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Information about:
Clive W. J. Granger

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Personal Details

First Name: Clive
Middle Name: W. J.
Last Name: Granger
Suffix:

RePEc Short-ID: pgr55

Email: [This author has chosen not to make the email address public]
Homepage: http://www.econ.ucsd.edu/~cgranger
Postal Address: Clive Granger obtained the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003. His entry is maintained by the RePEc team. The listed email address will not respond to inquiries.
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This author is deceased

Lists

This author is among the top 5% authors according to these criteria:
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This author is featured on the following reading lists or publication compilations:
  1. Nobel laureates in economics

Works

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Working papers

  1. Richard Carson & CLIVE GRANGER & Jeremy Jackson & Wolfram Schlenker, 2006. "Fisheries Management Under Cyclical Population Dynamics," University of California at San Diego, Economics Working Paper Series 2006-06, Department of Economics, UC San Diego. [Downloadable!]

  2. Clive Granger, 2004. "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series 2004-02, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

  3. Granger, Clive W. J., 2004. "Autobiography," Nobel Prize in Economics documents 2003-6, Nobel Prize Committee. [Downloadable!]

  4. Clive Granger, 2004. "Causality: Some New Thoughts on an Old Topic," Econometric Society 2004 Australasian Meetings 351, Econometric Society.

  5. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
    Published as:

  6. Engle III, Robert F. & Granger, Clive W. J., 2003. "Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III," Nobel Prize in Economics documents 2003-5, Nobel Prize Committee. [Downloadable!]

  7. Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  8. Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics. [Downloadable!]
    Other versions:
    Published as:

  9. Mark Machina & Clive Granger, 2002. "Structurally-Induced Volatility Clustering," University of California at San Diego, Economics Working Paper Series 2002-15, Department of Economics, UC San Diego. [Downloadable!]

  10. Granger, Clive & Timmermann, Allan G, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  11. Granger, Clive W.J. & Gawon Yoon, 2002. "Hidden Cointegration," Royal Economic Society Annual Conference 2002 92, Royal Economic Society. [Downloadable!]
    Other versions:

  12. Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
    Other versions:

  13. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2001. "Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets," Econometrics Working Papers Archive wp2001_01, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  14. Clive Granger & GAWON YOON, 2001. "Self-Generating Variables in a Cointegrated VAR Framework," University of California at San Diego, Economics Working Paper Series 2001-04, Department of Economics, UC San Diego. [Downloadable!]

  15. C. W. Granger & Esfandiar Maasoumi, 2000. "A Dependence Metric for Nonlinear Time Series," Econometric Society World Congress 2000 Contributed Papers 0421, Econometric Society. [Downloadable!]

  16. Ingolf Dittmann & Clive W.J. Granger, 2000. "Properties of Nonlinear Transformations of Fractionally Integrated Processes," University of California at San Diego, Economics Working Paper Series 2000-07, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  17. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 1999. "The Impact of the Use of Forecasts in Information Sets," University of California at San Diego, Economics Working Paper Series 99-18, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  18. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]

  19. Clive W.J. Granger & Chor-yiu Sin, 1999. "Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 99-12, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  20. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  21. Clive W.J. Granger & Namwon Hyung, 1998. "Introduction to M-M Processes," University of California at San Diego, Economics Working Paper Series 98-18, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

  22. Clive W.J. Granger & Bwo-Nung Huang & Chin Wei Yang, 1998. "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu," University of California at San Diego, Economics Working Paper Series 98-09, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

  23. Granger, Clive W.J. & Teräsvirta, Timo, 1998. "A simple nonlinear time series model with misleading linear properties," Working Paper Series in Economics and Finance 237, Stockholm School of Economics.
    Published as:

  24. Clive W.J. Granger & Namwon Hyung & Yongil Jeon, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series 98-25, Department of Economics, UC San Diego. [Downloadable!]
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    Published as:

  25. Clive W.J. Granger, 1998. "Extracting Information from Mega-Panels and High-Frequency Data," University of California at San Diego, Economics Working Paper Series 98-01, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  26. Clive W.J. Granger & Francesc Marmol, 1997. "The Correlogram of a Long Memory Process Plus a Simple Noise," University of California at San Diego, Economics Working Paper Series 97-29, Department of Economics, UC San Diego. [Downloadable!]

  27. Clive W.J. Granger & Yongil Jeon, 1997. "Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance," University of California at San Diego, Economics Working Paper Series 97-24, Department of Economics, UC San Diego. [Downloadable!]

  28. Clive W.J. Granger & Ling-ling Huang, 1997. "Evaluation of Panel Data Models: Some Suggestions from Time Series," University of California at San Diego, Economics Working Paper Series 97-10, Department of Economics, UC San Diego. [Downloadable!]

  29. Siklos, P.L. & Granger, C.W.J., 1997. "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers 97-5, Wilfrid Laurier University, Department of Economics.
    Published as:

  30. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO. [Downloadable!]

  31. Granger, C.W.J. & Pesaran, H., 1996. "A Decision_Theoretic Approach to Forecast Evaluation," Cambridge Working Papers in Economics 9618, Faculty of Economics, University of Cambridge.
    Other versions:

  32. Walter Enders & C. W.J. Granger, 1996. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," University of California at San Diego, Economics Working Paper Series 96-27, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  33. Shoshana Grossbard-Shechtman & Clive W.J. Granger, 1996. "Women's Jobs and Marriage -- Baby-Boom Versus Baby-Bust," University of California at San Diego, Economics Working Paper Series 96-03, Department of Economics, UC San Diego.

  34. Lykke E. Andersen & Clive W.J. Granger & Ling-Ling Huang & Eust‡quio J. Reis & Diana Weinhold, 1996. "Report on Amazon Deforestation," University of California at San Diego, Economics Working Paper Series 96-40, Department of Economics, UC San Diego.

  35. Granger,C.W.J. & Haldrup,N., 1996. "Separation in Cointegrated Systems,Long Memory Components and Common Stochastic Trends," Economics Working Papers 1996-3, School of Economics and Management, University of Aarhus.
    Other versions:

  36. Pierre L. Siklos & Clive W.J. Granger, 1996. "Temporary Cointegration With an Application to Interest Rate Parity," University of California at San Diego, Economics Working Paper Series 96-11, Department of Economics, UC San Diego. [Downloadable!]

  37. Alvaro Escribano & Clive W.J. Granger, 1996. "Investigating the Relationship between Gold and Silver Prices," University of California at San Diego, Economics Working Paper Series 96-38, Department of Economics, UC San Diego. [Downloadable!]

  38. Clive W.J. Granger & Norman Swanson, 1995. "Further Developments in the Study of Cointegrated Variables," University of California at San Diego, Economics Working Paper Series 95-11, Department of Economics, UC San Diego.
    Other versions:

  39. Clive W.J. Granger, 1995. "Can We Improve the Perceived Quality of Economic Forecasts?," University of California at San Diego, Economics Working Paper Series 95-27, Department of Economics, UC San Diego.
    Published as:

  40. F. M. Aparicio Acosta & Clive W.J. Granger, 1995. "Nonlinear Cointegration and Some New Tests for Comovements," University of California at San Diego, Economics Working Paper Series 95-15, Department of Economics, UC San Diego.

  41. F. M. Aparicio Acosta & Clive W.J. Granger, 1995. "A Linearity Test for Near-Unit Root Time Series," University of California at San Diego, Economics Working Paper Series 95-12, Department of Economics, UC San Diego.

  42. F. M. Aparicio Acosta & Clive W.J. Granger, 1995. "Information-Theoretic Schemes for Linearity Testing Under Long-Range Dependence and Cointegration," University of California at San Diego, Economics Working Paper Series 95-13, Department of Economics, UC San Diego.

  43. F. M. Aparicio Acosta & Clive W.J. Granger, 1995. "A Tutorial on Linearity Testing under Long Range Dependence and Cointegration," University of California at San Diego, Economics Working Paper Series 95-14, Department of Economics, UC San Diego.

  44. Lykke E. Andersen & Clive W.J. Granger, 1995. "A Random Coefficient VAR Transition Model of the Changes in Land Use in the Brazilian Amazon," University of California at San Diego, Economics Working Paper Series 95-35, Department of Economics, UC San Diego.

  45. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO. [Downloadable!]
    Other versions:
    Published as:

  46. Swanson, N.R. & Granger, C.W.J., 1994. "Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions," Papers 9-94-1, Pennsylvania State - Department of Economics.

  47. Zhuanxin Ding & Clive W.J. Granger, 1994. "Modeling Volatility Persistence of Speculative Returns: A New Approach," University of California at San Diego, Economics Working Paper Series 94-05, Department of Economics, UC San Diego.
    Published as:

  48. Clive W.J. Granger & Norman R. Swanson, 1994. "An Introduction to Stochastic Unit Root Processes," University of California at San Diego, Economics Working Paper Series 92-53r, Department of Economics, UC San Diego.
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    Published as:

  49. C. W.J. Granger & Zhuanxin Ding, 1994. "Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets," University of California at San Diego, Economics Working Paper Series 94-19, Department of Economics, UC San Diego.

  50. Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers 93001, Wilfrid Laurier University, Department of Economics.
    Published as:

  51. C. W.J. Granger & Zhuanxin Ding, 1993. "Some Properties of Absolute Return: An Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 93-38, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  52. C. W.J. Granger, 1993. "Modelling Non-Linear Relationships Between Long-Memory Variables," University of California at San Diego, Economics Working Paper Series 93-48, Department of Economics, UC San Diego.

  53. Clive Granger & Zhuanxin Ding, 1993. "Varieties of Long Memory Models," University of California at San Diego, Economics Working Paper Series 93-02, Department of Economics, UC San Diego.
    Published as:

  54. Robert Engle & Clive Granger & Ramu Ramanathan & Farshid Vahid-Araghi & Casey Brace, 1992. "Short-Run Forecasts of Electricity Loads and Peaks," University of California at San Diego, Economics Working Paper Series 92-49, Department of Economics, UC San Diego.
    Published as:

  55. Clive Granger & Maxwell L. King & Halbert White, 1992. "Comments on Testing Economic Theories and the Use of Model Selection Criteria," University of California at San Diego, Economics Working Paper Series 92-18, Department of Economics, UC San Diego.
    Published as:

  56. Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
    Published as:

  57. Toru Konishi & Clive Granger, 1992. "Separation in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series 92-51, Department of Economics, UC San Diego.

  58. Norman R. Swanson & C. W.J. Granger, 1992. "Impulse Response Functions Based on a Causal Approach to Residual Orthogonalizaton in Vector Autoregressions," University of California at San Diego, Economics Working Paper Series 92-50, Department of Economics, UC San Diego. [Downloadable!]

  59. Clive Granger, 1992. "What are we Learning about the Long Run?," University of California at San Diego, Economics Working Paper Series 92-22, Department of Economics, UC San Diego.
    Published as:

  60. Luigi Ermini & Clive W.J. Granger, 1991. "Some Generalizations on the Algebra of I(1) Processes," Working Papers 199113, University of Hawaii at Manoa, Department of Economics.
    Published as:

  61. Tung Liu & Clive Granger & Walter P. Heller, 1991. "Using the Correlation Exponent to Decide if an Economic Series is Chaotic," University of California at San Diego, Economics Working Paper Series 91-21, Department of Economics, UC San Diego.

  62. Timo TerŠsvirta & Chien-Fu Lin & Clive W.J. Granger, 1991. "Power of the Neural Network Linearity Test," University of California at San Diego, Economics Working Paper Series 91-01, Department of Economics, UC San Diego.

  63. Clive W. J. Granger & Melinda Deutsch, 1991. "Comments on the evaluation of policy models," International Finance Discussion Papers 413, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Published as:

  64. Jesus Gonzalo & Clive W.J. Granger, 1991. "Estimation of Common Long-Memory Components in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series 91-33, Department of Economics, UC San Diego.
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  65. C. W.J. Granger, 1991. "Forecasting Stock Market Prices - Lessons for Forecasters," University of California at San Diego, Economics Working Paper Series 91-23, Department of Economics, UC San Diego.
    Published as:

  66. Clive W.J. Granger, 1991. "Reducing Self-Interest and Improving the Relevance of Economic Research," University of California at San Diego, Economics Working Paper Series 91-17, Department of Economics, UC San Diego.

