis nonlinear models in economic theory particular nonlinear multivariate models long memory models linearity testing building nonlinear models
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