scientific article; zbMATH DE number 3860263

zbMATH Open0541.62106MaRDI QIDQ3327591FDOQ3327591

Authors: Clive W. J. Granger 

Publication date: 1980

Title of this publication is not available (Why is that?)

zbMATH Keywords

review papersynthesis of time series and econometric models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (36)

• An inequality with a time series application
• Estimation of the location and exponent of the spectral singularity of a long memory process
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process
• A note on calculating autocovariances of long‐memory processes
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
• An Econometric Analysis of Some Models for Constructed Binary Time Series
• A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
• A Class of Antipersistent Processes
• A new look at the relationship between time-series and structural econometric models
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• One-way analysis of variance with long memory errors and its application to stock return data
• Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
• A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
• LONG MEMORY TESTING IN THE TIME DOMAIN
• UNBALANCED COINTEGRATION
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
• ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
• On univariate time series methods and simultaneous equation econometric models
• Forecasting aggregates of independent ARIMA processes
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• O a lemma associated with Box, Jenkins and Granger
• On the structure of moving average processes
• Wasserstein index generation model: automatic generation of time-series index with application to economic policy uncertainty
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
• On the forecasting ability of ARFIMA models when infrequent breaks occur
• UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
• VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
• The Periodogram of fractional processes¹
• STOCHASTIC UNIT ROOT MODELS
• Error Correction Models for Fractionally Cointegrated Time Series

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