A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with Granger.

The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

Chapter 1: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
Chapter 2: A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator
Chapter 3: Evaluating Density Forecasts: The Survey of Professional Forecasters
Chapter 4: Ranking Competing Multi-step Forecasts
Chapter 5: The Pervasiveness of Granger Causality in Econometrics
Chapter 6: A Class for Tests for Integration and Cointegration
Chapter 7: Order Selection in Testing for the Cointegration Rank of a VAR Process
Chapter 8: Granger's Representation Theorem and Multicointegration
Chapter 9: Dimensionality Effect in Cointegration Analysis
Chapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System
Chapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models
Chapter 12: Investigating Inflation Transmission by Stages of Processing
Chapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices
Chapter 14: M-testing using Finite and Infinite Dimensional Parameter Estimators
Chapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes
Chapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series
Chapter 17: Partial Pooling: a Possible Answer to 'To Pool or not to Pool'
Chapter 18: A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals
Chapter 19: Statistical Properties of the Asymmetric Power ARCH Process
Chapter 20: A Long-run and Short-run Component Model of Stock Return Volatility