Sir Clive W.J. Granger Memorial Special Issue on Econometrics: An Introduction

Jennifer L. Castle, David F. Hendry

Abstract

Clive W.J. Granger made many fundamental contributions to econometrics and was awarded the Sveriges Riksbank Prize in Economic Science in Memory of Alfred Nobel in 2003 for developing cointegration. This Special Issue reviews his contributions to Granger causality, forecasting, cointegration, fractional integration, non-linearity and model selection. 

Keywords

Clive Granger, Granger causality, forecasting, cointegration, fractional integration, non-linearity, model selection.

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