B.1. Spectral Analysis of Economic Time Series, in association with M. Hatanaka, Princeton University Press, October 1964. (French translation: "Analyze spectrale des series temporelles en economie," Dunod, Paris 1969.)
Designated a "Citation Classic" by the publishers of Citation Review, 1986.
B.2. Predictability of Stock Market Prices, with O. Morgenstern, Heath and Co., Lexington, MA., November 1970.
B.3. Speculation, Hedging and Forecasts of Commodity Prices, with W.C. Labys, Heath, and Co., December 1970. Japanese edition, 1976.
B.4. Trading in Commodities, (Editor, plus author of three chapters), Woodhead-Faulkner, Cambridge, England in association with Investors Chronicle, 1974. Republished at Getting Started in London Commodities by Investor Publications, 1975. Third edition appeared 1980, fourth edition appeared 1983.
B.5. Forecasting Economic Time Series, with Paul Newbold, Academic Press, March 1977. Second edition, October, 1986.
B.6. Introduction to Bilinear Time Series Models, with A. Andersen, Vandenhoeck & Ruprect, Gottingen, 1978.
B.7. Forecasting in Business and Economics, Academic Press, 1980. (Second edition 1989.) Chinese translation 1993. Japanese translation 1994.
B.8. Modelling Economics Series: Readings in Econometric Methodology, Oxford University Press, 1990.
B.9. Long Run Economic Relationships: Readings in Cointegration. Edited with R. Engle, Oxford University Press, 1991.
B.10. Modelling Nonlinear Dynamic Relationships, with T. Teräsvirta. Oxford University Press, 1993.
B.11. Empirical Modeling in Economics: Specification and Evaluation. Cambridge University Press, 1999.
B.12. The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon with Lykke Andersen, Eustaquio Reis, Diana Weinhold, and Sven Wunder. Cambridge University Press, 2002.
Festschrift
Cointegration, Causality, and Forecasting Editors Robert F. Engle and Halbert White, Oxford University Pres, 1999.
Collected Papers
Essays in Econometrics. Collected Papers of Clive W.J. Granger. Two volumes edited by Eric Ghysels, Norman R. Swanson, and Mark W. Watson. Econometric Society Monographs, Cambridge University Press, 2001.
Time Series Analysis and Forecasting
T.1. "A statistical model for sunspot activity," The Astrophysical Journal, 126, 1957, 152-158.
T.2. "First report of the Princeton economic time series project," L'Industria ,1961, 3-15.
T.3. "Economic processes involving feedback," Information and Control, 6,1963, 28-48.
T.4. "The effect of varying month-length on the analysis of economic time series," L'Industria, 1963, 41-53.
T.5. "A quick test for serial correlation suitable for use with non-stationary time series," Journal of the American Statistical Association, 58, 1963, 728-736.
T.6. "The typical spectral shape of an economic variable," Econometrica, 34, 1966, 150-161.
T.7. "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.
T.8. "Simple trend-fitting for long-range forecasting," Management Decision, Spring 1967, 29-34.
T.9. "Spectral analysis of the term structure of interest rates," with H. Rees, Review of Economic Studies, 35, 1968, 67-76.
T.10. "A fresh look at wheat prices and markets in the Eighteenth Century," with C.M. Elliott, Economic History Review, 1967, 357-365.
T.11. "Spectral analysis of short series - a simulation study," with A.O. Hughes, Journal of the Royal Statistical Society, Series A, 131, 1968, 83-99.
T.12. "Prediction with a generalized cost of error function," Operational Research Quarterly, 20, 1969, 451-468.
T.13. "Testing for causality and feedback," Econometrica, 37, 1969, 424-438. Reprinted in Rational Expectations, edited by Sargent and Lucas, 1981, University of Minnesota Press.
T.14. "The combination of forecasts," with J. Bates, Operational Research Quarterly, 20, 1969, 451-468.
T.15. "A new look at some old data: the Beveridge wheat price series," with A.O. Hughes, Journal Royal Statistical Society, Series A, 134, 1971, 413-428.
T.16. "Spatial data and time series analysis," Studies in Regional Science, edited by Allen J. Scott, Pion, London, 1969.
T.17. "Random variables in time and space," (in German), Proceedings of the ARPUD 70 conference on Regional Planning, held at Dortmun 1970. Published 1972.
T.18. "Infinite variance and research strategy in time series analysis," with D. Orr, Journal of American Statistical Association, 67, 1972, 275-285.
T.19. "Statistical forecasting - a survey," Surrey Paper in Economics, 9, January 1973.
T.20. "Forecasting economic series - the atheists viewpoint," with P. Newbold, in Modelling the Economy, edited by G.A. Renton. Heinemann, London, April 1975, 131-147.
T.21. "Evaluation of forecasts," with P. Newbold, Applied Economics, 5, 1973, 35-47.
T.22 "Experience with statistical forecasting and with combining forecasts, " with P. Newbold, Journal of the Royal Statistical Society (1974).
T.23 "Causality, model building and control: some comments," Proceedings of IEEE conference on Dynamic Modelling and Control of National Economics", Warwick, July 1973.
T.24. "On the properties of forecasts used in optimal economic policy decision," Journal of Public Economics, 2, 347-356.
T.25. "Spurious regressions in econometrics," with P. Newbold, Journal of Econometrics, 2, 1974, 111-120.
T.26. "Forecasting transformed variables," with P. Newbold, Journal of the Royal Statistical Society, B. 38, 1976, 189-203.
T.27. "Aspects of the analysis and interpretation of temporal and spatial data," The Statistician, 24, 1975.
T.28. "Spectral analysis," entry in Handworterbuch der Mathematischen (in German), Gabler, 1980. Wirtshaftswissenschaften, Vol. II.
T.29. "Time series modelling and interpretation," with M. Morris, Journal of the Royal Statistical Society, A.,139, 1976, 246-257.
T.30. "Identification of two-way causal models," with P. Newbold, in Frontiers of Quantitative Economics, Vol III, ed. by M. Intriligator, North Holland, 1977.
T.31. "The use of R2 to determine the appropriate transformation of regression variables," with P. Newbold, Journal of Econometrics, 4, 1976, 205-120.
T.32. "The time-series approach to econometric model building," with P. Newbold. Proceedings of conference organized by the Federal Reserve Bank of Minneapolis, November, 1975, published as New Methods In Business Cycle Research, 1977.
T.33. "Seasonality: causation, interpretation and implications," in Seasonal Analysis of Economic time Series, Economic Research Report, ER-1, Bureau of the Census 1979, edited by A. Zellner.
T.34. "Some recent developments in forecasting techniques and strategy," Proceedings Institute of Statisticians Cambridge Forecasting Conference, as Forecasting, edited by O. Anderson, North Holland, 1979.
T.35. "Non-linear time series modelling," with A. Andersen, in Applied Time Series Analysis, edited by David F. Findley, Academic Press, 1978.
T.36. Comment on "Relationship - and the lack thereof - between economic time series, with special reference to money and interest rates," by David A. Pierce, Journal of the American Statistical Association, March 1977.
T.37. "Time series analysis of residuals from the St. Louis model," with R. Ashley, Journal of Macroeconomics, 1, 1979, 373-394.
T.38. "Residential load curves and time-of-day pricing," with A. Anderson, R. Engle, and R. Ramanathan, Journal of Econometrics, 9, 1979, 13-32.
T.39. "Advertising and aggregate consumption: an analysis of causality," with R. Ashley and R. Schmalensee, Econometrica, 48, 1980, 1149-68.
T.40. "Some new time series models, "Proceedings of SIMS conference, Time Series and Ecological Processes, SIAM, Philadelphia, 1978.
T.41. "On the invertibility of time series models," with A.P. Andersen, Stochastic Processes and Their Applications, 8, 1978, 87-92.
T.42. "Nearer normality and some econometric models," Econometrica, 47, 1979, 781-84.
T.43. "Experience with using the Box-Cox transformation when forecasting economic time series," with H.L. Nelson, Journal of Econometrics, 9, 1979, 57-69.
T.44. "Forecasting input-output tables using matrix time series analysis," Working Paper, Statistics Department, Australian National University, 1978.
T.45. "An introduction to long-memory time series," with R. Joyeux, Journal of Time Series Analysis, 1, 1980, 15-30.
T.46. "On the synthesis of time series and econometric models," Proceeding of Time Series Conference held at Ames, Iowa, July 1978. Directions in Time Series, edited by D. Brillinger and G. Tiao, published by the Institute of Mathematical Statistics (1980).
T.47. "New classes of time-series models," The Statistician, 27, 1979, 237-253.
T.48. "Some problems in the estimation of daily load curves and shapes," with R. Engle, A. Mitchem and R. Ramanathan. Published in Proceedings of EPRI Conference.
T.49. "Testing for causality, a personal viewpoint," Journal of Economic Dynamics and Control, 2, 1980, 329-352.
T.50. "Long-memory relationships and the aggregation of dynamic models," Journal of Econometrics, 14, 1980, 227-238.
T.51. "Time series and spectral methods in econometrics," with M. Watson, Chapter 16 of the Handbook of Econometrics, edited by Z. Griliches and M.D. Intriligator, 1984.
T.52. Some comments on "The role of time series analysis in econometrics," in Evaluation of Econometric Models, edited by J.Kmenta and J.B. Ramsey. Academic Press, 1980.
