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.



Related Items (48)

Unnamed ItemUnderstanding spurious regressions in econometricsTesting causality using efficiently parametrized vector ARMA modelsUsing out-of-sample mean squared prediction errors to test the martingale difference hypothesisInference on transformed stationary time seriesOn the relationship between oil and gas markets: a new forecasting framework based on a machine learning approachDeterministic chaos and fractal attractors as tools for nonparametric dynamical econometric inference: With an application to the Divisia monetary aggregatesLong-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility`Time-series' versus `econometric' forecasts: a non-linear regression counterexampleConsistent estimation of equations with composite moving average disturbance termsCovariance tapering for prediction of large spatial data sets in transformed random fieldsHierarchical Poisson models for spatial count dataForecasting Levels in Loglinear Unit Root ModelsLong memory relationships and the aggregation of dynamic modelsTesting for Equal Predictability of Stationary ARMA ProcessesGranger-causality in multiple time seriesAsymptotics for out of sample tests of Granger causalityOn a simple identity for the conditional expectation of orthogonal polynomialsSwitching equilibria: the present value model for stock prices revisitedTensorial products of functional ARMA processesTensorial products of functional ARMA processesSome unresolved issues in the application of control theory to economic policy-makingA characterization of the innovations of first order autoregressive modelsOn the transformation of raw time series data: A reviewFactor ARMA representation of a Markov processThe use of \(R^2\) to determine the appropriate transformation of regression variablesTests of equal forecast accuracy and encompassing for nested modelsA new look at the relationship between time-series and structural econometric modelsA Monte Carlo study of autoregressive integrated moving average processesA reply to AndersonA note on the time series which is the product of two stationary time seriesVolatility forecasting and microstructure noiseExperience with using the Box-Cox transformation when forecasting economic time seriesEstimation and testing for functional form and autocorrelationTransformations and seasonal adjustmentSome generalizations on the algebra of I(1) processesInterval predictor models: identification and reliabilityTesting for ARCH in the presence of a possibly misspecified conditional meanGeneralized autoregressive conditional heteroscedasticityRuin theory in the linear modelOn the Brown method of exponential smoothingAsymptotic properties of rank estimators in a simple spatial linear regression model under spatial sampling designsParsimonious modelling and forecasting of seasonal time seriesSpecial issue on Nonlinear time series models. Part 2. 16th Rencontres Franco-Belges de Statisticiens, Bruxelles, Belgium, November 23--24, 1995Arch model with Box-Cox transformed dependent variableProperties of nonlinear transformations of fractionally integrated processes.Removing Forecasting Errors with White Gaussian Noise after Square Root TransformationAutocovariance functions of series and of their transforms




This page was built for publication: