scientific article; zbMATH DE number 3537122
From MaRDI portal
Publication:4113288
zbMath0344.62076MaRDI QIDQ4113288
Clive W. J. Granger, Paul Newbold
Publication date: 1976
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (48)
Unnamed Item ⋮ Understanding spurious regressions in econometrics ⋮ Testing causality using efficiently parametrized vector ARMA models ⋮ Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis ⋮ Inference on transformed stationary time series ⋮ On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach ⋮ Deterministic chaos and fractal attractors as tools for nonparametric dynamical econometric inference: With an application to the Divisia monetary aggregates ⋮ Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility ⋮ `Time-series' versus `econometric' forecasts: a non-linear regression counterexample ⋮ Consistent estimation of equations with composite moving average disturbance terms ⋮ Covariance tapering for prediction of large spatial data sets in transformed random fields ⋮ Hierarchical Poisson models for spatial count data ⋮ Forecasting Levels in Loglinear Unit Root Models ⋮ Long memory relationships and the aggregation of dynamic models ⋮ Testing for Equal Predictability of Stationary ARMA Processes ⋮ Granger-causality in multiple time series ⋮ Asymptotics for out of sample tests of Granger causality ⋮ On a simple identity for the conditional expectation of orthogonal polynomials ⋮ Switching equilibria: the present value model for stock prices revisited ⋮ Tensorial products of functional ARMA processes ⋮ Tensorial products of functional ARMA processes ⋮ Some unresolved issues in the application of control theory to economic policy-making ⋮ A characterization of the innovations of first order autoregressive models ⋮ On the transformation of raw time series data: A review ⋮ Factor ARMA representation of a Markov process ⋮ The use of \(R^2\) to determine the appropriate transformation of regression variables ⋮ Tests of equal forecast accuracy and encompassing for nested models ⋮ A new look at the relationship between time-series and structural econometric models ⋮ A Monte Carlo study of autoregressive integrated moving average processes ⋮ A reply to Anderson ⋮ A note on the time series which is the product of two stationary time series ⋮ Volatility forecasting and microstructure noise ⋮ Experience with using the Box-Cox transformation when forecasting economic time series ⋮ Estimation and testing for functional form and autocorrelation ⋮ Transformations and seasonal adjustment ⋮ Some generalizations on the algebra of I(1) processes ⋮ Interval predictor models: identification and reliability ⋮ Testing for ARCH in the presence of a possibly misspecified conditional mean ⋮ Generalized autoregressive conditional heteroscedasticity ⋮ Ruin theory in the linear model ⋮ On the Brown method of exponential smoothing ⋮ Asymptotic properties of rank estimators in a simple spatial linear regression model under spatial sampling designs ⋮ Parsimonious modelling and forecasting of seasonal time series ⋮ Special issue on Nonlinear time series models. Part 2. 16th Rencontres Franco-Belges de Statisticiens, Bruxelles, Belgium, November 23--24, 1995 ⋮ Arch model with Box-Cox transformed dependent variable ⋮ Properties of nonlinear transformations of fractionally integrated processes. ⋮ Removing Forecasting Errors with White Gaussian Noise after Square Root Transformation ⋮ Autocovariance functions of series and of their transforms
This page was built for publication: