Clive W J Granger
Biographic Data
| ID | 749519 |
|---|---|
| NAME | Clive W J Granger |
| GIVEN NAMES | Clive W J |
| FAMILY NAME | Granger |
| SIGNATURE | GRANGER C W J |
| AFFILIATIONS | University of California San Diego |
| VERIFIED | No |
| TOTAL WORKS | 32 |
| TOTAL CITATIONS | 56 |
| AUTHOR COUNT | 32 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1964 |
| LATEST PUBLICATION YEAR | 2011 |
| H-INDEX | 4 |
The Evolution of the Phillips Curve
Phillips' (1958) original curve involves a nonlinear relationship between inflation and unemployment. We consider how his original results change due to updated theoretic and empirical studies, increased computer power, enlarged datasets, increases in data frequency and developed time series econometric models. In the linear models, there was weak causation from unemployment to inflation. Rather than using any of the many nonlinear models that ar…
Nonstationarities in Stock Returns
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach approximates the nonstationary data locally by stationary models. The methodology is applied to the S&P 500 series of returns covering a period of over seve…
[Real and Spurious Long-Memory Properties of Stock-Market Data]
Travail des femmes et mariage
Grossbard-Shechtman S., Granger C.W.J. Travail des femmes et mariage: du baby-boom au baby-bust. In: Population, 53e année, n°4, 1998. pp. 731-752
On Modelling the Long Run in Applied Economics
Journal Article On Modelling the Long Run in Applied Economics Get access Clive W. J. Granger Clive W. J. Granger University of California, San Diago Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 107, Issue 440, 1 January 1997, Pages 169–177, https://doi.org/10.1111/1468-0297.00150 Published: 01 January 1997
[Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?]
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process
We investigate whether seasonal-adjustment procedures are, at least approximately, linear data transformations. This question was initially addressed by Young and is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and rely on simulation evidence, involving linear unobserved component autoregressive integrated moving average models. We define a set of prope…
Estimation of Common Long-Memory Components in Cointegrated Systems
The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every subsystem and then analyze cointegration among them. In this article, a new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variab…
Modelling Nonlinear Economic Relationships
This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyse relationships between different variables, over time, such as the relationship between variables in a macroeconomy. Examples from Professor Teräsvirta's empirical work are given. Professors Granger and Teräsvirta are leading exponents of techniques of dynamic, multivar…
A long memory property of stock market returns and a new model
[Testing for Common Features]
What are We Learning About the Long-Run
Journal Article What are We Learning About the Long-Run? Get access Clive W. J. Granger Clive W. J. Granger University of California, San Diego Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 103, Issue 417, 1 March 1993, Pages 307–317, https://doi.org/10.2307/2234769 Published: 01 March 1993
A Cointegration Analysis of Treasury Bill Yields
This paper shows that yields to maturity of U.S. Treasury bills are cointegrated, and that during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors.This cointegrating relationship implies that a single non-stationary common factor underlies the time series behavior of each yield to maturity and that risk premia are stationary.An error…
Modelling Economic Series
Part I: Introduction to Part I: Edward E. Leamer: Let's take con out of econometrics Michael McAleer, Adrian R. Pagan & Paul A. Volker: What will take the con out of econometrics Trevor S. Breusch: Simplified extreme bounds Adrian R. Pagan, Paul A. Volker, Thomas F. Cooley & Stephen F. LeRoy: What will take the con out of econometrics: A reply to McAleer Edward E. Leamer: Sensitivity analysis would help Adrian Pagan: Three econometric methodologi…
Some recent development in a concept of causality
Developments in the Study of Cointegrated Economic Variables
[Forecasting Accuracy of Alternative Techniques
C. W. J. Granger, [Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 1 (Jan., 1986), pp. 16-17
[Issues Involved with the Seasonal Adjustment of Economic Time Series]
Some properties of time series data and their use in econometric model specification
Long memory relationships and the aggregation of dynamic models
An Introduction to Long‐memory Time Series Models and Fractional Differencing
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 series is generated with distinctive properties, particularly in the very low frequencies and provides potentially useful long‐memory forecasting properties. Such models are shown to possibly arise from aggregation of independent components. Generation and est…
Testing for causality
Spurious regressions in econometrics
Credit Rationing and the Commercial Loan-Market
Journal Article Jaffee (D. M.). Credit Rationing and the Commercial Loan-Market Get access Credit Rationing and the Commercial Loan-Market. By Dwight M. Jaffee. (New York: John Wiley and Sons, Inc., 1971. Pp. xiv + 183. £440.) C. W. J. Granger C. W. J. Granger University of Nottingham Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 82, Issue 326, 1 June 1972, Pages 758–759, https://doi.org/10.…
Predictability of Stock Market Prices
Journal Article Granger (C. W. J.) and Morgenstern (O.). Predictability of Stock Market Prices. Get access Predictability of Stock Market Prices. By C. W. J. Granger and O. Morgenstern. (Lexington, Massachusetts: Heath Lexington, 1970. Pp. xxiii + 303. $15.00.) G. H. Lawson G. H. Lawson Manchester Business School Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 81, Issue 323, 1 September 1971, …
Credit Rationing and the Commercial Loan-Market
Journal Article Jaffee (D. M.). Credit Rationing and the Commercial Loan-Market Get access Credit Rationing and the Commercial Loan-Market. By Dwight M. Jaffee. (New York: John Wiley and Sons, Inc., 1971. Pp. xiv + 183. £440.) C. W. J. Granger C. W. J. Granger University of Nottingham Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 82, Issue 326, 1 June 1972, Pages 758–759, https://doi.org/10.…
A Fresh Look at Wheat Prices and Markets in the Eighteenth Century
Predictability of Stock Market Prices
Journal Article Granger (C. W. J.) and Morgenstern (O.). Predictability of Stock Market Prices. Get access Predictability of Stock Market Prices. By C. W. J. Granger and O. Morgenstern. (Lexington, Massachusetts: Heath Lexington, 1970. Pp. xxiii + 303. $15.00.) G. H. Lawson G. H. Lawson Manchester Business School Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 81, Issue 323, 1 September 1971, …
Price as an Indicator of Quality
I. Introduction It is generally accepted that price may enter into the determination of consumers' choice in two ways: as an indicator of cost and as an indicator of quality. Contemporary demand theory rests heavily on the first of these two functions while the second tends to be treated as if it were an exceptional and anomalous phenomenon, to be mentioned only in order to be dismissed as unimportant. Indeed, it is of considerable analytical con…
On Modelling the Long Run in Applied Economics
Journal Article On Modelling the Long Run in Applied Economics Get access Clive W. J. Granger Clive W. J. Granger University of California, San Diago Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 107, Issue 440, 1 January 1997, Pages 169–177, https://doi.org/10.1111/1468-0297.00150 Published: 01 January 1997
What are We Learning About the Long-Run
Journal Article What are We Learning About the Long-Run? Get access Clive W. J. Granger Clive W. J. Granger University of California, San Diego Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 103, Issue 417, 1 March 1993, Pages 307–317, https://doi.org/10.2307/2234769 Published: 01 March 1993
The Evolution of the Phillips Curve
Phillips' (1958) original curve involves a nonlinear relationship between inflation and unemployment. We consider how his original results change due to updated theoretic and empirical studies, increased computer power, enlarged datasets, increases in data frequency and developed time series econometric models. In the linear models, there was weak causation from unemployment to inflation. Rather than using any of the many nonlinear models that ar…
Fiscal Policy Models of the British Economy
Journal Article E. T. Balopoulos. Fiscal Policy Models of the British Economy Get access Fiscal Policy Models of the British Economy. Contributions to Economic Analysis 47. By E. T. Balopoulos. (Amsterdam: North-Holland, 1967. Pp. xviii + 299. 100s.) C. W. J. Granger C. W. J. Granger Nottingham Universit Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 78, Issue 310, 1 June 1968, Pages 410–412,…
A controlled trial of authoritarian and self-governing regimes with adolescent psychopaths
Within Balderton Hospital, two units treating psychopathic adolescents admitted alternately a consecutive series of 50 convicted youths. One unit practiced a self-governing group therapy regime, the other a firm, paternalistic and sympathetic approach. On the basis of follow-up indexes of reconviction, readmission and clinical well-being, the former did slightly but significantly worse than the latter
Price as an Indicator of Quality
I. Introduction It is generally accepted that price may enter into the determination of consumers' choice in two ways: as an indicator of cost and as an indicator of quality. Contemporary demand theory rests heavily on the first of these two functions while the second tends to be treated as if it were an exceptional and anomalous phenomenon, to be mentioned only in order to be dismissed as unimportant. Indeed, it is of considerable analytical con…
Spectral Analysis of Economic Time Series
The description for this book, Spectral Analysis of Economic Time Series. (PSME-1), will be forthcoming
A Fresh Look at Wheat Prices and Markets in the Eighteenth Century
Fiscal Policy Models of the British Economy