T.53. "The comparison of time series and econometric forecasting strategies," in Large Scale Macro-Econometric Models, Theory and Practice, edited by J. Kmenta and J.B. Ramsey, North Holland, 1981.
T.54. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, supplement, Annals of Econometrics, edited by G.S. Maddala, 16 1981, 121-130.
T.55. "Applications of spectral analysis in econometrics," with R. Engle. Handbook of Statistics, Vol. 3, Time Series and Frequency Domain, edited by D. Brillinger and P.R. Krishnaiah, 1984.
T.56. "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.
T.57. "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.
T.58. "Acronyms in time series analysis (ATSA)," Journal of Time Series Analysis, 3, 1982, 103-107.
T.59. "Time series analysis of error-correction models," with A. Weiss, Studies in Econometrics, Time Series and Multivariate Statistics, in honor of T.W. Anderson. Edited by S. Karlin, T. Amemiya, and L.A. Goodman, Academic Press, 1983.
T.60. "Improved Methods of Combining Forecasting," with R. Ramanathan, Journal of Forecasting, 3, 1984, 197-204.
T.61. "Wholesale and retail prices: bivariate time series modelling with forecastable error variances," with R. Robins and R. Engle. In Model Reliability, edited by Kuh and Belsley, MIT Press, 1985.
T.62. "Combining competing forecasts of inflation using a bivariate ARCH model," with R. Engle and D. Kraft. Journal of Economic Dynamics and Control, 8 1984, 151-65.
T.63. "Rational autoregressive models," with A. Weiss. Working paper, UCSD.
T.64. Comments on "The econometric analysis of economic time series," by Hendry and Richard, International Statistical Review, 51, 1983.
T.65. "Weather normalization of electricity sales," with R. Ramanathan, R. Engle, J. Price, P. Ignelzi and K. Train, Proceedings EPRI Dallas Conference, "Short-run load forecasting," EPRI publication FA-4080, June 1985.
T.66. "Implications of aggregation with common factors," Econometric Theory, 3, 1987, 208-22.
T.67. "Two-step modelling for short term forecasting," with R. Ramanathan and R. Engle. Comparative Models for Electrical Load Forecasting, edited by D.W. Bunn and E.D. Farmer, Wiley and Sons, 1985. Russian translation, 1988.
T.68. "Semi-parametric estimates of the relation between weather and electricity demand," with R. Engle, J. Rice and A. Weiss, Journal of American Statistical Association, 81, 1986, 310-20.
T.69. "Co-integration and error-correction: representation, estimation, and testing," with R. Engle, Econometrica, 55, 1987, 251-76.
T.70. "Computer investigation of some non-linear time series models," with F. Huynh, A. Escribano, and Chowdhury Mustafa. Proceedings of Conference on computer Science and Statistics, Atlanta, March 1984, North Holland publishers.
T.71. "Econometric forecasting - a brief survey of current and future techniques," with R. Engle. Forecasting in the Social and National Sciences, ed. K.Land, S. Schneider, D. Reidel Publishing, 1988.
T.72. "Equilibrium, causality and error-correction models," Economic Notes by Monte dei Paschi di Siena, No. 1, 1987.
T.73. Four essays for New Palgrave dictionary of Economics and "Causality," "Spectral analysis," "Forecasting" and "Spurious regressions," published 1987.
T.74. "Causality testing in a decision science." In Proceedings of Conference on Probabilistic Causality, University of California, Irvine, 1985, Causation, Change and Credence, ed. B. Skyrms, and W.K. Harper, Kluwer Publishers, 1988.
T.75. "Are economic variables really integrated of order one?" Time Series and Econometric Modelling, ed. by I.B. MacNeill and G.J. Umphrey, D. Reidel Publishing Co., 1987.
T.76. "The billing cycle and weather variables in models of electricity sales," with K. Train, P. Ignelzi, R. Engle and R. Ramanathan. Energy, 9, 1984, 1061-67.
T.77. "Models that generate trends," Journals of Time Series Analysis, 9, 1988, 329-343.
T.78. "Developments in the study of co-integrated economic variables," Oxford Bulletin of Economics and Statistics, 48, 1986, 213-228. Special issue on economic modelling with co-integrated variables.
T.79. "Predictive consequences of using conditioning on causal variables," with P. Thomson, Economic Theory, 3, 1987, 150-52.
T.80. "Causality, Cointegration and Control," Journal of Economic Dynamics and Control, Vol. 12, Nos. 2/3, (1988).
T.81. The California Energy Data Bank. A UERG California Energy Studies Report, with J. Horowitz and H. White, April 1986.
T.82. "Stochastic or deterministic non-linear models? A discussion of the recent literature in economics." Working Paper 1987.
