The Nobel Memorial Prize for Clive W. J. Granger
2004; Wiley; Volume: 106; Issue: 2 Linguagem: Inglês
10.1111/j.0347-0520.2004.00361.x
ISSN1467-9442
Autores Tópico(s)Economic theories and models
ResumoThe Scandinavian Journal of EconomicsVolume 106, Issue 2 p. 187-213 The Nobel Memorial Prize for Clive W. J. Granger David F. Hendry, David F. Hendry Oxford University, Oxford OX1 1NF, England [email protected] Prepared at the invitation of the Scandinavian Journal of Economics. Financial support from the UK Economic and Social Research Council under a Professional Research Fellowship, RES 015 270035, is gratefully acknowledged. I am indebted to Timo Teräsvirta for his invaluable inputs to the paper, and to Gunner Bårdsen, Mike Clements, James Davidson, Jesus Gonzalo, Eilev Jansen, Søren Johansen, Katarina Juselius, Michael Massmann, Grayham Mizon, John Muellbauer, Bent Nielsen, Ragnar Nymoen, Peter Phillips, Duo Qin, Neil Shephard and Ken Wallis for helpful comments on an earlier draft.Search for more papers by this author David F. Hendry, David F. Hendry Oxford University, Oxford OX1 1NF, England [email protected] Prepared at the invitation of the Scandinavian Journal of Economics. Financial support from the UK Economic and Social Research Council under a Professional Research Fellowship, RES 015 270035, is gratefully acknowledged. I am indebted to Timo Teräsvirta for his invaluable inputs to the paper, and to Gunner Bårdsen, Mike Clements, James Davidson, Jesus Gonzalo, Eilev Jansen, Søren Johansen, Katarina Juselius, Michael Massmann, Grayham Mizon, John Muellbauer, Bent Nielsen, Ragnar Nymoen, Peter Phillips, Duo Qin, Neil Shephard and Ken Wallis for helpful comments on an earlier draft.Search for more papers by this author First published: 16 August 2004 https://doi.org/10.1111/j.0347-0520.2004.00361.xCitations: 29 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat References Aitken, A. C. 1935 ), On Least Square and Linear Combination of Observations, Proceedings of the Royal Society of Edinburgh 55, 42 – 48. Anderson, T. W. and Rubin, H. 1949 ), Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations, Annals of Mathematical Statistics 20, 46 – 63. Aneuryn-Evans, G. B. and Savin, N. E. 1981 ), Testing for Unit Roots: 1, Econometrica 49, 753 – 779. Aneuryn-Evans, G. B. and Savin, N. E. 1984 ), Testing for Unit Roots: 2, Econometrica 52, 1241 – 1269. Bates, J. M. and Granger, C. W. J. 1969 ), The Combination of Forecasts, Operations Research Quarterly 20, 451 – 468; reprinted in T. C. Mills (ed.)(1999), Economic Forecasting, Edward Elgar, Cheltenham. Bewley, R., Orden, D., Yang, M. and Fisher, L. A. 1994 ), Comparison of Box–Tiao and Johansen Canonical Estimators of Cointegrating Vectors in VEC (1) Models, Journal of Econometrics 64, 3 – 27. Box, G. E. P. and Jenkins, G. M. 1970 ), Time Series Analysis, Forecasting and Control, Holden-Day, San Francisco, CA. Box, G. E. P. and Tiao, G. C. 1977 ), A Canonical Analysis of Multiple Time Series, Biometrika 64, 355 – 365. Cooper, J. P. 1972 ), The Predictive Performance of Quarterly Economic Models of the United States, in B. G. Hickman (ed.), Econometric Models of Cyclical Behaviour, No. 36 in NBER Studies in Income and Wealth, Columbia University Press, New York, NY, 813 – 947. Davidson, J. E. H., Hendry, D. F., Srba, F. and Yeo, J. S. 1978 ), Econometric Modelling of the Aggregate Time-series Relationship between Consumers' Expenditure and Income in the United Kingdom, Economic Journal 88, 661 – 692; reprinted in D. F. Hendry (1993), (2000)op. cit. Dickey, D. A. and Fuller, W. A. 1979 ), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association 74, 427 – 431. Dickey, D. A. and Fuller, W. A. 1981 ), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrics 49, 1057 – 1072. Ding, Z. and Granger, C. W. J. 1996 ), Modeling Volatility Persistence of Speculative Returns: A New Approach, Journal of Econometrics 73, 185 – 215. Ding, Z., Granger, C. W. J. and Engle, R. F. 1993 ), A Long Memory Property of Stock Market Returns and a New Model, Journal of Empirical Finance 1, 83 – 106. Dolado, J. J., Jenkinson, T. and Sosvilla-Rivero, S. 1990 ), Cointegration and Unit Roots, Journal of Economic Surveys 4, 249 – 273. Doornik, J. A. and Hendry, D. F. 2001 ), Interactive Monte Carlo Experimentation in Econometrics using PcNaive, Timberlake Consultants Press, London. Durbin, J. and Watson, G. S. 1950 ), Testing for Serial Correlation in Least Squares Regression I, Biometrika 37, 409 – 428. Durbin, J. and Watson, G. S. 1951 ), Testing for Serial Correlation in Least Squares Regression II, Biometrika 38, 159 – 178. Enders, W. and Granger, C. W. J. 1998 ), Unit-root Tests and Asymmetric Adjustment with an Example using the Term Structure of Interest Rates, Journal of Business and Economic Statistics 16, 304 – 311. Engle, R. F. and Granger, C. W. J. 1987 ), Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica 55, 251 – 276. Engle, R. F. and Granger, C. W. J. (eds.) ( 1991 ), Long-run Economic Relationships, Oxford University Press, Oxford. Engle, R. F., Hendry, D. F. and Richard, J.-F. 1983 ), Exogeneity, Econometrica 51, 277 – 304; reprinted in D. F. Hendry (1993), (2000)op. cit. and in N. R. Ericsson and J. S. Irons (eds.)(1994), Testing Exogeneity, Oxford University Press, Oxford. Engle, R. F. and White, H. (eds.) ( 1999 ), Cointegration, Causality and Forecasting, Oxford University Press, Oxford. Fisher, F. M. 1962 ), A Priori Information and Time Series Analysis, North-Holland, Amsterdam. Fuller, W. A. 1976 ), Introduction to Statistical Time Series, John Wiley, New York. Ghysels, E., Swanson, N. R. and Watson, M. W. (eds.) ( 2001 ), Essays in Econometrics. Collected Papers of Clive W. J. Granger. 2 Volumes, Cambridge University Press, Cambridge. Gonzalo, J. and Granger, C. W. J. 1995 ), Estimation of Common Long Memory Components in Cointegrated Systems, Journal of Business and Economic Statistics 13, 27 – 35. Granger, C. W. J. 1964 ), in association with M. Hatanaka, Spectral Analysis of Economic Time Series, Princeton University Press, Princeton, NJ. Granger, C. W. J. 1966 ), The Typical Spectral Shape of an Economic Variable, Econometrica 34, 150 – 161. Granger, C. W. J. 1969 ), Investigating Causual Relations by Econometric Models and Cross-spectral Methods, Econometrica 37, 424 – 438. Granger, C. W. J. 1980 ), Long Memory Relationships and the Aggregation of Dynamic Models, Journal of Econometrics 14, 227 – 238. Granger, C. W. J. 1981 ), Some Properties of Time Series Data and their Use in Econometric Model Specification, Journal of Econometrics 16, 121 – 130. Granger, C. W. J. 1983 ), Forecasting White Noise, in A. Zellner (ed.), Applied Time Series Analysis of Economic Data, Bureau of the Census, Washington, DC, 308 – 314. Granger, C. W. J. 1986 ), Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics 48, 213 – 228. Granger, C. W. J. 1996 ), Introducing Nonlinearity into Cointegration, Revista de Econometria 16, 25 – 36. Granger, C. W. J. 1999 ), Empirical Modeling in Economics: Specification and Evaluation, Cambridge University Press, Cambridge. Granger, C. W. J. 2001 ), Evaluation of Forecasts, in D. F. Hendry and N. R. Ericsson (eds.), Understanding Economic Forecasts, MIT Press, Cambridge, MA, 93 – 103. Granger, C. W. J. and Andersen, A. P. 1978 ), Introduction to Bilinear Time Series Models, Vandenhoeck & Ruprecht, Göttingen. Granger, C. W. J. and Deutsch, M. 1992 ), Comments on the Evaluation of Policy Models, Journal of Policy Modeling 14, 497 – 516. Granger, C. W. J. and Ding, Z. 1995 ), Some Properties of Absolute Returns: An Alternative Measure of Risk, Annales d'Économie et de Statistique 40, 67 – 91. Granger, C. W. J. and Joyeux, R. 1980 ), An Introduction to Long Memory Time Series Models and Fractional Differencing, Journal of Time Series Analysis 1, 15 – 30. Granger, C. W. J. and Lee, T.