  67. Granger, C.W.J., 1990. "Developments In The Nonlinear Analysis Of Economic Series," Economics Working Papers 1990-13, School of Economics and Management, University of Aarhus.
    Published as:

  68. Engle, R.F. & Granger, C.W.J. & Hylleberg, S. & Lee, H.S., 1990. "Seasonal Cointegration: The Japanese Consumption Function," Economics Working Papers 1990-10, School of Economics and Management, University of Aarhus.

  69. H. M. Anderson & C. W.J. Granger & A. D. Hall, 1990. "Treasury Bill Yield Curves and Cointegration," University of California at San Diego, Economics Working Paper Series 90-24, Department of Economics, UC San Diego.
    Other versions:

  70. Clive Granger & Jeff Hallman, 1990. "Long Memory Series with Attractors," University of California at San Diego, Economics Working Paper Series 90-9, Department of Economics, UC San Diego.
    Published as:

  71. Clive Granger & Jin-Lung Lin, 1990. "Conjugate Processes," University of California at San Diego, Economics Working Paper Series 90-8, Department of Economics, UC San Diego.

  72. Clive W. J. Granger, 1988. "Aggregation of time series variables-a survey," Discussion Paper / Institute for Empirical Macroeconomics 1, Federal Reserve Bank of Minneapolis. [Downloadable!]

  73. C.W.J. Granger & Jeff Hallman, 1988. "The algebra of I (1)," Finance and Economics Discussion Series 45, Board of Governors of the Federal Reserve System (U.S.).

  74. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
    Other versions:
    Published as:

  75. Clive W. J. Granger & Harald F. Uhlig, 1988. "Reasonable extreme bounds analysis," Discussion Paper / Institute for Empirical Macroeconomics 2, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Published as:

  76. RePEc:adv:wpaper:200612 is not listed on IDEAS

Articles

  1. Namwon Hyung & Clive W.J. Granger, 2008. "Linking series generated at different frequencies

    This work is part of a PhD dissertation presented at the University of California, San Diego (1999).

    ," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 95-108. [Downloadable!]

  2. Clive Granger, 2008. "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 12(3), pages 1639-1639. [Downloadable!] (restricted)

  3. Granger, Clive W.J. & Jeon, Yongil, 2007. "Long-term forecasting and evaluation," International Journal of Forecasting, Elsevier, vol. 23(4), pages 539-551. [Downloadable!] (restricted)

  4. Granger, Clive W.J., 2007. "Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam," Journal of Econometrics, Elsevier, vol. 138(1), pages 3-13, May. [Downloadable!] (restricted)

  5. Granger, Clive W.J. & Jeon, Yongil, 2007. "Evaluation of global models," Economic Modelling, Elsevier, vol. 24(6), pages 980-989, November. [Downloadable!] (restricted)

  6. Granger, Clive W.J. & Machina, Mark J., 2006. "Structural attribution of observed volatility clustering," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 15-29. [Downloadable!] (restricted)

  7. Granger, Clive W.J., 2006. "Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 11-13. [Downloadable!] (restricted)

  8. Granger, Clive W.J. & Hyung, Namwon, 2006. "Introduction to m-m processes," Journal of Econometrics, Elsevier, vol. 130(1), pages 143-164, January. [Downloadable!] (restricted)
    Other versions:

  9. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May. [Downloadable!] (restricted)
    Other versions:

  10. Clive W. J. Granger & Yongil Jeon, 2006. "Dynamics of Model Overfitting Measured in terms of Autoregressive Roots," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(3), pages 347-365, 05. [Downloadable!] (restricted)

  11. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, 09. [Downloadable!] (restricted)
    Other versions:

  12. Granger, Clive W.J., 2005. "COMMENTS ON THE 20th ANNIVERSARY ISSUE OF ECONOMETRIC THEORY," Econometric Theory, Cambridge University Press, vol. 21(01), pages 298-298, February. [Downloadable!]

  13. Granger, Clive W.J. & Hendry, David F., 2005. "A Dialogue Concerning A New Instrument For Econometric Modeling," Econometric Theory, Cambridge University Press, vol. 21(01), pages 278-297, February. [Downloadable!]

  14. Granger, Clive W.J., 2005. "The past and future of empirical finance: some personal comments," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 35-40. [Downloadable!] (restricted)

  15. Clive W. J. Granger, 2005. "Modeling, Evaluation, and Methodology in the New Century," Economic Inquiry, Oxford University Press, vol. 43(1), pages 1-12, January. [Downloadable!] (restricted)

  16. Clive W.G. Granger, 2004. "Time Series Analysis, Cointegration, and Applications," American Economic Review, American Economic Association, vol. 94(3), pages 421-425, June. [Downloadable!]
    Other versions:

  17. Granger, Clive W. J. & Hyung, Namwon, 2004. "Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 399-421, June. [Downloadable!] (restricted)

  18. C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(5), pages 649-669, 09. [Downloadable!] (restricted)

  19. Elliott, Graham & Granger, Clive W.J., 2004. "Evaluating significance: comments on "size matters"," The Journal of Socio-Economics, Elsevier, vol. 33(5), pages 547-550, November. [Downloadable!] (restricted)

  20. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27. [Downloadable!] (restricted)
    Other versions:

  21. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March. [Downloadable!] (restricted)

  22. Giacomini, Raffaella & Granger, Clive W. J., 2004. "Aggregation of space-time processes," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 7-26. [Downloadable!] (restricted)
    Other versions:

  23. Clive Granger & Yongil Jeon, 2004. "Forecasting Performance of Information Criteria with Many Macro Series," Journal of Applied Statistics, Taylor and Francis Journals, vol. 31(10), pages 1227-1240, January. [Downloadable!] (restricted)

  24. Granger, Clive W.J. & Yau, Ruey & Francis, Neville, 2003. "Forecasting Business Cycles Using Deviations From Long-Run Economic Relationships," Macroeconomic Dynamics, Cambridge University Press, vol. 7(05), pages 734-758, November. [Downloadable!]

  25. Clive W.J. Granger & Yongil Jeon, 2003. "Interactions between large macro models and time series analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 1-10. [Downloadable!]

  26. Granger, Clive W. J. & Jeon, Yongil, 2003. "Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349]," International Journal of Forecasting, Elsevier, vol. 19(4), pages 767-767. [Downloadable!] (restricted)

  27. Granger, Clive W. J. & Jeon, Yongil, 2003. "A time-distance criterion for evaluating forecasting models," International Journal of Forecasting, Elsevier, vol. 19(2), pages 199-215. [Downloadable!] (restricted)

  28. Clive W. J. Granger, 2003. "Time Series Concepts for Conditional Distributions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 689-701, December. [Downloadable!] (restricted)

  29. Granger, Clive W. J. & Jeon, Yongil, 2003. "Comparing forecasts of inflation using time distance," International Journal of Forecasting, Elsevier, vol. 19(3), pages 339-349. [Downloadable!] (restricted)

  30. Ser-Huang Poon & Clive W. J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.

  31. Clive Granger, 2003. "Exchange rates and fundamentals - comments," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]

  32. Granger, Clive W. J., 2003. "Some aspects of causal relationships," Journal of Econometrics, Elsevier, vol. 112(1), pages 69-71, January. [Downloadable!] (restricted)

  33. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2002. "Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets," IMF Staff Papers, Palgrave Macmillan Journals, vol. 49(1), pages 2. [Downloadable!] (restricted)
    Other versions:

  34. Clive W. J. Granger, 2002. "Some comments on risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 447-456. [Downloadable!]

  35. Dittmann, Ingolf & Granger, Clive W. J., 2002. "Properties of nonlinear transformations of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October. [Downloadable!] (restricted)
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  36. Granger, Clive W. J., 2001. "Macroeconometrics - Past and future," Journal of Econometrics, Elsevier, vol. 100(1), pages 17-19, January. [Downloadable!] (restricted)

  37. Granger, Clive W J & Hyung, Namwon & Jeon, Yongil, 2001. "Spurious Regressions with Stationary Series," Applied Economics, Taylor and Francis Journals, vol. 33(7), pages 899-904, June. [Downloadable!] (restricted)
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  38. Granger, Clive W. J., 2001. "Comparing the methodologies used by statisticians and economists for research and modeling5," The Journal of Socio-Economics, Elsevier, vol. 30(1), pages 7-14, January. [Downloadable!] (restricted)

  39. Granger, Clive W & Jeon, Yongil, 2001. "The Distributional Properties of Shocks to a Fractional I(d) Process Having a Marginal Exponential Distribution," Applied Financial Economics, Taylor and Francis Journals, vol. 11(5), pages 469-74, October. [Downloadable!] (restricted)

  40. Granger, Clive W J & Jeon, Yongil, 2000. "Model Evaluation Based on Residual Analysis of Two Similar Models," Applied Economics, Taylor and Francis Journals, vol. 32(7), pages 861-67, June. [Downloadable!] (restricted)

  41. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354. [Downloadable!] (restricted)
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  42. Clive W.J. Granger, 1999. "Outline of forecast theory using generalized cost functions," Spanish Economic Review, Springer, vol. 1(2), pages 161-173. [Downloadable!] (restricted)

  43. Clive Granger & Allan Timmermann, 1999. "Data mining with local model specification uncertainty: a discussion of Hoover and Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 220-225.

  44. Granger, Clive W. J. & Terasvirta, Timo, 1999. "A simple nonlinear time series model with misleading linear properties," Economics Letters, Elsevier, vol. 62(2), pages 161-165, February. [Downloadable!] (restricted)
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  45. Clive W. J. Granger & Namwon Hyung, 1999. "Spurious Stochastics in a Short Time-Series Panel Data," Annales d'Economie et de Statistique, ADRES, issue 55-56, pages 12, Juillet-D. [Downloadable!]

  46. Clive Granger & Tae-Hwy Lee, 1999. "The effect of aggregation on nonlinearity," Econometric Reviews, Taylor and Francis Journals, vol. 18(3), pages 259-269. [Downloadable!] (restricted)

  47. Granger, Clive W J, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 268-69, July.

  48. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-11, July.
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  49. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June. [Downloadable!] (restricted)
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  50. Granger, Clive W.J., 1997. "The ET Interview: Professor Clive Granger," Econometric Theory, Cambridge University Press, vol. 13(02), pages 253-303, April. [Downloadable!]

  51. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September. [Downloadable!] (restricted)
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  52. Granger, Clive W J & Haldrup, Niels, 1997. "Separation in Cointegrated Systems and Persistent-Transitory Decompositions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 449-63, November.

  53. Granger, Clive W J, 1997. "On Modelling the Long Run in Applied Economics," Economic Journal, Royal Economic Society, vol. 107(440), pages 169-77, January. [Downloadable!] (restricted)

  54. Siklos, Pierre L. & Granger, Clive W.J., 1997. "Regime-Sensitive Cointegration With An Application To Interest-Rate Parity," Macroeconomic Dynamics, Cambridge University Press, vol. 1(03), pages 640-657, September. [Downloadable!]
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  55. Granger, Clive W. J. & Inoue, Tomoo & Morin, Norman, 1997. "Nonlinear stochastic trends," Journal of Econometrics, Elsevier, vol. 81(1), pages 65-92, November. [Downloadable!] (restricted)

  56. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-86, July.
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  57. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July. [Downloadable!] (restricted)
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  58. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 396-97, July.

  59. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July. [Downloadable!] (restricted)
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  60. Granger, C W J & Swanson, Norman, 1996. "Future Developments in the Study of Cointegrated Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 537-53, August.

  61. Granger, Clive W J, 1996. "Can We Improve the Perceived Quality of Economic Forecasts?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 455-73, Sept.-Oct. [Downloadable!] (restricted)
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  62. Zhuanxin Ding & Clive W. J. Granger, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annales d'Economie et de Statistique, ADRES, issue 40, pages 06, Octobre-D. [Downloadable!]
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  63. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369. [Downloadable!] (restricted)
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  64. Granger, Clive W. J. & King, Maxwell L. & White, Halbert, 1995. "Comments on testing economic theories and the use of model selection criteria," Journal of Econometrics, Elsevier, vol. 67(1), pages 173-187, May. [Downloadable!] (restricted)
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  65. Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
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  66. Granger, Clive W J, 1995. "Modelling Nonlinear Relationships between Extended-Memory Variables," Econometrica, Econometric Society, vol. 63(2), pages 265-79, March. [Downloadable!] (restricted)

  67. Granger, Clive W J, 1994. "A Review of Some Recent Textbooks of Econometrics," Journal of Economic Literature, American Economic Association, vol. 32(1), pages 115-22, March. [Downloadable!] (restricted)