T.83. "Interval forecasting: an analysis based upon ARCH-quantile estimators," with H. White and M. Kamstra. Journal of Econometrics, 40, 1989, 87-96.
T.84. "Combining short and long-run forecasts: an application of seasoned co-integration to monthly electricity sales forecasting," with R. Engle and J. Hallman. Journal of Econometrics, 40, 1989, 45-62.
T.85. "Introduction to stochastic processes having equilibria as simple attractors: the Markov case." UCSD Economics Department Working Paper 86-20.
T.86. "Some recent developments in a concept of causality." Journal of Econometrics, 39, 1988, 199-212.
T.87. "Combining forecasts - twenty years later." Journal of Forecasting, 8, 1989, 167-174. Special issue on combining forecasts.
T.88. "Trends in Unit Energy consumption: The Performance of End-Use Models, with C-M Kuan, M. Mattson and H. White. Energy, 14, 1987, 943-60.
T.89. "Generalized co-integration." In preparation.
T.90. "Seasonal integration and co-integration," with R. Engle, S. Hylleberg and S. Yoo. Journal of Econometrics, 44,1990, 215-238.
T.91. "Investigating the Relationship Between Gold and Silver
Prices," with A. Escribano. To appear, Journal of
Forecasting.
Postscript
File
T.92. "Reasonable extreme bounds," with H. Urlig. Journal of Econometrics, 44, 1990, 159-170.
T.93. "Aggregation of Time Series Variables - A Survey." Disaggregation in Econometric Modelling, Ed. T. Barker, H. Pesaran, Routledge, London 1990.
T.94. "Multicointegration" with T.H. Lee. Advances in Econometrics, ed. T. Fomby, 8, 1990, 17-84.
T.95. "Investigation of Production, Sales and Inventory Relationship Using Multicointegration and Nonsymmetric Error Correction Models," with T-H. Lee. Journal of Applied Econometrics, 4, 1989, S145-S159.
T.96. "Comments on Econometric Methodology," presented at Bicentennial economics conference, Canberra, Australia, August, 1988. Economic Record, 1988, 327.330.
T.97. "Where are the controversies in econometric methodology?" Introductory Chapter to Book B8. Summary given at Econometrics Workshop, Camp Arrowhead, 1988.
T.98. "Nonlinear Transformations of Integrated Time Series," with J. Hallman. Journal of Time Series Analysis, 12, 1991, 207-224.
T.99. "Conjugate Processes", with J-L. Lin. Accepted.
T.100 "Developments in the Nonlinear Analysis of Economic Series," Scandinavian Journal of Economics, 93, 1991, 263-276.
T.101 "Some Recent Generalizations of Cointegration and the Analysis of Long-Run Relationship." (Translated into Spanish.) Caudernos Economics (Madrid), 44, 1990, 43-52.
T.102 "Seasonal Cointegration: The Japanese Consumption Function," 1961.1-987.4. With R. Engle, S. Hylleberg and H.S. Lee. Journal of Econometrics, 55, 1993, 275-298.
T.103 "An Introduction to Time-Varying Parameter Cointegration," with H.S. Lee. In Economic Structural Changes, edited by P. Hackl and A. Westlund. Springer-Verlag, 1991.
T.104 "Time Series Econometrics," Chapter 17 of Companion To Contemporary Economic Thought, ed. D. Greenaway et.al. Routledge, London, 1991.
T.105 "Testing for Neglected Nonlinearity in time Series Models: A Comparison of Neural Network Methods and Alternative Tests," with T-H. Lee and H. White, Journal of Econometrics, 56, 1993, 269-290.
T.106 "The Effect of Aggregation on Nonlinearity," with T-H Lee, to appear Advances in Statistical Analysis and Statistical Computing, edited by Roberto Mariano. Vol. 3, JAI Press Inc., 1993.
T.107 "Long Memory Processes with Attractors," with J. Hallman, Oxford Bulletin of Economics and Statistics, 53, 1991, 11-26.
T.108 "Comments on the Evaluation of Policy Models," with M. Deutsch, Journal of Policy Modelling, Vol. 14, 1992, 497-516. Reprinted in Testing Exogeneity. Edited by N.R. Ericsson and J.S. Irons (1995) Oxford University Press.
T.109 "Treasury Bill Curves and Cointegration," with A.D. Hall and H. Anderson. Review of Economics and Statistics, 74,1992, 116-126.
T.110 "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.
T.111 "Experiments in Modelling Relationships Between Nonlinear Time Series," with T. Teräsvirta. Nonlinear Modelling and Forecasting, ed. M. Casdagli and S. Eubank, Addison Wesley, 1992.
T.112 "Positively Related Processes and Cointegration," Book in honor of Professor M.B. Priestley. Developments in Time Series Analysis, ed. T. Subba Rao, Chapman and Hall, London, 1993.
T.113 "Using the Correlation Exponent to Decide if an Economic Series is Chaotic," with T. Liu and W. Heller, Journal of Applied Econometrics, 7S, 1992, 525-40. Reprinted in Nonlinear Dynamics, Chaos, and Econometrics, ed. M.H. Peseran and S.M. Potter, J. Wiley, Chichester.
T.114 "Some Generalizations of the Algebra of I(1) Processes," with L. Ermini, Journal of Econometrics, 58, 1993, 369-384.
T.115 "The Power of the Neural Network Linearity Test," with T. Teräsvirta and Chien-Fu Lin, Journal of Time Series Analysis, 14, 1993, 209-220.
T.116 "Implications of Seeing Economic Variables Through an Aggregation Window." Ricerche Economiche, 47, 1993, 269-79.
T.117 "The Combination of Forecasts Using Changing Weights," with M. Deutsch and T. Teräsvirta. International Journal of Forecasting, 10, 1994, 47-57.
T.118 "Nonlinear Time series," with T. Teräsvirta and D. Tjøstheim. Invited chapter for Handbook of Econometrics, 4, North Holland. Ed. by R. Engle and D. McFadden, 1995.
T.119 "Using the Mutual Information Coefficient to identify lags in non-linear models," with Jin-Lung Lin. Journal of Time Series Analysis, 15, 1994, 371-384.
T.120 "Forecasting Stock Market Prices - lessons for forecasters," International Journal of Forecasting, 8, 1992, 3-13.
T.121 "Forecasting from non-linear models in practice," with Jin-Lung Lin. Journal of Forecasting 13, 1994, 1-10.
T.122 "Modelling non-linearity over the business cycle," with T. Teräsvirta and H. Anderson. Business Cycles, Indicators, and Forecasting, ed. by J. Stock and M. Watson, National Bureau of Economic Research, 1993.
T.123 "Evaluating Economic Theory," Guest editorial, Journal of Econometrics, 51, 1992, 3-5.
T.124 "Overview of forecasting in economics," conference proceedings' Predicting the Future and Understanding the Past: A Comparison of Approaches, Addison-Wesley, 1993, ed. by A. Weigend.
T.125 "What are we learning about the long-run?" Economic Journal, 103, 1993, 307-317.
T.126 "Some comments on empirical investigations involving cointegration," Econometric Review, 32, 1994, 345-350.
T.127 "Comments on testing economic theories and the use of model selection criteria," with M. King and H. White. Journal of Econometrics, 58, 1993.
T.128 "Strategies for modelling nonlinear time series relationships." Economic Record, 60, 1993, 233-238.
T.129 "A long memory property of stock market returns and a new model," with Z. Ding and R. Engle. Journal of Empirical Finance, 1, 1993, 83-106.
T.130 "Stochastic trends and short-run relationships between financial variables and real activity," with T. Konishi and V. Ramey.
T.131 "Stochastic unit root processes," with N.Swanson. To appear Journal of Econometrics.
T.132 Comment on "Testing for Common Features by R.F. Engle and Sharon Kozicki," Journal of Business and Economic Statistics, 11, 1993, 384-385.
T.133 Comment on "The limitations of comparing mean square forecast errors," by M.P. Clements and D.F. Hendry. Journal of Forecasting, 12, 1993, 651-652.
T.134 "Is chaotic economic theory relevant for economics? A review essay." Journal of International and Comparative Economics, 3, 1994, 139-145.
T.135 "Estimation of Common Long-Memory Components in Cointegrated Systems," with J Gonzalo. Journal of Business and Economic Statistics, 13, January 1995, 27-36.
T.136 "Causality in the Long-Run," with Jin-Lung Lin. Econometric Theory, 11, 1995, 530-536.
T.137 "The Baby-Boom and Time Trends in Female Labor Force Participation," with S. Grossbard-Shechtman. Under revision for Population.
T.138 "Systemic Sampling, Temporal Aggregation, Seasonal Adjustment and Cointegration," with P. Siklos. Journal of Econometrics, 66, 1995, 357-369.
T.139 "Varieties of Long-Memory Models," with Z.Ding. Journal of Econometrics, 73, 1996, 61-77.
T.140 "Short-Run Forecasts of Electricity Loads and Peaks," with R. Engle, R. Ramanathan, F. Vahid-Arraghi, and C. Brace. International Journal of Forecasting, 13, 1997, 161-174.
T.141 "Impulse Response Functions Based On A Causal Approach
to Residual Orthogonalization In VAR's," with N. Swanson.
Journal of Business and Economic Statistics, 92, 1997, 357-367.
Postscript
version
T.142 "Separation in Cointegrated Systems," with T. Konishi.