Journal Article E. T. Balopoulos. Fiscal Policy Models of the British Economy Get access Fiscal Policy Models of the British Economy. Contributions to Economic Analysis 47. By E. T. Balopoulos. (Amsterdam: North-Holland, 1967. Pp. xviii + 299. 100s.) C. W. J. Granger C. W. J. Granger Nottingham Universit Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 78, Issue 310, 1 June 1968, Pages 410–412,…
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 mean-square error than either of the original forecasts. Past errors of each of the original forecasts are used to determine the weights to attach to these two original forecasts in forming the combined forecasts, and different methods of deriving these weights…
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 feedback are proposed and illustrated by use of simple two-variable models. The important problem of apparent instantaneous causality is discussed and it is suggested that the problem often arises due to slowness in recording information or because a s…
Predictability of Stock Market Prices
Journal Article Granger (C. W. J.) and Morgenstern (O.). Predictability of Stock Market Prices. Get access Predictability of Stock Market Prices. By C. W. J. Granger and O. Morgenstern. (Lexington, Massachusetts: Heath Lexington, 1970. Pp. xxiii + 303. $15.00.) G. H. Lawson G. H. Lawson Manchester Business School Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 81, Issue 323, 1 September 1971, …
Credit Rationing and the Commercial Loan-Market
Journal Article Jaffee (D. M.). Credit Rationing and the Commercial Loan-Market Get access Credit Rationing and the Commercial Loan-Market. By Dwight M. Jaffee. (New York: John Wiley and Sons, Inc., 1971. Pp. xiv + 183. £440.) C. W. J. Granger C. W. J. Granger University of Nottingham Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 82, Issue 326, 1 June 1972, Pages 758–759, https://doi.org/10.…
Spurious regressions in econometrics
Long memory relationships and the aggregation of dynamic models
An Introduction to Long‐memory Time Series Models and Fractional Differencing
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 series is generated with distinctive properties, particularly in the very low frequencies and provides potentially useful long‐memory forecasting properties. Such models are shown to possibly arise from aggregation of independent components. Generation and est…
Testing for causality
Some properties of time series data and their use in econometric model specification
[Issues Involved with the Seasonal Adjustment of Economic Time Series]
Developments in the Study of Cointegrated Economic Variables
[Forecasting Accuracy of Alternative Techniques
C. W. J. Granger, [Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 1 (Jan., 1986), pp. 16-17
Some recent development in a concept of causality
Modelling Economic Series
Part I: Introduction to Part I: Edward E. Leamer: Let's take con out of econometrics Michael McAleer, Adrian R. Pagan & Paul A. Volker: What will take the con out of econometrics Trevor S. Breusch: Simplified extreme bounds Adrian R. Pagan, Paul A. Volker, Thomas F. Cooley & Stephen F. LeRoy: What will take the con out of econometrics: A reply to McAleer Edward E. Leamer: Sensitivity analysis would help Adrian Pagan: Three econometric methodologi…
A Cointegration Analysis of Treasury Bill Yields
This paper shows that yields to maturity of U.S. Treasury bills are cointegrated, and that during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors.This cointegrating relationship implies that a single non-stationary common factor underlies the time series behavior of each yield to maturity and that risk premia are stationary.An error…
Modelling Nonlinear Economic Relationships
This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyse relationships between different variables, over time, such as the relationship between variables in a macroeconomy. Examples from Professor Teräsvirta's empirical work are given. Professors Granger and Teräsvirta are leading exponents of techniques of dynamic, multivar…
A long memory property of stock market returns and a new model
[Testing for Common Features]
What are We Learning About the Long-Run
Journal Article What are We Learning About the Long-Run? Get access Clive W. J. Granger Clive W. J. Granger University of California, San Diego Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 103, Issue 417, 1 March 1993, Pages 307–317, https://doi.org/10.2307/2234769 Published: 01 March 1993
Estimation of Common Long-Memory Components in Cointegrated Systems
The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every subsystem and then analyze cointegration among them. In this article, a new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variab…
Economics (25 works) · Econometrics (23 works) · Mathematics (21 works) · Statistics (20 works) · Computer Science (13 works) · Complex Systems and Time Series Analysis (11 works) · Monetary Policy and Economic Impact (9 works) · Series (stratigraphy) (8 works) · Financial Risk and Volatility Modeling (6 works) · Market Dynamics and Volatility (5 works)