Cointegration, Causality, and Forecasting
A Festschrift in Honour of Clive W. J. Granger
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Cointegration, Causality, and Forecasting by Robert F. Engle
Book DescriptionThe book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
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Book DetailsISBN: 9780198296836
(242mm x 163mm x 31mm)
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 7-Oct-1999
Country of Publication: United Kingdom
Books By Author Robert F. Engle
Empirical Asset Pricing, Hardback (August 2013)» View all books by Robert F. Engle
Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional. Eugene Fama, Robert R.
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Author Biography - Robert F. Engle
Robert Engle holds the Chancellor's Associates Chair in Economics at the University of California, San Diego. Previously Assistant Professor at Massachusetts Institute of Technology (MIT), He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society. Halbert White (the late) was formerly Professor of Economics at the University of California, San Diego (UCSD) and was a member of UCSDs Institute for Neural Computation.
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