  68. Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo, 1994. "The combination of forecasts using changing weights," International Journal of Forecasting, Elsevier, vol. 10(1), pages 47-57, June. [Downloadable!] (restricted)

  69. Clive Granger, 1994. "Some comments on emprical investigations involving cointegration," Econometric Reviews, Taylor and Francis Journals, vol. 13(3), pages 345-350. [Downloadable!] (restricted)

  70. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298. [Downloadable!] (restricted)

  71. Granger, Clive W J, 1993. "What Are We Learning about the Long-Run?," Economic Journal, Royal Economic Society, vol. 103(417), pages 307-17, March. [Downloadable!] (restricted)
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  72. Granger, C. W. J., 1993. "Implications of seeing economic variables through an aggregation window," Ricerche Economiche, Elsevier, vol. 47(3), pages 269-279, September. [Downloadable!] (restricted)

  73. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April. [Downloadable!] (restricted)

  74. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
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  75. Granger, Clive W J, 1993. "Testing for Common Features: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 384-85, October.

  76. Ermini, Luigi & Granger, Clive W. J., 1993. "Some generalizations on the algebra of I(1) processes," Journal of Econometrics, Elsevier, vol. 58(3), pages 369-384, August. [Downloadable!] (restricted)
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  77. Granger, Clive W J, 1993. "Strategies for Modelling Nonlinear Time-Series Relationships," The Economic Record, The Economic Society of Australia, vol. 69(206), pages 233-38, September.

  78. Granger, Clive W. J. & Deutsch, Melinda, 1992. "Comments on the evaluation of policy models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 497-516, August. [Downloadable!] (restricted)
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  79. Granger, Clive W. J., 1992. "Forecasting stock market prices: Lessons for forecasters," International Journal of Forecasting, Elsevier, vol. 8(1), pages 3-13, June. [Downloadable!] (restricted)
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  80. Granger, Clive W. J., 1992. "Fellow's opinion: Evaluating economic theory," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 3-5. [Downloadable!] (restricted)

  81. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February. [Downloadable!] (restricted)

  82. Liu, T & Granger, C W J & Heller, W P, 1992. "Using the Correlation Exponent to Decide whether an Economic Series is Chaotic," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S25-39, Suppl. De. [Downloadable!] (restricted)

  83. Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
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  84. Granger, Clive W J, 1991. " Developments in the Nonlinear Analysis of Economic Series," Scandinavian Journal of Economics, Blackwell Publishing, vol. 93(2), pages 263-76.
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  85. Granger, Clive W. J. & Uhlig, Harald F., 1990. "Reasonable extreme-bounds analysis," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 159-170. [Downloadable!] (restricted)
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  86. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
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  87. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January. [Downloadable!] (restricted)

  88. Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January. [Downloadable!] (restricted)

  89. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S145-59, Supplemen. [Downloadable!] (restricted)

  90. Granger, Clive W J, 1988. "Some Comments on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(187), pages 327-30, December.

  91. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211. [Downloadable!] (restricted)

  92. Granger, C. W. J., 1988. "Causality, cointegration, and control," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 551-559. [Downloadable!] (restricted)

  93. Granger, C.W.J. & Thomson, P. J., 1987. "Predictive Consequences of Using Conditioning or Causal Variables," Econometric Theory, Cambridge University Press, vol. 3(01), pages 150-152, February. [Downloadable!]

  94. Granger, C. W. J., 1987. "Implications of Aggregation with Common Factors," Econometric Theory, Cambridge University Press, vol. 3(02), pages 208-222, April. [Downloadable!]

  95. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)

  96. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.

  97. Granger, C W J, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 16-17, January.

  98. Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984. "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, vol. 8(2), pages 151-165, November. [Downloadable!] (restricted)

  99. Granger, Clive W J, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 335-36, October.

  100. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May. [Downloadable!] (restricted)

  101. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July. [Downloadable!] (restricted)

  102. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October. [Downloadable!] (restricted)

  103. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May. [Downloadable!] (restricted)

  104. Granger, C W J, 1979. "Nearer-Normality and Some Econometric Models," Econometrica, Econometric Society, vol. 47(3), pages 781-84, May. [Downloadable!] (restricted)

  105. Nelson, Harold Jr. & Granger, C. W. J., 1979. "Experience with using the Box-Cox transformation when forecasting economic time series," Journal of Econometrics, Elsevier, vol. 10(1), pages 57-69, April. [Downloadable!] (restricted)

