Time Series Analysis, Cointegration, and Applications

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Time Series Analysis, Cointegration, and Applications

Author Info

Granger, Clive W. J. (University of California, San Diego)

Additional information is available for the following registered author(s):

Clive W. J. Granger

Abstract

The two prize winners in Economics this year would describe themselves as "Econometricians," so I thought that I should start by explaining that term. One can begin with the ancient subject of Mathematics which is largely concerned with the discovery of relationships between deterministic variables using a rigorous argument. (A deterministic variable is one whose value is known with certainty.) However, by the middle of the last millennium it became clear that some objects were not deterministic, they had to be described with the use of probabilities, so that Mathematics grew a substantial sub-field known as "Statistics." This later became involved with the analysis of data and a number of methods have been developed for data having what may be called "standard properties."

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Publisher Info
Paper provided by Nobel Prize Committee in its series Nobel Prize in Economics documents with number 2003-7.

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Length: 7 pages
Date of creation: 08 Dec 2003
Date of revision:
Handle: RePEc:ris:nobelp:2003_007

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Other versions of this item:

Article
- Clive W.G. Granger, 2004. "Time Series Analysis, Cointegration, and Applications," American Economic Review, American Economic Association, vol. 94(3), pages 421-425, June. [Downloadable!]
Paper
- Clive Granger, 2004. "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series 2004-02, Department of Economics, UC San Diego. [Downloadable!]

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," UNU-MERIT Working Paper Series 012, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," UNU-MERIT Working Paper Series 016, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]

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