C W J Granger
Biographic Data
| ID | 3713438 |
|---|---|
| NAME | C W J Granger |
| GIVEN NAMES | C W J |
| FAMILY NAME | Granger |
| SIGNATURE | GRANGER C W J |
| AFFILIATIONS | University of California San Diego |
| VERIFIED | No |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1990 |
| LATEST PUBLICATION YEAR | 2006 |
| H-INDEX | 0 |
Handbook of economic forecasting
Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates
This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey–Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey–Fuller test. …
Long-run economic relationships
Seasonal integration and cointegration
No prominent works on this page.
Seasonal integration and cointegration
Long-run economic relationships
Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates
This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey–Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey–Fuller test. …
Handbook of economic forecasting
Autoregressive model (2 works) · Cointegration (2 works) · Econometric models (2 works) · Econometrics (2 works) · Economic Theory and Policy (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Statistics (2 works) · Unit root (2 works) · Cointegration (1 work)