  106. Ashley, Richard A. & Granger, Clive W. J., 1979. "Time series analysis of residuals from the St. Louis model," Journal of Macroeconomics, Elsevier, vol. 1(4), pages 373-394. [Downloadable!] (restricted)

  107. Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan, 1979. "Residential load curves and time-of-day pricing : An econometric analysis," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 13-32, January. [Downloadable!] (restricted)

  108. Granger, C. W. J. & Newbold, P., 1976. "The use of R2 to determine the appropriate transformation of regression variables," Journal of Econometrics, Elsevier, vol. 4(3), pages 205-210, August. [Downloadable!] (restricted)

  109. C. Granger, 1976. "Tendency towards normality of linear combinations of random variables," Metrika, Springer, vol. 23(1), pages 237-248, December. [Downloadable!] (restricted)

  110. Granger, Clive W J, 1975. "Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts," Journal of Finance, American Finance Association, vol. 30(1), pages 135-45, March. [Downloadable!] (restricted)

  111. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)

  112. Granger, C. W. J., 1973. "On the properties of forecasts used in optimal economic policy decisions," Journal of Public Economics, Elsevier, vol. 2(4), pages 347-356. [Downloadable!] (restricted)

  113. Granger, C W J & Newbold, P, 1973. "Some Comments on the Evaluation of Economic Forecasts," Applied Economics, Taylor and Francis Journals, vol. 5(1), pages 35-47, March.

  114. Niarchos, N A & Granger, C W J, 1972. "The Gold Sovereign Market in Greece-An Unusual Speculative Market," Journal of Finance, American Finance Association, vol. 27(5), pages 1127-35, December. [Downloadable!] (restricted)

  115. Sowter, Anthony P & Gabor, Andre & Granger, Clive W J, 1971. "The Effect of Price on Choice: A Theoretical and Empirical Investigation," Applied Economics, Taylor and Francis Journals, vol. 3(3), pages 167-81, September.

  116. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)

Chapters

  1. Granger, Clive W.J. & Machina, Mark J., 2006. "Forecasting and Decision Theory," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)

  2. Terasvirta, Timo & Tjostheim, Dag & W.J. Granger, Clive, 1986. "Aspects of modelling nonlinear time series," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 48, pages 2917-2957 Elsevier. [Downloadable!] (restricted)

  3. Granger, C.W.J. & Watson, Mark W., 1984. "Time series and spectral methods in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 17, pages 979-1022 Elsevier. [Downloadable!] (restricted)

  4. C. W. J. Granger, 1980. "Some Comments on the Role of Time-Series Analysis in Econometrics," NBER Chapters, in: Evaluation of Econometric Models, pages 339-341 National Bureau of Economic Research, Inc. [Downloadable!]

  5. Clive W. J. Granger, 1979. "Seasonality: Causation, Interpretation, and Implications," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 33-56 National Bureau of Economic Research, Inc. [Downloadable!]
    Published as:

Editor

  1. Handbook of Economic Forecasting, Elsevier.
  2. Handbook of Economic Forecasting, Elsevier.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (1) 2007-01-13
  2. NEP-CFN: Corporate Finance (1) 2003-03-14
  3. NEP-CMP: Computational Economics (1) 2003-11-03
  4. NEP-DGE: Dynamic General Equilibrium (1) 1998-07-06
  5. NEP-ECM: Econometrics (7) 1998-07-13 2000-01-24 2002-07-12 2002-12-10 2003-11-03 2004-10-21 2004-12-12 Author is listed
  6. NEP-ENV: Environmental Economics (2) 2007-01-13 2007-03-10
  7. NEP-ETS: Econometric Time Series (6) 1998-07-06 2000-01-24 2002-07-08 2002-12-02 2003-03-14 2004-10-21 Author is listed
  8. NEP-FIN: Finance (2) 2004-12-12 2004-12-15
  9. NEP-FMK: Financial Markets (1) 2004-12-12
  10. NEP-IFN: International Finance (1) 1998-07-06
  11. NEP-MFD: Microfinance (1) 2003-11-03
  12. NEP-RMG: Risk Management (1) 2003-11-03
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