Essays in Econometrics

These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.

These essays by Clive W. J. Granger span more than four decades and cover major topics in causality, integration, cointegration, and long memory. The introduction by Eric Gysels, Norman R. Swanson, and Mark W. Watson places the essays in context and demonstrates their enduring value.This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.