T.143 "Some Properties of Absolute Return. An Alternative
Measure of Risk," with Z. Ding. Annales d'Economie et
de Statistique, 40, 1995, 67-92.
Postscript
version
T.144 "Non-Linear Relationships Between Extended Memory Series." Econometrica, 63, 1995, 265-79.
T.145 "Some Recent Textbooks in Econometrics." (A book review). Journal of Economic Literature, 32, 1994, 115-122.
T.146 "Comments on two papers concerning Chaos and Statistics by Chatterjee and Yilmarz and by Berliner. Statistical Science, 7, 1992, 69-122.
T.147 "Comments on "Determining Causal Ordering in Economics" by S. LeRoy. Chapter in Macroeconomics: Developments, Tensions, and Prospects, ed. K.D. Hooper, Kluwer Publisher, 1995.
T.148 "Granger Causality" entry in Encyclopedia of Economic Methodology, Edward Elgar Publishers (to appear).
T.149 "Non-linear Stochastic Trends," with Tomoo Inoue and Norman Morin. Journal of Econometrics, 81, 1997, 65-92.
T.150 "Modeling Volatility Persistence of Speculative Returns" with Z. Ding. Journal of Econometrics, 73, 1996, 185-215.
T.151 "Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets," with Z. Ding. Submitted.
T.152 "Further Developments in the Study of Cointegrated Variables," with N. Swanson. Oxford Bulletin of Economics and Statistics, 58, 1996, 537-553.
T.153 "Cointegration" entry for Encyclopedia of Statistical Sciences.
T.154 "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?" with E. Ghysels and P. Siklos. Journal of Business and Economics Statistics, 14, 1996, 374-386.
T.155 "Hierarchical Subjects."
T.156 "Can We Improve the Perceived Quality of Economic Forecasts?" Journal of Applied Econometrics, 11, 1996, 455-474.
T.157 "On Modeling the Long Run In Applied Economics." The Economic Journal, 107, 1997, 109-179.
T.158 "Introducing Non-Linearity into Cointegration." Revista do Econometrica (Brazilian Review of Econometrics) 16, 1996, 25-36.
T.159 "Stochastic Fractional Unit Root Processes," with N. Hyung and Y. Jeon. Athens Conference on Applied Probability and Time Series, Vol. II., Time Series Analysis in Memory of E.J. Hannan, ed. by P.M. Robinson and M. Rosenblatt, Pages 190-204. Lecture notes in Statistics 115, Springer, Berlin, 1996
T.160 "Evaluation of Panel Data Models: Some Suggestions from Time
Series," with Ling-Ling Huang. Submitted.
Postscript
File
T.161 "Estimating and Forecasting Quantiles with Asymmetric Least Squares," with Chor-Yiu Sin. Submitted.
T.162 "A Random Coefficient VAR Transition Model of Changes in Land Use in the Brazilian Amazon," with Lykke E. Andersen. Revista do Econometrica (Brazilian Review of Econometrics) 17, 1997, 1-14.
T.163 "Separation in Cointegrated Systems, Long memory Components, and Common Stochastic Trends" with Niels Haldrup. Oxford Economic Review, 59, 1997, 449-464.
T.164 "Temporary Cointegration with an Application to Interest
Rate Parity," with Pierre Siklos. Macroeconomic
Dynamics 1, 1997, 640-657.
Postscript
version
T.165 "Unit-Root Tests and Asymmetric Adjustment with an
Example Using the Term Structure of Interest Rates," with
Walter Enders. Journal of Business and Economic
Statistics, 16, 1998, 304-311.
Postscript
version
T.166 "A Decision Theoretic Approach to Forecast Evaluation,"
with M. Hashem Pesaran. Stasitics and Finance: An Interface.
Edited by W.S. Chan, W.K. Lin, and H. Tong. Imperial College Press,
London, 1999.
PDF version
T.167 "Introduction to MM Processes," with N. Hyung. Submitted.
T.168 Comment on "Real and Spurious Properties of Stock Market Data" by I.N. Lobato and N.E. Savin. Journal of Business and Economic Statistics, 16, 1998, 269.
T.169 "Seasonal Adjustment and Volatility Dynamics" with E. Ghysels and P. Siklos. Submitted.
T.170 "Two Aspects of the Methodology of Modeling Deterministic Processes and Evaluation." Advances in Econometrics, Income Distribution, and Scientific Methodology: Essays in Honor of Camilo Dagun. Edited by D.J. Slotje. Physical-Verlag, 1999.
T.171 "Extracting Information from Mega-Panels and High-Frequency
Data."
T.172 "Evaluation of Theories and Models." To appear as
chapter for book edited by Bernt Stigum, Princeton Unviverstiy Press,
2003.
T.173 "Spurious Stochastics in a Panel Model," with N. Hyung. UCSD
Working Paper. Published in Portuguese in IPEA journal,
Pesquisa e Planejamento Economico, 27, 1997, 461-492. Updated in
Annales D'economie et de Statistique, 55-56, 1999, 299-315.
T.174 "A Time Distance Criteria for Evaluating Forecasting Models," with Y. Jeon. To appear, International Journal of Forecasting.
T.175 Comment on "Forecasting Economic Processes" by M.P.
Clements and D.F. Hendry. International Journal of Forecasting, 14, 1998, 133-134.
T.176 Comment on "Time Series Approach to Econometric Models of the
Taiwan Economy." Statistica Sinica, 8, 1998, 1026-1027.
T.177 "Bivariate Causality Between Stock Prices and Exchange Rates in
Asian Countries," with Bwo-nung Huang and Chin-wei Yang. The
Quarterly Review of Economics and Finance, 40, 2000, 337-354.
T.178 "Outliine of Forecast Theory Using Generalized Cost
Functioins." Spanish Economic Review, 1, 1999, 161-174.
T.179 "A Simple Nonlinear Model With Misleading Linear
Properties," with Timo Terasvirta. Economic Letters, 62,
1999, 161-165.
T.180 "The Correlogram of a Long Memory Process Plus a Simple
Noise," with Fracesc Marmol. Submitted.
T.181 "Spurious Regressions With Stationary Series," with N.
Hyung and Y. Jeon. Applied Economics, 33, 2001, 899-904.
T.182 "Model Evaluation Based on Residual Analysis of Two Similar
Models," with Y. Jeon. Applied Economics, 32, 2000,
861-867.
T.183 "Overview of Nonlinear Time Series Specificationsin
Economics." Academia Economic Papers (Academia Sinica,
Taiwan) 27, 1999, 433-458.
T.184 Book Review of "Statistical Revisions in Time" by Judy
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T.185 "The Distributional Properties of Shocks to a Frational I(d)
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Applied Financial Economics, 11, 2002, 469-474.
T.186 "Current Perspectives on Long-Memory Processes."
Chung-Hua Series of Lectures by Invited Eminent Economists,
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T.187 "Economic and Statistical measures of Forecast Accuracy"
with M. Hashem Pesaran. Journal of Forecasting 19, 2000,
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T.188 "Copycats and Common Swings: The Impact of the Use of
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with Giampiero Gallo and Yongil Jeon. IMF Staff Papers, 49,
2001, 4-21.
T.189 "Occasional Structural Breaks and Long Memory" with
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T.190 "Modeling the Absolute Returns of Different Stock indices:
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with C.-Y. Sin. Journal of Forecasting, 19, 2000, 277-298.
T.191 "Economists and Statiscians" in The
Expansions of Economics edited by S. Grossbard-Shechtman and C.
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T.192 Book Review of "Methodology and Tacit Knowledge: Two
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T.193 "Interactions Between Large Macro Models and Time Series
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Economics.
T.194 "Thick Modeling" with Y. Jeon. Economic Modeling,
21, 2004, 323-343.
T.195 "Industrial Output and Stock Prices Revisited," with
Bwo-nung Huang. In progress.
T.196 "Macroeconometrics - Past and Future." Journal of
Econometrics, 100, 2001, 17-19.
T.197 "Data Mining With Local Model Specification Uncertainty: A
Discussion of Hoover and Perez," with A. Timmermann. Economic Journal, 2, 1999, 220-225.
T.198 "Critical Realism and Econometrics - An Econometrician's
Viewpoint." Requested submission for a book.
T.199 "Large Data Sets and Econometrics: Methodological
Considerations." in Computer-Aided Econometrics edited by David Giles. M. Decker, Publisher.
T.200 "A Dependence Metric for Nonlinear time Series" with E.
Maasoumi and J. Racine. Working Paper, 2000.
T.201 "Forecasting Volatility in Financial Markets" with S. Poon.
Journal of Economic Literature, 41, 2003, 478-539.
T.202 "Large Returns, Conditional Correlation and Portfolio
Diversification: A Value-at-Risk Approach," with P. Silvapulle.
Quantitative Finance 1, 2001, 1-10.
T.203 "Evaluation of Forecasts" in Understanding Economic
Forecasts. Edited by D. Hendry and N. Ericsson, MIT Press, 2001.
T.204 "Comments on Risk." Journal of Applied
Econometrics, 17, 2002, 447-456.
T.205 Book review of "Chaos: A Statistical Perspective" by
Chan and Tong. To appear in Journal of Time Series Analysis,
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T.206 "Efficient Market Theory and Forecasting: A New
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T.207 "Aggregation of Space-Time Processes," with R.
