Clive William John Granger
Profesor Sir Clive William John Granger se narodil 4. září 1934 ve městě Swansea v jižním Walesu ve Velké Británii.
Bakalářská studia matematiky absolvoval v roce 1955 na anglické University of Nottingham a doktorát ze statistiky získal v roce 1959 na téže univerzitě. Roku 1960 se oženil s Patricií, asistentkou profesora z Univerzity a později se stává otcem Williama a Claire. Na University of Nottingham také až do roku 1974 vyučoval matematiku a ekonomii. V roce 1964 se stal docentem matematiky a o rok později pak profesorem aplikované statistiky a ekonometrie. Od roku 1974 přednášel na University of California, San Diego. Ke konci roku 2003, kdy se stal nositelem Nobelovy ceny, pak stále vitální profesor Granger působí na University of Canterbury na Novém Zélandě, kde přednáší a věnuje se i nadále výzkumu a kam odešel z rušných Spojených států. C. W. J. Granger umírá ve věku 74 let v San Diegu v Kalifornii dne 27. května 2009.
Významnou fází Grangerova života byla 70. a 80. léta, kdy působil na University of California a velmi úzce zde spolupracoval se současným spolunositelem Ceny Švédské banky za ekonomii na paměť Alfreda Nobela (Nobelovy ceny), s americkým profesorem Robertem F. Englem. Společně napsali knihu, věnovanou dlouhodobým ekonomickým vztahům, která vyšla v nakladatelství Oxford University Press v roce 1991.
Clive W. J. Granger se zabýval zejména problematikou ekonometrických a statistických metod, finančními trhy a metodologií ekonomie a věnoval se i problematice metodologie ekonometrie a otázkám multivariantních nelineárních řad s možnou aplikací především v makroekonomii. Jeho metody jsou využívány převážně při zkoumání závislosti spotřeby na jiných veličinách, jako je např. permanentní důchod, bohatství nebo příjmy, apod.
Už v polovině 70. let ukázal Granger ve spolupráci s Paulem Newboldem, že pokud v ekonomických datech není splněn důležitý předpoklad stacionarity (což většinou není), pak může dojít k tomu, že klasická statistická analýza může mylně vyvodit výrazné vzájemné vztahy mezi veličinami, které spolu nemají ve skutečnosti nic společného.
Pozdějším velkým Grangerovým příspěvkem k této tezi je pak závěr, že jednou z možností je upravit nestacionární časové řady tak, aby se stacionárními staly jiným způsobem a že s uplatněním této konkrétní metody se pak lze vyhnout řadě vážných chyb při analýzách.
Grangerovy a Engleho postupy tak vytlačily a překonaly klasickou statistickou analýzu a odstraňují nejhorší omyly v hodnocení závislostí makroekonomických veličin.
„Moje výzkumy užívají centrální banky i různé společnosti k vytváření modelů, jež jim umožňují určovat jejich politiku a předvídat vývoj důležitých hospodářských ukazatelů“, řekl svého času agentuře Reuters sám profesor Clive William John Granger.
Knihy
GRANGER, C. W. J., ANDERSEN, L., REIS, E. et al. The dynamics of deforestation and economic growth in the Brazilian Amazon. Cambridge University Press, 2002.
Essays in econometrics. Collected papers of Clive W. J. Granger. Two volumes edited by E. Ghysels, N. R. Swanson, M. W. Watson. Econometric Society Monographs, Cambridge University Press, 2001.
GRANGER, C. W. J. Empirical modeling in economics: Specification and evaluation. Cambridge University Press, 1999.
TERÄSVIRTA, T., GRANGER, C. W. J. A simple nonlinear time series model with misleading linear properties. Stockholm School of Economics, 1998.
GRANGER, C. W. J., TERÄSVIRTA, T. Modeling nonlinear economic relationships. Oxford University Press, 1993.
Long run economic relationships: Readings in cointegration. Edited by C. W. J. Granger, R. Engle. Oxford University Press, 1991.
Modelling economic series: Readings in econometric methodology. Edited by C. W. J. Granger. Clarendon Press, 1991.
GRANGER, C. W. J., NEWBOLD, P. Forecasting economic time series. Academic Press, 1986.
GRANGER, C. W. J. Forecasting in business and economics. Academic Press, 1980.
GABOR, A., GRANGER, C. W. J. Pricing: principles and practices. London: Heinemann Educational Books, 1977.
GRANGER, C. W. J., ANDERSEN, A. Introduction to bilinear time series models. Vandehoeck & Ruprect, 1978.
Trading in commodities. Edited by C. W. J. Granger. Cambridge: Woodhead-Faulkner, 1974.
GRANGER, C. W. J., LABYS, W. C. Speculation, hedging and forecasts of commodity prices. Heath and Co., 1970.
GRANGER, C. W. J., HATANAKA, M. Spectral analysis of economic time series. Princeton University Press, 1964.
Články
GRANGER, C. W. J. Dynamics of model overfitting measured in term sof autoregressive roots. Journal of Time Series Analysis, 2006, vol. 27, no. 3, p. 347 – 365.
GRANGER, C. W. J. Introduction to m-m processes. Journal of Econometrics, 2006, vol. 130,. no. 1, p. 143 – 164.