-H. 1989 ), Investigation of Production, Sales and Inventory Relationships using Multicointegration and Non-symmetric Error Correction Models, Journal of Applied Econometrics 4, 145 – 159. Granger, C. W. J. and Lee, T.-H. 1991 ), Multicointegration, in R. F. Engle and C. W. J. Granger (eds.), Long-run Economic Relationships, Oxford University Press, Oxford, 179 – 190. Granger, C. W. J. and Morgenstern, O. 1963 ), Spectral Analysis of New York Stock Market Prices. Kyklos 16, 1 – 27; reprinted in P. H. Cootner (ed.) (1964), The Random Character of Stock Market Prices, MIT Press, Cambridge, MA. Granger, C. W. J. and Morgenstern, O. 1970 ), Predictability of Stock Market Prices, D. C. Heath, Lexington, MA. Granger, C. W. J. and Newbold, P. 1973 ), Some Comments on the Evaluation of Economic Forecasts, Applied Economics 5, 35 – 47; reprinted in T. C. Mills (ed.)(1999), Economic Forecasting, Edward Elgar, Cheltenham. Granger, C. W. J. and Newbold, P. 1974 ), Spurious Regressions in Econometrics, Journal of Econometrics 2, 111 – 120. Granger, C. W. J. and Newbold, P. 1975 ), Economic Forecasting: The Atheist's Viewpoint, in G. A. Renton (ed.), Modelling the Economy, Heinemann Educational, London. Granger, C. W. J. and Newbold, P. 1977a ), Forecasting Economic Time Series, Academic Press, New York. Granger, C. W. J. and Newbold, P. 1977b ), The Time Series Approach to Econometric Model Building, in C. A. Sims (ed.), New Methods in Business Cycle Research, Federal Reserve Bank, Minneapolis, MN, 7 – 21. Granger, C. W. J. and Pesaran, M. H. 2000a ), A Decision-theoretic Approach to Forecast Evaluation, in W. S. Chon, W. K. Li and H. Tong (eds.), Statistics and Finance: An Interface, Imperial College Press, London, 261 – 278. Granger, C. W. J. and Pesaran, M. H. 2000b ), Economic and Statistical Measures of Forecasting Accuracy, Journal of Forecasting 19, 537 – 560. Granger, C. W. J. and Sin, C.-Y. 2000 ), Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk, Journal of Forecasting 19, 277 – 298. Granger, C. W. J. and Swanson, N. R. 1995 ), Further Developments in the Study of Cointegrated Variables, Oxford Bulletin of Economics and Statistics 58, 537 – 553. Granger, C. W. J. and Swanson, N. R. 1997 ), An Introduction to Stochastic Unit-root Processes, Journal of Econometrics 80, 35 – 62. Granger, C. W. J. and Teräsvirta, T. 1993 ), Modelling Nonlinear Economic Relationships, Oxford University Press, Oxford. Granger, C. W. J. and Weiss, A. A. 1983 ), Time series analysis of error-correction models, in S. Karlin, T. Amemiya and L. A. Goodman (eds.), Studies in Econometrics, Time Series, and Multivariate Statistics, Academic Press, New York, 255 – 278. Haavelmo, T. 1944 ), The Probability Approach in Econometrics, Econometrica 12, Supplement, 1 – 118. Hendry, D. F. 1977 ), On the Time Series Approach to Econometric Model Building, in C. A. Sims (ed.), New Methods in Business Cycle Research, Federal Reserve Bank, Minneapolis, MN, 183 – 202; reprinted in D. F. Hendry (1993), (2000)op. cit. Hendry, D. F. 1980 ), Econometrics: Alchemy or Science?, Economica 47, 387 – 406; reprinted in D. F. Hendry (1993), (2000)op. cit. Hendry, D. F. (1993), 2000 ), Econometrics: Alchemy or Science?, Oxford University Press, Oxford, New Edition. Hendry, D. F. and Anderson, G. J. 1977 ), Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behaviour in the United Kingdom, in M. D. Intriligator (ed.), Frontiers in Quantitative Economics, Vol. 3, North-Holland, Amsterdam, 361 – 383; reprinted in D. F. Hendry (1993), (2000)op. cit. Hendry, D. F. and Juselius, K. 2000 ), Explaining Cointegration Analysis: Part I, Energy Journal 21, 1 – 42. Hendry, D. F. and Juselius, K. 2001 ), Explaining Cointegration Analysis: Part II, Energy Journal 22, 75 – 120. Hendry, D. F. and Mizon, G. E. 1978 ), Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England, Economic Journal 88, 549 – 563; reprinted in D. F. Hendry (1993), (2000)op. cit. Hendry, D. F. and Mizon, G. E. 1999 ), The Pervasiveness of Granger Causality in Econometrics, in R. F. Engle and H. White (eds.), Cointegration, Causality and Forecasting, Oxford University Press, Oxford. Hendry, D. F. and Morgan, M. S. 1995 ), The Foundations of Econometric Analysis, Cambridge University Press, Cambridge. Hendry, D. F. and Richard, J.-F. 1983 ), The Econometric Analysis of Economic Time Series (with Discussion), International Statistical Review 51, 111 – 163; reprinted in D. F. Hendry (1993), (2000)op. cit. Hooker, R. H. 1901 ), Correlation of the Marriage Rate with Trade, Journal of the Royal Statistical Society 64, 485 – 492; reprinted in D. F. Hendry and M. S. Morgan (1995)op. cit. Hoover, K. D. 2001 ), Causality in Macroeconomics, Cambridge University Press, Cambridge. Hylleberg, S., Engle, R. F., Granger, C. W. J. and Yoo, B. S. 1990 ), Seasonal Integration and Cointegration, Journal of Econometrics 44, 215 – 238. Johansen, S. 1988 ), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control 12, 231 – 254; reprinted in R. F. Engle and C. W. J. Granger (1991)op. cit. Johansen, S. 1995a ), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford. Johansen, S. 1995b ), The Role of Ancillarity in Inference for Nonstationary Variables, Economic Journal 105, 302 – 320. Johansen, S. 1995c ), A Statistical Analysis of Cointegration for I(2) Variables, Econometric Theory 11, 25 – 59. Johansen, S. 2000 ), Modelling of Cointegration in the Vector Autoregressive Model, Economic Modelling 17, 359 – 373. Keynes, J. M. 1940 ), Comment, Economic Journal 50, 154 – 156; reprinted in D. F. Hendry and M. S. Morgan (1995)op. cit. Klein, L. R. 1953 ), A Textbook of Econometrics, Row, Peterson & Co., Evanston, IL. Labys, W. C. and Granger, C. W. J. 1970 ), Speculation, Hedging and Forecasts of Commodity Prices, Heath & Co., London. Leeson, R. (ed.) ( 2000 ), A. W. H. Phillips: Collected Works in Contemporary Perspective, Cambridge University Press, Cambridge. Makridakis, S. and Hibon, M. 2000 ), The M3-competition: Results, Conclusions and Implications, International Journal of Forecasting 16, 451 – 476. Mills, T. C. (ed.) ( 1999 ), Economic Forecasting, 2 vols., Edward Elgar, Cheltenham. Morgan, M. S. 1990 ), The History of Econometric Ideas, Cambridge University Press, Cambridge. Nelson, C. R. 1972 ), The Prediction Performance of the FRB–MIT–PENN Model of the US Economy, American Economic Review 62, 902 – 917; reprinted in T. C. Mills (ed.), (1999)op. cit. Orcutt, G. H. and Cochrane, D. 1949 ), A Sampling Study of the Merits of Autoregressive and Reduced Form Transformations in Regression Analysis, Journal of the American Statistical Association 44, 356 – 372. Park, J. Y. and Phillips, P. C. B. 1988 ), Statistical Inference in Regressions with Integrated Processes. Part 1, Econometric Theory 4, 468 – 497. Park, J. Y. and Phillips, P. C. B. 1989 ), Statistical Inference in Regressions with Integrated Processes. Part 2, Econometric Theory 5, 95 – 131. Phillips, A. W. H. 1954 ), Stabilization Policy in a Closed Economy, Economic Journal 64, 290 – 333; reprinted in R. Leeson (ed.) (2000)op. cit. Phillips, A. W. H. 1957 ), Stabilization Policy and the Time Form of Lagged Response, Economic Journal 67, 265 – 277; reprinted in R. Leeson (ed.)(2000)op. cit. Phillips, P. C. B. 1986 ), Understanding Spurious Regressions in Econometrics, Journal of Econometrics 33, 311 – 340. Phillips, P. C. B. 1987 ), Time Series Regression with a Unit Root, Econometrica 55, 277 – 301. Phillips, P. C. B. 1997 ), The ET Interview: Professor Clive Granger, Econometric Theory 13, 253 – 303. Phillips, P. C. B. 1998 ), New Tools for Understanding Spurious Regressions, Econometrica 66, 1299 – 1325. Phillips, P. C. B. and Hansen, B. E. 1990 ), Statistical Inference in Instrumental Variable Regression with I(1) Processes, Review of Economic Studies 57, 99 – 125. Qin, D. 1993 ), The Formation of Econometrics: A Historical Perspective, Clarendon Press, Oxford. Qin, D. and Gilbert, C. L. 2001 ), The Error Term in the History of Time Series Econometrics, Econometric Theory 17, 424 – 450. Rahbek, A., Kongsted, H. C. and Jørgensen, C. 1999 ), Trend-stationarity in the I(2) Cointegration Model, Journal of Econometrics 90, 265 – 289. Rydberg, T. H. and Shephard, N. 2003 ), Dynamics of Trade-by-trade Price Movements: De-composition and Models, Journal of Financial Econometrics 1, 2 – 25. Saikkonen, P. 1991 ), Asymptotically Efficient Estimation of Cointegration Regressions, Econometric Theory 7, 1 – 21. Sargan, J. D. 1964 ), Wages and Prices in the United Kingdom: A Study in Econometric Methodology (with Discussion), in P. E. Hart, G. Mills and J. K. Whitaker (eds.), Econometric Analysis for National Economic Planning, Vol. 16 of Colston Papers, Butterworth Co., London, 25 – 63; reprinted in D. F. Hendry and K. F. Wallis (eds.)(1984), Econometrics and Quantitative Economics, Basil Blackwell, Oxford 275–314, and in J. D. Sargan (1988), Contributions to Econometrics, Vol. 1, Cambridge University Press, Cambridge, 124 – 169. Sims, C. A. 1972 ), Money, Income and Causality, American Economic Review 62, 540 – 552. Sims, C. A. (ed.) ( 1977 ), New Methods in Business Cycle Research, Federal Reserve Bank, Minneapolis, MN. Sims, C. A., Stock, J. H. and Watson, M. W. 1990 ), Inference in Linear Time Series Models with some Unit Roots, Econometrica 58, 113 – 144. Stock, J. H. 1987 ), Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors, Econometrica 55, 1035 – 1056. Stock, J. H. and Watson, M. W. 1988 ), Testing for Common Trends, Journal of the American Statistical Association 83, 1097 – 1107. Stock, J. H. and Watson, M. W. 1999 ), A Comparison of Linear and Nonlinear Models for Forecasting Macroeconomic Time Series, in R. F. Engle and H. White (eds.), Cointegration, Cansality and Forecasting, Oxford University Press, Oxford, 1 – 44. Stone, J. R. N. 1966 ), Spending and Saving in Relation to Income and Wealth, L'industria 4, 471 – 499. Tinbergen, J. 1940 ), Statistical Testing of Business-cycle Theories. Vol. 1: A Method and its Application to Investment Activity, League of Nations, Geneva; Reprinted in D. F. Hendry and M. S. Morgan (1995)op. cit. Wold, H. O. A. 1938 ), A Study in the Analysis of Stationary Time Series, Almqvist & Wicksell, Stockholm. Wold, H. O. A. 1952 ), Demand Analysis: A Study in Econometrics, Almqvist & Wicksell, Stockholm. Yule, G. U. 1897 ), On the Theory of Correlation, Journal of the Royal Statistical Society 60, 812 – 838. Yule, G. U. 1926 ), Why Do We Sometimes Get Nonsense-correlations between Time-series? A Study in Sampling and the Nature of Time Series (with Discussion), Journal of the Royal Statistical Society 89, 1 – 64; reprinted in D. F. Hendry and M. S. Morgan (1995)op. cit. Citing Literature Volume106, Issue2June 2004Pages 187-213 ReferencesRelatedInformation
Referência(s)