The ET interview: professor Clive Granger

[1]  Clive W. J. Granger,et al.  Forecasting white noise , 2001 .

[2]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[3]  Are Economic Variables Really Integrated of Order One , 1987 .

[4]  C. Granger,et al.  Some Generalizations on the Algebra of I(1) Processes , 1993 .

[5]  C. Granger,et al.  The Attitude of the Consumer to Prices , 1979 .

[6]  Michael P. Clements,et al.  On the limitations of comparing mean square forecast errors , 1993 .

[7]  Timo Teräsvirta,et al.  POWER OF THE NEURAL NETWORK LINEARITY TEST , 1993 .

[8]  C. Granger,et al.  Some Properties of Absolute Return, An Alternative Measure of Risk , 1995 .

[9]  Clive W. J. Granger,et al.  Long memory series with attractors , 2001 .

[10]  Some comments on emprical investigations involving cointegration , 1994 .

[11]  Clive W. J. Granger,et al.  “Infinite Variance” and Research Strategy in Time Series Analysis , 1972 .

[12]  Jesus Gonzalo,et al.  Estimation of Common Long-Memory Components in Cointegrated Systems , 1995 .

[13]  C. Granger,et al.  Can we improve the perceived quality of economic forecasts , 1996 .

[14]  C. Granger,et al.  AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING , 1980 .

[15]  Clive W. J. Granger,et al.  Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting , 1989 .

[16]  M. Craft,et al.  A CONTROLLED TRIAL OF AUTHORITARIAN AND SELF-GOVERNING REGIMES WITH ADOLESCENT PSYCHOPATHS. , 1964, The American journal of orthopsychiatry.

[17]  C. Granger.  Causality, cointegration, and control , 1988 .

[18]  C. Granger,et al.  Forecasting from non-linear models in practice , 1994 .

[19]  C. Granger.  Some Aspects of the Random walk Model of Stock Market Prices , 1968 .

[20]  A Quick Test for Serial Correlation Suitable for Use with Non-Stationary Time Series , 1963 .

[21]  C. Granger,et al.  The use of R2 to determine the appropriate transformation of regression variables , 1976 .

[22]  Clive W. J. Granger,et al.  Investigating the Relationship between Gold and Silver Prices , 1998 .

[23]  C. Granger.  Advances in Econometrics: Generating mechanisms, models, and causality , 1983 .

[24]  A. Gabor,et al.  Pricing - Principles and Practices , 1977 .

[25]  R. Ramanathan,et al.  Short-run forecasts of electricity loads and peaks , 1997 .

[26]  C. Granger,et al.  Forecasting Economic Time Series. , 1988 .

[27]  Clive W. J. Granger,et al.  A New Look at Some Old Data: The Beveridge Wheat Price Series , 1971 .

[28]  Clive W. J. Granger,et al.  Consumers’ Attitudes toward Package Size and Price , 1972 .

[29]  Clive W. J. Granger,et al.  Trends in unit energy consumption: The performance of end-use models , 1989 .

[30]  Clive W. J. Granger,et al.  Some recent developments in a concept of causality , 2001 .

[31]  C. Granger,et al.  Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests , 1993 .

[32]  C. Granger,et al.  Forecasting transformed series , 1976 .

[33]  Clive W. J. Granger,et al.  Residential load curves and time-of-day pricing: An econometric analysis , 1979 .

[34]  C. Granger,et al.  Applications of spectral analysis in econometrics , 1983 .

[35]  Clive W. J. Granger,et al.  Spectral Analysis of Short Series--A Simulation Study , 1968 .

[36]  Stochastic Trends and Short-Run Relationships between Financial Variables and Real Activity , 1993 .

[37]  J. M. Bates,et al.  The Combination of Forecasts , 1969 .

[38]  C. Granger,et al.  A Fresh Look at Wheat Prices and Markets in the Eighteenth Century , 1967 .

[39]  Eric Ghysels,et al.  Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? , 1996 .

[40]  Clive W. J. Granger,et al.  Comments on “Psychophysics of Prices” , 1971 .

[41]  C. Granger.  SOME CONSEQUENCES OF THE VALUATION MODEL WHEN EXPECTATIONS ARE TAKEN TO BE OPTIMUM FORECASTS , 1975 .

[42]  Clive W. J. Granger,et al.  Experience with using the Box-Cox transformation when forecasting economic time series , 1979 .

[43]  Timo Teräsvirta,et al.  The combination of forecasts using changing weights , 1994 .

[44]  D. Hendry,et al.  Econometric-analysis of Economic Time-series - Reply , 1983 .

[45]  C. Granger,et al.  Interval forecasting. An analysis based upon ARCH-quantile estimators , 1989 .

[46]  C. Granger,et al.  Spectral Analysis of the Term Structure of Interest Rates , 1968 .

[47]  A. A. Weiss,et al.  Semiparametric estimates of the relation between weather and electricity sales , 1986 .

[48]  C. W. J. Granger,et al.  Economic Processes Involving Feedback , 1963, Inf. Control..

[49]  Clive W. J. Granger,et al.  New Classes of Time Series Models , 1978 .

[50]  Clive W. J. Granger,et al.  Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets , 1999 .

[51]  Clive W. J. Granger,et al.  Time series modeling and interpretation , 2001 .

[52]  C. Granger,et al.  Spurious regressions in econometrics , 1974 .

[53]  C. Granger.  MODELS THAT GENERATE TRENDS , 1988 .

[54]  C. Granger.  Testing for causality: a personal viewpoint , 1980 .

[55]  Clive W. J. Granger,et al.  The Effect of Price on Choice: A Theoretical and Empirical Investigation , 1971 .

[56]  C. Granger.  Some properties of time series data and their use in econometric model specification , 1981 .

[57]  Clive W. J. Granger,et al.  Forecasting in Business and Economics. , 1981 .

[58]  Clive W. J. Granger,et al.  A Cointegration Analysis of Treasury Bill Yields , 1992 .

[59]  Clive W. J. Granger,et al.  Spectral analysis of New York stock market prices , 1963 .

[60]  C. Granger.  Aggregation of time series variables-a survey , 1988 .

[61]  Clive W. J. Granger,et al.  Prediction with a generalized cost of error function , 1969 .

[62]  Clive W. J. Granger,et al.  Developments in the study of cointegrated economic variables , 2001 .

[63]  C. Granger.  ACRONYMS IN TIME SERIES ANALYSIS (ATSA) , 1982 .

[64]  R. Engle,et al.  Testing for Common Features , 1990 .

[65]  Jin-Lung Lin,et al.  Causality in the Long Run , 1995, Econometric Theory.

[66]  Positively related processes and cointegration , 1993 .

[67]  C. Granger,et al.  USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS , 1994 .

[68]  C. Granger,et al.  Modeling volatility persistence of speculative returns: A new approach , 1996 .

[69]  Clive W. J. Granger,et al.  What Are We Learning about the Long-Run? , 1992 .

[70]  Clive W. J. Granger,et al.  Implications of seeing economic variables through an aggregation window , 1993 .

[71]  C. Granger,et al.  Varieties of long memory models , 1996 .

[72]  C. Granger.  Some Comments on the Role of Time-Series Analysis in Econometrics , 1980 .

[73]  C. Granger,et al.  THE RANDOM-WALK HYPOTHESIS OF STOCK MARKET BEHAVIOR† , 1964 .

[74]  Clive W. J. Granger,et al.  Long-Run Economic Relationships: Readings in Cointegration , 1991 .

[75]  Clive W. J. Granger.  Aspects of the Analysis and Interpretation of Temporal and Spatial Data , 1975 .

[76]  Byung Sam Yoo,et al.  Seasonal integration and cointegration , 1990 .

[77]  Clive W. J. Granger,et al.  Predictability of Stock Market Prices. , 1971 .

[78]  Clive W. J. Granger,et al.  Non-linear time series modeling , 2001 .

[79]  Clive W. J. Granger,et al.  Comments on testing economic theories and the use of model selection criteria , 1995 .

[80]  Clive W. J. Granger,et al.  Forecasting stock market prices: Lessons for forecasters , 1992 .

[81]  C. Granger,et al.  Ownership and acquisition of consumer durables: report on the Nottingham consumer durables project , 1972 .

[82]  Clive W. J. Granger,et al.  TIME SERIES AND SPECTRAL METHODS IN ECONOMETRICS , 1984 .

[83]  Clive W. J. Granger.  Implications of Aggregation with Common Factors , 1987 .

[84]  C. Granger,et al.  Econometric forecasting: A brief survey of current and future techniques , 1987 .

[85]  Clive W. J. Granger,et al.  Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence , 1995 .

[86]  A. H. Murphy,et al.  EVALUATION OF FORECASTS , 1994 .

[87]  C. Granger,et al.  The Pricing of New Products , 1979 .

[88]  C. Granger,et al.  Price Sensitivity of the Consumer , 1979 .

[89]  Clive W. J. Granger,et al.  Developments in the Nonlinear Analysis of Economic Series , 1991 .

[90]  C. Granger,et al.  Time series analysis of residuals from the St. Louis model , 1979 .

[91]  Paul Newbold,et al.  The time series approach to econometric model building , 2001 .

[92]  Richard Schmalensee,et al.  Advertising and aggregate consumption: an analysis of causality , 1980 .

[93]  Clive W. J. Granger,et al.  Modelling nonlinear relationships between extended-memory variables , 1995 .

[94]  C. Granger.  Causality Testing in a Decision Science , 1988 .

[95]  Clive W. J. Granger,et al.  NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES , 1991 .

[96]  C. Granger.  Long memory relationships and the aggregation of dynamic models , 1980 .

[97]  Norman R. Swanson,et al.  Further developments in the study of cointegrated variables , 2010 .

[98]  C. Granger.  Tendency towards normality of linear combinations of random variables , 1976 .

[99]  C. Granger,et al.  A long memory property of stock market returns and a new model , 1993 .

[100]  Clive W. J. Granger,et al.  Combining competing forecasts of inflation using a bivariate arch model , 1984 .

[101]  Clive W. J. Granger,et al.  An Introduction to Time-Varying Parameter Cointegration , 1991 .

[102]  C. Granger.  A Statistical Model for Sunspot Activity. , 1957 .

[103]  Clive W. J. Granger,et al.  The effect of aggregation on nonlinearity , 1999 .

[104]  Comments on the evaluation of policy models , 1991 .

[105]  C. Granger,et al.  Spectral Analysis for Economic Time Series , 1964 .

[106]  Norman R. Swanson,et al.  Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions , 1997 .

[107]  H. R. Neave,et al.  A Quick Test for Slippage , 1968 .

[108]  Clive W. J. Granger,et al.  The billing cycle and weather variables in models of electricity sales , 1984 .

[109]  C. Granger,et al.  On the invertibility of time series models , 1978 .

[110]  Clive W. J. Granger,et al.  On the Price Consciousness of Consumers , 1961 .

[111]  Henry R. Neave,et al.  A Monte Carlo Study Comparing Various Two-Sample Tests for Differences in Mean , 1968 .

[112]  Clive W. J. Granger,et al.  The typical spectral shape of an economic variable , 1966 .