GRANGER, C. W. J. Modelling, evaluation and methodology in the new century. Economic Inquiry, 2005, vol. 43, no. 1, p. 1 – 12.
GRANGER, C. W. J. The past and future of empirical finance: some personal comments. Journal of Econometrics, 2005, vol. 129, no. 1-2, p. 35 – 40.
GRANGER, C. W. J., GIACOMINI, R. Aggregation of space-time processes. Journal of Econometrics, 2004, vol. 118, no. 1-2, p. 7 – 26.
GRANGER, C. W. J. A dependence metric for possibly nonlinear processes. Journal of Time Series Analysis, 2004, vol. 25, no. 5. p. 649 – 669.
GRANGER, C. W. J., TIMMERMANN, A. Efficient market theory and forecasting: A new formulation. International Journal of Forecasting, 2004, vol. 20, no. 1, p. 15 – 27.
GRANGER, C. W. J. Evaluating significance comments on „size matters“. The Journal of Socio-Economics, 2004, vol. 33, no. 5, p. 547 – 550.
GRANGER, C. W. J. Forecasting performance of information criteria with many macro series. Journal of Applied Statistics, 2004, vol. 31, no. 10, p. 1227 – 1240.
GRANGER, C. W. J. Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance, 2004, vol. 11, no. 3, p. 399 – 421.
GRANGER, C. W. J., JEON, Y. Thick modelling. Economic Modelling, 2004, vol. 21, no. 2, p. 323 – 343.
GRANGER, C. W. J. Time series analysis, cointegration, and applications. American Economic Review, 2004, vol. 94, no. 3, p. 421 – 425.
GRANGER, C. W. J., JEON, Y. Comparing forecasts of inflation using time distance. International Journal of Forecasting, 2003, vol. 19, no. 3. p. 339 – 349.
GRANGER, C. W. J. Forecasting business cycles using deviations from long-run economic relationships. Macroeconomic Dynamics, 2003, vol. 7, no. 5, p. 734 – 758.
GRANGER, C. W. J., POON, S. Forecasting volatility in financial markets. Journal of Economic Literature, 2003, vol. 41, no. 2, p. 478 – 539.
GRANGER, C. W. J. Interactions between large macro models and time series analysis. International Journal of Finance & Economics, 2003, vol. 8, no. 1, p. 1 – 10.
GRANGER, C. W. J. Long memory process: an economists viewpoint. In: Advances in Statistics, Combinations, and related Areas. Edited by C. Gulats, et al., p. 100 – 111, World Scientific Publishers, 2003.
GRANGER, C. W. J. Some aspects of casual relationships. Journal of Econometrics, 2003, vol. 112, no. 1, p. 69 – 71.
GRANGER, C. W. J. A time-distance criterion for evaluating forecasting models. International Journal of Forecasting, 2003, vol. 19, no. 2, p. 199 – 215.
GRANGER, C. W. J. Time series concepts for conditional distribution. Oxford Bulletin of Economics and Statistics, 2003, vol. 65 (supplement), p. 639 – 701.
GRANGER, C. W. J. Comments on risk. Journal of Applied Econometrics, 2002, vol. 17, p. 447 – 456.
GRANGER, C. W. J. JEON, Y. The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution. Applied Financial Economics, 2002, no. 11, p. 469 – 474.
GRANGER, C. W. J. Economists and statiscians. In: The Expansions of Economics. Edited by S. Grossbard-Schechtman, C. Clague. M. E. Sharpe Publishers, 2002.
GRANGER, C. W. J. On the properties of forecasts used in optimal economic decision. Journal of Public Economics, 2002, no. 2, p. 347 – 356.
GRANGER, C. W. J., GALLO, G., JEON, Y. Copycats and common swings: the impact of the use of forecasts in information set. IMF Staff Papers, vol. 49, p. 4 – 21.
GRANGER, C. W. J., SILVAPULLE, P. Large returns, conditional correlation and portfolio diversification: a value-at-risk approach. Quantitative Finance, 2001, no. 1, p. 1 – 10.
GRANGER, C. W. J. Macroeconomics – past and future. Journal of Econometrics, 2001, vol. 100, p. 17 – 19.
GRANGER, C. W. J., HYUNG, N., JEON, Y. Spurious regressions with stationary series. Applied Economics, 2001, vol. 33, p. 899 – 904.
GRANGER, C. W. J., HUANG, B. N., YANG, C. W. Bivariate causality between stock prices and exchange rates in Asian countries. The Quarterly Review of Economics and Finance, 2000, vol. 40, p. 337 – 354.
GRANGER, C. W. J., PESARAN, M. H. Economic and statistical measures of forecast accuracy. Journal of Forecasting, 2000, vol. 19, p. 537 – 560.
GRANGER, C. W. J., JEON, Y. Model evaluation based on residual analysis of two similar models. Applied Economics, 2000, vol. 32, p. 861 – 867.
GRANGER, C. W. J., SIN, C.-Y. Modeling the absolute returns of different stock indices: exploring the forecastability of an alternative measure of risk. Journal of Forecasting, 2000, vol. 19, p. 277 – 298.
GRANGER, C. W. J., TIMMERMANN, A. Data mining with local model specification uncertainty: a discussion of Hoover and Perez. Economic Journal, 1999, no. 2, p. 220 – 225
GRANGER, C. W. J. Outline of forecast theory using generalized cost functions, Spanish Economic Review, 1999, no. 1, p. 161 – 174.
GRANGER, C. W. J. Overview of nonlinear time series specifications in economics. Academia Economic Papers (Academia Sinica, Taiwan), 1999, vol. 27, p. 433 – 458.
GRANGER, C. W. J., TERÄSVIRTA, T. A simple nonlinear model with misleading linear properties. Economic Letters, 1999, vol. 62, p. 161 – 165.
GRANGER, C. W. J. Two aspects of the methodology of modeling deterministi processes and evaluation. In: Advances in Econometrics. Income Distribution and Scientific Methodology: Essays in Honor of Camilo Dagun. Edited by D. J. Slotje. Physical-Verlag, 1999.
GRANGER, C. W. J. Comment on „ Forecasting economic processes“ by M. P. Clemens and D. F. Hendry. International Journal of Forecasting, 1998, vol. 14, p. 133 – 134.
GRANGER, C. W. J. Comment on „Real and spurious properties of stock market data“ by L. N. Lobato and N. E. Savin. Journal of Business and Economic Statistics, 1998, vol. 16, p. 269.
GRANGER, C. W. J. Comment on „Time series approach to econometric models of the Taiwan economy“, Statistica Sinica, 1998, no. 8, p. 1026 – 1027.
GRANGER, C. W. J., EDERS, W. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business and Economic Statistic, 1998, vol. 16, p. 304 – 311.
GRANGER, C. W. J., SWANSON, N. Impulse response functions based on a causal approach to residual orthogonalization in VAR’s. Journal of Business and Economic Statistics, 1997, vol. 92, p. 357 – 367.
GRANGER, C. W. J. An introduction to stochastic unit-root processes. Journal of Econometrics, 1997, vol. 80, p. 35 – 62.
GRANGER, C. W. J. On modeling the long run in applied economics. The Economic Journal, 1997, vol. 107, p. 109 – 179.
GRANGER, C. W. J., INOUE, T., MORIN, N. Non-linear stochastic trends. Journal of Econometrics, 1997, vol. 81, p. 65 – 92.
GRANGER, C. W. J., ANDERSEN, L. E. A random coefficient VAR transition model of changes in land use in the Brazilian Amazon. Revista do Econometrica (Brazilian Review of Econometrics), 1977, vol. 17, p. 1 – 14.
GRANGER, C. W. J., HALDRUP, N. Separation in cointegrated systems, long memory components, and common stochastic trends. Oxford Bulletin of Economics and Statistics, 1997, vol. 59, p. 449 – 464.
GRANGER, C. W. J., ENGLE, R., RAMANATHAN, R., et al. Short-run forecasts of elecricity loads and peaks. International Journal of Forecasting, 1997, vol. 13, p. 161 – 174.
GRANGER, C. W. J., SIKLOS, P. Temporary cointegration with an application to interest rate parity. Macroeconomic Dynamics, 1997, no. 1, p. 640 – 657.
GRANGER, C. W. J. Can we improve the perceived quality of economic forecasts? Journal of Applied Economentrics, 1996, vol. 11, p. 455 – 474.
GRANGER, C. W. J., SWANSON, N. Further developments in the study of cointegrated variables. Oxford Bulletin of Economics and Statistics, 1996, vol. 58, p. 537 – 553.
GRANGER, C. W. J. Introducing non-linearity into cointegration. Revista do Econometrica (Brazilian Review of Econometrics), 1996, vol. 16, p. 25 – 36.
GRANGER, C. W. J., GHYSELS, E., SIKLOS, P. Is seasonal adjustment a linear or nonlinear data filtering process? Journal of Business and Economics Statistics, 1996, vol. 14, p. 374 – 386.
GRANGER, C. W. J., DING, Z. Modeling volatility persistence of speculative returns. Journal of Econometrics, 1996, vol. 73, p. 185 – 215.
GRANGER, C. W. J., DING, Z. Varieties of long-memory models. Journal of Econometrics, 1996, vol. 73, p. 61 – 77.
GRANGER, C. W. J., LIN, J. L. Causality in the long-run. Econometric Theory, 1995, vol. 11, p. 530 – 536.
GRANGER, C. W. J., GONZALO, J. Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic Statistics, 13. January 1995, p. 27 – 36.
GRANGER, C. W. J. Modelling nonlinear relationships between extended-memory variables. Econometrica, 1995, vol. 63, p. 265 – 279.
GRANGER, C. W. J. Non-linear relationships between extended memory series. Econometrica, 1995, vol. 63, p 265 – 279.
GRANGER, C. W. J., DING, Z. Some properties of absolute return. An alternative measure of risk. Annales d’Economie et de Statistique, 1995, vol. 40, p. 67 – 92.
GRANGER, C. W. J. , SIKLOS, P. Systemic sampling, temporal aggregation, seasonal adjustment and cointegration. Journal of Econometrics, 1995, vol. 66, p. 357 – 369.
GRANGER, C. W. J., DEUTSCH, M., TERÄSVIRTA, T. The combination of forecasts using changing weights. International Journal of Forecasting, 1994, no. 10, p. 47 – 57.
GRANGER, C. W. J., LIN, J. L. Forecasting from non-linear models in practice. Journal of Forecasting, 1994, vol. 13, p. 1 – 10.
GRANGER, C. W. J. Is chaotic economic theory relevant for economics? A review essay. Journal of International and Comparative Economics, 1994, no. 3, p. 139 – 145.
GRANGER, C. W. J. Some comments on empirical investigations involving cointegration. Econometric Review, 1994, vol. 32, p. 345 – 350.
GRANGER, C. W. J., LIN, J. L. Using the mutual information coefficient to identify lags in non-linear models. Journal of Time Series Analysis, 1994, vol. 15, p. 371 – 384.
GRANGER, C. W. J. Comments on „The limitation of comparing mean square forecast errors“ by M. P. Clements and D. F. Hendry. Journal of Forecasting, 1993, vol. 12, p. 651 – 652.
GRANGER, C. W. J., KING, M., WHITE, H. Comments on testing economic theories and the use of model selection criteria. Journal of Econometrics, 1993, vol. 58.
GRANGER, C. W. J. Comments on „Testing for common features“ by R. F. Engle and S. Kozicky. Journal of Business and Economic Statistics, 1993, vol. 11, p. 384 – 385.
GRANGER, C. W. J. Implications of seeing economic variables through an aggregation window. Ricerche Economiche, 1993, vol. 47, p. 269 – 279.
GRANGER, C. W. J., DING, Z., ENGLE, R. A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1993, no. 1, p. 83 – 106.
GRANGER, C. W. J., TERÄSVIRTA, T., LIN, C. F. The power of the neural network linearity test. Journal of Time Series Analysis, 1993, vol. 14, p. 209 – 220.
GRANGER, C. W. J., ENGLE, R., HYLLEBERG, S., et al. Seasonal cointegration: The Japanese consumption function. Journal of Econometrics, 1993, vol. 55, p. 275 – 298.
GRANGER, C. W. J., ERMINI, L. Some generalizations of the algebra of I(1) processes. Journal of Econometrics, 1993, vol. 58, p. 369 – 384.
GRANGER, C. W. J. Strategies for modelling nonlinear time series relationships. Economic Record, 1993, vol. 60, p. 233 – 238.
GRANGER, C. W. J., LEE, T. H., WHITE, H. Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests. Journal of Econometrics, 1993, vol. 56, p. 269 – 290.
GRANGER, C. W. J. What are we learning about the long-run? Economic Journal, 1993, vol. 103, p. 307 – 317.
GRANGER, C. W. J., DEUTSCH, M. Comments on the Evaluation of policy models. Journal of Policy Modelling, 1992, vol. 14, p. 497 – 516.
GRANGER, C. W. J. Comments on two papers concerning Chaos and Statistics by Chatterjee, Yilmarz and Berliner. Statistical Science, 1992, no. 7, p. 69 – 122.
GRANGER, C. W. J. Evaluating economic theory. Guest editorial. Journal of Econometrics, 1992, vol. 51, p. 3 – 5.
GRANGER, C. W. J. Forecasting stock market prioes – lessons for forecasters. International Journal of Forecasting, 1992, vol. 8, p. 3 – 13.
GRANGER, C. W. J., HALL, A. D., ANDERSON, H. Treasury bill curves and cointegration. Review of Economics and Statistics, 1992, vol. 74, p. 116 – 126.
GRANGER, C. W. J., LIU, T., HELLER, W. Using the correlation exponent to decide if an economic series is chaotic. Journal of Applied Econometrics, 1992, 7S, p. 525 – 540.
GRANGER, C. W. J. Developments in the nonlinear analysis of economic series. Scandinavian Journal of Economics, 1991, vol. 93, p. 263 – 276.
GRANGER, C. W. J., HALLMAN, J. Long memory processes with atttractors. Oxford Bulletin of Economics and Statistics, 1991, vol. 53, p. 11 – 26.
GRANGER, C. W. J., HALLMAN, J. Nonlinear transformations of integrated time series. Journal of Time Series Analysis, 1991, no. 12, p. 207 – 224.
GRANGER, C. W. J., URLIG, H. Reasonable extreme bounds. Journal of Econometrics, 1990, vol. 44, p. 159 – 170.
GRANGER, C. W. J., LEE, T. H. Multicointegration. Advances in Econometrics, 1990, no. 8, p. 17 – 84.
GRANGER, C. W. J., ENGLE, R., HYLLEBERG, S., et al. Seasonal integration and co-integration. Journal of Econometrics, 1990, vol. 44, p. 215 – 238.
GRANGER, C. W. J. Some recent generalization of cointegration and the analysis of long-run Relationship. (Translated into Spanish). Caudernos Economics, 1990, vol. 44, p. 43 – 52.
GRANGER, C. W. J. Combining forecasts – twenty years later. Journal of Forecasting, 1989, no. 8, p. 167 – 174.
GRANGER, C. W. J., ENGLE, R., HALLMAN, J. Combining short and long-run forecasts: an application of seasonal co-integration to monthly electricity sales forecasting. Journal of Econometrics, 1989, vol. 40, p. 45 – 62.
GRANGER, C. W. J., WHITE, H., KAMSTRA, M. Interval forecasting: an analysis based upon ARCH-quantile estimators. Journal of Econometrics, 1989, vol. 40, p. 87 – 96.
GRANGER, C. W. J., LEE, T. H. Investigation of production, sales and inventory relationship using multicointegration and nonsymmetric error correction models. Journal of Applied Econometrics, 1989, no. 4, p. 145 – 159.
GRANGER, C. W. J. Causality, cointegration and control. Journal of Economic Dynamics and Control, 1988, vol. 12, no. 2/3.
GRANGER, C. W. J. Models that generate trends. Journals of Time Series Analysis, 1988, no. 9, p. 329 – 343.
GRANGER, C. W. J. Some recent developments in a concept of causality. Journal of Econometrics, 1988, vol. 39, p. 199 – 211.
GRANGER, C. W. J., ENGLE, R. Co-integration and error-correction representation, estimation, and testing. Econometrica, 1987, vol. 55, p. 251 – 276.
GRANGER, C. W. J. Implications of aggregation with common factors. Econometric Theory, 1987, no. 3, p. 208 – 222.
GRANGER, C. W. J., THOMSON, P. Predictive consequences of using conditioning on causal variables. Econometric Theory, 1987, no. 3, p. 150 – 152.
GRANGER, C. W. J., KUAN, C.-M., MATTSON, M., et al. Trends in unit energy consumption. The performance of end-use models. Energy, 1987, vol. 14, p. 943 – 960.
GRANGER, C. W. J. Developments in the study of co-integrated economic variables. Oxford Bulletin of Economics and Statistics, 1986, vol. 48, p. 213 – 228.
GRANGER, C. W. J., ENGLE, R., RICE, J., et al. Semi-parametric estimates of the relation between weather and electricity demand. Journal of American Statistical Association, 1986, vol. 81, p. 310 – 320.
GRANGER, C. W. J., ENGLE, R., TRAIN, K., et al. The billing cycle and weather variables in models of electricity sales. Energy, 1984, no. 9, p. 1061 – 1067.
GRANGER, C. W. J., ENGLE, R., KRAFT, D. Combining competing forecasts of inflation using a bivariate ARCH model. Journal of Economic Dynamics and Control, 1984, no. 8, p. 151 – 165.
GRANGER, C. W. J., RAMANATHAN, J. Improved methods of combining forecasting. Journal of Forecasting, 1984, no. 3, p. 197 – 204.
GRANGER, C. W. J. Comments on „The econometric analysis of economic time series“ by Hendry and Richard. International Statistical Review, 1983, vol. 51, p. 151 – 153.
GRANGER, C. W. J. Acronyms in time series analysis (ATSA). Journal of Time Series Analysis, 1982, no. 3, p. 103 – 107.
GRANGER, C. W. J. Some properties of time series data and their use in econometric model specification. Journal of Econometrics, suplement, Annals of Econometrics, 1981, vol. 16, p. 121 – 130.
GRANGER, C. W. J., ASHLEY, R., SCHMALENSEE, R. Advertising and aggregate consumption: an analysis of causality. Econometrica, 1980, vol. 48, p. 1149 – 1168.
GRANGER, C. W. J., JOYEUX, R. An introduction to long-memory time series. Journal of Time Series Analysis, 1980, no. 1, p. 15 – 30.
GRANGER, C. W. J. Long-memory relationships and the aggregation of dynamic models. Journal of Econometrics, 1980, vol. 14, p. 227 – 238.
GRANGER, C. W. J. Testing for causality, a personal viewpoint. Journal of Economic Dynamics and Control, 1980, no. 2, p. 329 – 352.
GRANGER, C. W. J., NELSON, H. L. Experience using the Box-Cox transformation when forecasting economic time series. Journal of Econometrica, 1979, no. 9, p. 57 – 69.
GRANGER, C. W. J. Nearer normality and some econometric models. Econometrica, 1979, vol. 47, p. 781 – 784.
GRANGER, C. W. J. New classes of time-series models. The Statistician, 1979, vol. 27, p. 237 – 253.
GRANGER, C. W. J.. ANDERSON, A., ENGLE, R., et al. Residential load curves and time-of-day pricing. Journal of Econometrics, 1979, no. 9, p. 13 – 32.
GRANGER, C. W. J., ASHLEY, R. Time series analysis of residuals from the St. Louis model. Journal of Macroeconomics, 1979, no. 1, p, 373 – 394.
GRANGER, C. W. J., ANDERSEN, A. P. On the invertibility of time series models. Processes and Their Applications, 1978, no. 8, p. 87 – 92.
GRANGER, C. W. J. Comment on „Relationship – and the lack thereof – between economic time series, with special reference to money and interest rates“ by D. A. Pierce. Journal of the American Statistical Association, March 1997, p. 22 – 23.
GRANGER, C. W. J. Tendency towards normality of linear combinations of random variables. Metrica, 1977, vol. 23, p. 237 – 248.
GRANGER, C. W. J., NEWBOLD, P. Forecasting transformed variables. Journal of the Royal Statistical Society, 1976, vol. B 38, p. 189 – 203.
GRANGER, C. W. J., MORRIS, M. Time series modelling and interpretation. Journal of the Royal Statistical Society, 1976, vol. A 139, p. 246 – 257.
GRANGER, C. W. J., NEWBOLD, P. The use of R2 to determine the appropriate transformation of regression variables. Journal of Econometrics, 1976, no. 4, p. 120 – 205.
GRANGER, C. W. J. Aspects of the analysis and interpretation of temporal and spatial data. The Statistician, 1975, vol. 24, p. 189 – 203.
GRANGER, C. W. J. Some consequences of the valuation model when expectations are taken to be optimum forecasts. Journal of Finance, 1975, vol. 30, p. 135 – 145.
GRANGER, C. W. J., NEWBOLD, P. Experience with statistical forecasting and with combined forecasts. Journal of Royal Statistical Society, 1974, p. 131 – 165.
GRANGER, C. W. J., NEWBOLD, P. Spurious regressions in econometrics. Journal of Econometrics, 1974, no. 2, p. 111 – 120.
GRANGER, C. W. J., NEWBOLD, P. Evaluation of forecasts. Applied Economics, 1973, no. 5, p. 35 – 47.
GRANGER, C. W. J. Statistical forecasting – a survey. Survey Paper in Economics, no. 9, January 1973.
GRANGER, C. W. J., NIARCHOS, N. A. The gold sovereign market in Greece – an unusual speculative market. Journal of Finance, 1972, vol. 27, p. 1127 – 1135.
GRANGER, C. W. J., ORR, D. Infinite variance and research strategy in time series analysis. Journal of American Statistical Association, 1972, vol. 67, p. 275 – 285.
GRANGER, C. W. J., GABOR, A. Ownership and acquisition of consumer durables. European Journal of Marketing, 1972, no. 6, p. 234 – 248.
GRANGER, C. W. J., HUGHES, A. O. A new look at some old data: the Beveridge wheat price series. Journal Royal Statistical Society, 1971, Series A, vol. 134, p. 413 – 428.
GRANGER, C. W. J., SOWTER, A. P., GABOR, A. The effect of price on choice: a theoretical and empirical investigation. Applied Economics, 1971, no. 3, p. 167 – 182.
GRANGER, C. W. J., GABOR, A., SOWTER, A. P. Real and hypothetical shop situations in market research. Journal of Marketing Research, 1970, no. 7, p. 355 – 359.
GRANGER, C. W. J., BATES, J. The combination of forecasts. Operational Research Quarterly, 1969, vol. 20, no. 4, p. 451 – 468.
GRANGER, C. W. J., SOWTER, A. P., GABOR, A. The influence of price differences on brand shares and switching. British Journal of Marketing, Winter 1969, p. 223 – 230.
GRANGER, C. W. J. Investigation causa relations by econometric models and Gross spectral methods. Econometrica, 1969, vol. 37, p. 428 – 438.
GRANGER, C. W. J. Prediction with a generalized cost of error function. Operational Research Quarterly, 1969, vol. 20, no. 2, p. 199 – 207.
GRANGER, C. W. J. Testing for causality and feedback. Econometrica, 1969, vol. 37, p. 424 – 438.
GRANGER, C. W. J., HUGHES, A. O. Spectral analysis of short series – a simulation study. Journal of the Royal Statistical Society, 1968, Series A, vol. 131, p. 83 – 99.
GRANGER, C. W. J., REES, H. Spectral analysis of the term structure of interest rate. Review of Economic Studies, 1968, vol. 35, p. 67 – 76.
GRANGER, C. W. J., NEAVE, H. Two-sample tests for differences in mean – results of a simulation study. Technometrics, 1968, no. 10, p. 509 – 522.
Working papers, proceedings, přednášky, aj.
GRANGER, C. W. J. Evaluation of theories and models. In Econometrics and the Philosophy of Economics by B. Stigum. Princeton University Press, 2003.
GRANGER, C. W. J. Comparing the methodologies using by statisticians and economists. In The Expansion of Economics. Edited by S. Grossbard-Schechtman, C. Clague. M. Sharp, 2002.
GRANGER, C. W. J., MACHINA, M. Structurally-induced volatility clustering UCSD Working Paper, 2002.
GRANGER, C. W. J. Evaluation of forecasts. In Understanding Economic Forecasts. Edited by D. Hendry, N. Ericsson. MIT Press, 2001.
GRANGER, C. W. J. Current perspectives on long-memory processes. In Chung-Hua Series of Lectures by Invited Eminent Economists, vol. 26, 2000.
GRANGER, C. W. J., PESARAN, M. H. A decision theoretic approach to forecast evaluation. In Statistics and Finance: An interface. Edited by W. S. Chan, W. K. Lin, H. Tong. Imperial College Press, London, 1999.
GRANGER, C. W. J., HYUNG, N. Spurious stochastics in a panel model. UCSD Working Paper. Published in Portuguese in IPEA journal, Pesquisa e Planejamento Economico, 1997, vol. 27, p. 461 – 492.
GRANGER, C. W. J., HYUNG, N., JEON, Y. Stochastic fractional unit root processes. Athens conference on applied probability and time series. Vol. II., Time series analysis in memory of E. J. Hannan. Edited by P. M. Robinson, M. Rosenblatt, p. 190 – 204. Lecture notes in statistics, 115, Springer, Berlin, 1996.
GRANGER, C. W. J. Comments on Determining causal ordering in economics by S. LeRoy. Chapter in Macroeconomics: Developments, Tensions, and Prospects. Edited by K. D. Hooper. Kluwer Publisher, 1995.
GRANGER, C. W. J., TERÄSVIRTA, T., TJOSTHEIM, D. Nonlinear time series. Invited chapter for Handbook of Econometrics. Edited by R. Engle, D. McFadden. North Holland, 1995.
GRANGER, C. W. J., LEE, T. H. The effect of aggregation on nonlinearity. In Advances in Statistical Analysis and Statistical Computing. Edited by R. Mariano, vol. 3. JAI Press Inc., 1993.
GRANGER, C. W. J., TERÄSVIRTA, T., ANDERSON, H. Modelling non-linearity over the business cycle. In Business cycles, Indicators, and Forecasting. Edited by J. Stock, M. Watson. National Bureau Economic Research, 1993.
GRANGER, C. W. J. Overview of forecasting in economics. Conference proceedings. Predicting the Future and Understanding the Past: A Comparison of Approaches. Edited by A. Weigend. Addison-Wesley, 1993.
GRANGER, C. W. J. Positively related processes and cointegration. In Developments in Time Series Analysis. Edited by T. S. Rao. Chapman and Hall, London, 1993.
GRANGER, C. W. J., TERÄSVIRTA, T. Experiments in modelling relationships between nonlinear time series. In Nonlinear Modelling and Forecasting. Edited by M. Casdagli, S. Eubank. Addison Wesley, 1992.
GRANGER, C. W. J., LEE, H. S. An introduction to time-varying parameter cointegration. In Economic Structural Changes. Edited by P. Hackl, A. Westlund. Springer-Verlag, 1991.
GRANGER, C. W. J. Reducing self-interest and improving the relevance of economics research. Proceedings of the 9th International Conference of Logic, Methodology and Philosophy of Science, Uppsala, Sweden, 1991.
GRANGER, C. W. J. Time series econometrics. Chapter 17 of Companion to Contemporary Economic Thought. Edited by D. Greenway, et al. London: Routledge, 1991.
GRANGER, C. W. J. Aggregation of time series variables – a survey. In Disaggregation in Econometric Modelling. Edited by T. Barker, H. Pesaran. London: Routledge, 1990.
GRANGER, C. W. J. Where are the controversies in econometrics methodology? In Modelling Economic Series, Oxford Press, 1990.
GRANGER, C. W. J. Causality testing in a decision science. In Proceedings of Conference on Probabilistic Causality, University of California, Irvine, 1985, Causation, Change and Credence. Edited by B. Skyrms, W. K. Harper. Kluwer Publishers, 1988, p. 3 – 22.
GRANGER, C. W. J. Comments on econometric methodology. Presented at Bicentennial economics conference, Canberra, Australia, August 1988. Economic Record, 1988, p. 327 – 330.
GRANGER, C. W. J., ENGLE, R. Econometric forecasting – a brief survey of current and future techniques. Forecasting in the Social and National Sciences. Edited by K. Land, S. Schneider. D. Reidel Publishing, 1988, p. 117 – 140.
GRANGER, C. W. J. Are economic variables really integrated of order one? In Time Series and Econometric Modelling. Edited by I. B. MacNeil, G. J. Umphrey.D. Reidel Publishing Co., 1987.
GRANGER, C. W. J., HOROWITZ, J., WHITE, H. The California energy data bank. A UERG California Energy Studies Report, April 1986.
GRANGER, C. W. J., RAMANATHAN, R., ENGLE, R. Two step modelling for short term forecasting. Comparative Models for Electrical Load Forecasting. Edited by D. W. Bunn, E. D. Farmer. Wiley and Sons, 1985.
GRANGER, C. W. J., RAMANATHAN, R., ENGLE, R., et al. Weather normalization of electricity sales. Proceedings EPRI Dallas Conference, „Short-run load forecasting“, EPRI publication FA-4080, June 1985.
GRANGER, C. W. J., ROBINS, R., ENGLE, R. Wholesale and retail prices: bivariate time series modelling with forecastable error variances. In Model Reliability. Edited by Kuh, Belsley. MIT Press, 1985, p. 1 – 16.
GRANGER, C. W. J., ENGLE, R. Applications of spectral analysis in econometrics. Handbook of Statistics, vol. 3, Time Series and Frequency Domain. Edited by D. Brillinger, P. R. Krishnaiah, 1984, p. 93 – 109.
GRANGER, C. W. J., HUYNH, F., ESCRIBANO, A., et al. Computer investigation of some non-linear time series models. Proceedings of Conference on computer Science and Statistics, Atlanta, March 1984, North Holland Publishers.
GRANGER, C. W. J., WATSON, M. Time series and spectral methods in econometrics. Chapter 16 of the Handbook of Econometrics. Edited by Z. Griliches, M. Intriligator, 1984, p. 980 – 1022.
GRANGER, C. W. J. Forecasting white noise. In Applied Time Series Analysis of Economic Data. Proceedings of the Conference on Applied Time Series Analysis of Economic Data (October 1981). Edited by A. Zellner. U.S. Government Printing Office, 1983.
GRANGER, C. W. J. Generating mechanisms, models and causality. Contributed paper to Fifth World Econometrics Conference, Aix-en-Provence, 1980. Published in Advances in Econometrics. Edited by W. Hildebrand. Cambridge University Press, 1983.
GRANGER, C. W. J., WEISS, A. Time series analysis of error-correction models. Studies in Econometrics, Time Series and Multivariate Statistics, in honor of T. W. Anderson. Edited by S. Karlin, T. Amemiya, L. A. Goodman. Academic Press, 1983.
GRANGER, C. W. J. The comparison of time series and econometric forecasting strategies. In Large Scale Macro-Econometrics Models, Theory and Practice. Edited by J. Kmenta, J. B. Ramsey. North Holland, 1981, p. 123 – 128.
GRANGER, C. W. J. Some comments on The role of time series analysis in econometrics. In Evaluation of Econometric Models. Edited by J. Kmenta, J. B. Ramsey. Academic Press, 1980, p. 339 – 341.
GRANGER, C. W. J. On the synthesis of time series and econometric models. Proceedings of Time Series Conference held at Ames, Iowa, July 1978. Directions in Time Series. Edited by D. Brillinger, G. Tiao. Institute of Mathematical Statistics, 1980.
GRANGER, C. W. J. Seasonality: causation, interpretation and implications. In Seasonal Analysis of Economic Time Series, Economic Research Report, ER-1. Edited by A. Kellner. Bureau of the Census, 1979.
GRANGER, C. W. J. Some recent developments in forecasting techniques and strategy. Proceedings Institute of Statisticians Cambridge Forecasting Forecasting Conference, as Forecasting. Edited by O. Anderson. North Holland, 1979.
GRANGER, C. W. J. Forecasting input-output tables using matrix time series analysis. Working Paper, Statistics Department, Australian National University, 1978.
GRANGER, C. W. J., ANDERSEN, A. Non-linear time series modelling. In Applied Time Series Analysis. Edited by D. F. Findley. Academic Press, New York, 1978, p. 25 – 38.
GRANGER, C. W. J. Some new time series model. Proceedings of SIMS conference. Time Series and Ecological Processes, SIAM, Philadelphia, 1978.
GRANGER, C. W. J. Comment on Relationship – and the lack thereof – between economic time series with special reference to money and interest rates by D. A. Pierce, Journal of the American Statistical Association, March 1997.
GRANGER, C. W. J., NEWBOLD, P. Identification of two-way causa models. In Frontiers of Quantitative Economics. vol. III, Edited by M. Intriligator. North Holland, 1977.
GRANGER, C. W. J., NEWBOLD, P. The time-series approach to econometric model building. Proceedings of conference organized by the Federal Reserve Bank of Minneapolis, November, 1975. Published as New Methods In Business Cycle Research, 1977.
GRANGER, C. W. J. Technical apendix to Pricing – Principles and Praktice by A. Gabor. Heinemann Press, London, 1977.
GRANGER, C. W. J., NEWBOLD, P. Forecasting economic series – the atheists viewpoints. In Modelling the Economy. Edited by G. A. Renton. Heinemann, London, April 1975, p. 131 – 147.
GRANGER, C. W. J. A survey of empirical studies in capital markets. In International Capital Marktes. Edited by E. J. Elton, M. Gruber. North Holland, 1975.
GRANGER, C. W. J. Causality, model building and control some comments. Proceedings of IEEE conference on Dynamic Modelling and Control of National Economics, Warwick, July 1973, p. 343 – 355.
GRANGER, C. W. J. Empirical studies in capital markets: a survey. In proceedings of conference held at Venice, September 1971. Edited by G. Szego, K. Shell. Mathematical Methods in Investment and Finance. North Holland, December 1972.
GRANGER, C. W. J. Random variables in time and and space. (In German). Proceedings of the ARPUD 70 conference on Regional Planning, Dortmund 1970. Published 1972.
GRANGER, C. W. J. What the random walk model does NOT say. Financial Analysis Journal, May-June 1970. Reprinted in Investment Analysis and Portfolio Mananagement. Edited by B. Taylor. Elek Books, London, 1970.
GRANGER, C. W. J., GABOR, A. The attitude of the consumer to prices. In Pricing Strategy. Edited by B. Tailor, G. Wills. Staples, London, 1969.
GRANGER, C. W. J. Spatial data and time series analysis. In Studies in Regional Sciences. Edited by A. J. Scott. Pion, London, 1969.
GRANGER, C. W. J. New techniques for analyzing economic time series and their place in econometrics.In Essays in Mathematical Economics (in honor of Oskar Morgenstern). Edited by M. Shubik. Princeton University Press, 1967.