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Co-integration and error correction: representation, estimation and testing

- R. Engle, C. Granger
- Mathematics
- 1 March 1987

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… Expand

Investigating causal relations by econometric models and cross-spectral methods

- C. Granger
- Mathematics
- 2001

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… Expand

The Combination of Forecasts

- J. M. Bates, C. Granger
- Economics, History
- 1 December 1969

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… Expand

Investigating Causal Relations by Econometric Models and Cross-Spectral Methods

- C. Granger
- Mathematics
- 1 August 1969

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… Expand

A long memory property of stock market returns and a new model

- Zhuanxin Ding, C. Granger, R. Engle
- Economics
- 1 June 1993

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… Expand

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

- C. Granger, Roselyne Joyeux
- Mathematics
- 1980

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… Expand

Estimation of Common Long-Memory Components in Cointegrated Systems

- J. Gonzalo, C. Granger
- Computer Science
- 1995

TLDR

Spurious regressions in econometrics

- C. Granger, P. Newbold
- Economics
- 1 July 1974

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… Expand

Some properties of time series data and their use in econometric model specification

- C. Granger
- Mathematics
- 1 May 1981

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… Expand

Modelling Nonlinear Economic Relationships

- C. Granger, T. Teräsvirta
- Mathematics
- 1 December 1995

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… Expand

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