Giacomini. Journal of Econometrics, 118, 2004, 7-26.
T.208 "Roots of U.S. Macro-Economic Series" with Y. Jeon. In
preparation, 2002.
T.209 "Common Factors in Conditional Distributions," with T.
Teräsvirta and A. Patton. Accepted by Journal of
Econometrics.
T.210 "Time Series Concepts for Conditional Distributions."
Oxford Bulletin of Economics and Statistics, 65 (supplement),
2003, 639-701.
T.211 "Structurally-Induced Volatility Clustering," with Mark
Machina. UCSD Working Paper, 2002.
T.212 "Comparing the Methodologies Using by Statisticians and
Economist" in The Expansion of Economics, edited by S.
Grossbard-Shechtman and C. Clague. M Sharpe, 2002.
T.213 "Comparing Forecasts of Inflation Using Time Distance,"
with Y. Jeon. International Journal of Forecasting, 19, 2003,
339-349.
T.214 "Long Memory Process: An Economists Viewpoint" in
Advances in Statistics, Combinations, and Related Areas, edited
by C. Gulats, et al., 2003, 100-111, World Scientific Publishers.
T.215 "Evaluation of Theories and Models" in Econometrics
and the Philosophy of Economics by B. Stigum, 2003, Princeton
University Press.
T.216 "Structural Attribution of Observed Volatility
Clustering" with M. Machina, 2004, to be submitted.
P.1. "On the price consciousness of consumers," with
A. Gabor, Applied Statistics, 10, 1961, 170-188.
P.2. "Price sensitivity of the consumer," with A. Gabor,
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in Readings in Marketing Research, edited by K. Cox, New
York, 1967.
P.3. "The pricing of new products," with A. Gabor, Scientific
Business, August 1965.
P.4. "Price as an indicator of quality," with A. Gabor,
Scientific Business, August 1965.
P.5. "The attitude of the consumer to prices," with
A. Gabor, in Pricing Strategy, edited by Bernard Taylor
and Gordon Wills, Staples, London, 1969.
P.6. "The influence of price differences on brand shares
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P.7. "Real and hypothetical shop situations in market research,"
with A. Gabor and A.P. Sowter, Journal of Marketing Research,
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P.8. "The effect of price on choice: a theoretical and empirical
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P.9. "Comments on "Psychophysics of prices," with
A.P. Sowter and A. Gabor, Journal of Marketing Research,
8, 1971.
P.10. "Consumers' attitude to package size and price: report
on an experiment," with A. Billson, Journal of Marketing
Research, 9, 1972.
P.11. "Ownership and acquisition of consumer durables,"
with A. Gabor, European Journal of Marketing, 6, 1972,
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A. Gabor, Marketing Concepts and Strategies in the Next Decade,
edited by L.W. Rodger, 1973.
P.13. Technical appendix to Pricing - Principles and Practice
by A. Gabor, Heinneman Press, London, 1977. French edition 1981,
second edition 1985, Japanese edition, 1987.
Note: All of the papers co-authored with A. Gabor were reprinted
in the volume Pricing Decisions, 17, No. 8, 1979, of Management
Decision.
M.1. "Spectral Analysis of New York stock market prices,"
with O. Morgenstern, Kyklos, 16, 1963, 1-27. Reprinted
in the Random Character of Stock Market Prices, edited
by P.H. Cootner, M.I.T. Press, 1964.
M.2. "The random-walk hypothesis of stock market behavior,"
with M.d. Godfrey and O. Morgenstern, Kyklos, 17, 1964,
1-30. Reprinted in Frontiers of Investment Analysis, 2nd
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1971.
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Analysis and Portfolio Management, edited by Basil Taylor,
Elek Books, London, 1970.
M.5. "The interdependence of stock prices around the world:
is it a myth?" Money Manager, July-August 1971, 25-27.
M.6. "The gold sovereign market in Greece - an unusual speculative
market," with N.A. Niarchos, Journal of Finance, 27,1972,
1127-1135.
M.7. "Empirical studies in capital markets: a survey,"
in proceeding of conference held at Venice, September 1971, edited
by G.Szego and K. Shell, Mathematical Methods in Investment
and Finance, North-Holland, December 1972.
M.8. "Prediction of stock market prices," Bulletin
of Institute of Mathematics and Its Applications, August 1972.
M.9. "Random walk, market model and relative strength - a
synthesis," published in proceedings of conference Mathematics
in the Stock Market, organized by the Institute of Mathematics
and Its Applications, December 1972.
M.10. "Some consequences of the valuation model when expectations
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M.12. "Forecasting stock market prices," published version
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of Oscar Morgenstern, edited by A. Schotter, New York University
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Postscript
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Price Research
Speculative Markets and Theory of Finance
Statistical Theory and Applied Statistics
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