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This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
• Major essays of arguably the world’s leading active econometrician • Granger is internationally known, author of 1999 Press title Empirical Modeling in Economics • Topics cover key areas of econometrics and time series analysis, including causality, cointegration, and long memory
Contents
Part I. Causality: 1. Investigating causal relations by econometric models and cross-spectral methods; 2. Testing for causality; 3. Some recent developments in a concept of causality; 4. Advertising and aggregate consumption: an analysis of causality R. Ashley and R. Schmalensee; Part II. Integration and Cointegration: 5. Spurious regressions in econometrics; 6. Some properties of time series data and their use in econometric model specification; 7. Time series analysis of error correction models A. A. Weiss; 8. Co-Integration and error-correction: representation, estimation and testing; 9. Developments in the study of cointegrated economic variables; 10. Seasonal integration and cointegration S. Hylleberg, R. F. Engle and B. S. Yoo; 11. A cointegration analysis of Treasury Bill yields A. D. Hall and H. M. Anderson; 12. Estimation of common long-memory components in Cointegrated Systems J. Gonzalo; 13. Separation in cointegrated systems and persistent-transitory decompositions N. Haldrup; 14. Nonlinear transformations of Integrated Time Series J. Hallman; 15. Long Memory Series with attractors J. Hallman; 16. Further developments in the study of cointegrated variables N. R. Swanson; Part III. Long Memory: 17. An introduction to long-memory Time Series models and fractional differencing R. Joyeux; 18. Long-memory relationships and the aggregation of dynamic models; 19. A long memory property of stock market returns and a new model Z. Ding and R. F. Engle.
此书已译成中文,信息如下:
格兰杰计量经济学文集(第二卷):因果关系、单整和协整以及长期记忆(全二卷)
作者: | 格兰杰/吉塞尔/朱小斌/〔英〕格兰杰 〔美〕吉塞尔 选 朱小斌/(英)克莱夫﹒W.J.格兰杰| 译者:朱小斌 | |
出版社: | 上海财经大学 | |
出版日期: | 2007-12 内容简介(第二卷) 《格兰杰计量经济学文集》是过去四十年中时间序列计量经济学发展的广角镜。格兰杰教授对很多问题率先做了重要的开创性研究,这些研究体现为一篇又一篇的经典杰作。从中我们看到了因果关系检验、协整、季节分析、预测和非线性时间序列的发展历程。重读这些文章真的非常愉快。 ——罗伯特·恩格尔(Pobert Engle),纽约大学 格兰杰是最具创造力的现代计量经济学家之一,他对帮助我们理解因果关系、建模方法、非平稳性、季节性和预测做出了重要的贡献。一些被广泛应用的时间序列计量经济学概念就来自于他的研究成果,这是因为格兰杰善于将观测到的经济结果系统地用模型来表述.而且这些模型很好地反映了经济体复杂和进化的本质。这本书收录了他发表过的作品,而且把主要主题下相关联的研究集合到一起,这样便更容易找到相关的论文,里面的很多文章值得我们认真反复研读。 ——大卫·亨德里(DavId Plendry),牛津大学 本书向读者呈现了Clive W.J.Granger的经典论文集。Granger对经济学和计量经济学的贡献,很多具有深远的影响,有的影响甚至长达四十多年,触及时间序列分析的方方面面。第一卷收集的论文涉及的主题有谱分析、季节性、非线性、方法论和预测。其姐妹篇第二卷里的文章涉及的是因果关系、单整和协整以及长期记忆。 内容简介格兰杰是最具创造力的现代计量经济学家之一,他对帮助我们理解因果关系、建模方法、非平稳性、季节性和预测做出了重要的贡献。一些被广泛应用的时间序列计量经济学概念就来自于他的研究成果,这是因为格兰杰善于将观测到的经济结果系统地用模型来表述,而且这些模型很好地反映了经济体复杂和进化的本质,这本书收录了他发表过的作品,而且把主要主题下相关联的研究集合到一起,这样便更容易找到相关的论文,里面的很多文章值得我们认真反复研读。 作者简介克莱夫.W.J.格兰杰,世界上最伟大的计量经济学家之一。瑞典皇家科学院在颁奖词中说:“他不仅是研究员们学习的光辉典范,而且是金融分析家的楷模。”他在利用数学模型分析时间序列数据方面的实证研究,给全世界打开了一扇窥探经济运行规律,特别是金融市场运行规律的大门。他的众多开创性想法和洞见深刻地影响了统计学、计量经济学和动态经济学理论的发展。
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