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Paradise lost and found? The econometric contributions of Clive W. J. Granger and Robert F. Engle

  • Peter Hans Matthews

This paper provides a non-technical and illustrated introduction to the econometric contributions of the 2003 Nobel Prize winners, Robert Engle and Clive Granger, with a special emphasis on their implications for heterodox economists.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/0953825042000313780
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Article provided by Taylor & Francis Journals in its journal Review of Political Economy.

Volume (Year): 17 (2005)
Issue (Month): 1 ()
Pages: 1-28

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Handle: RePEc:taf:revpoe:v:17:y:2005:i:1:p:1-28
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  1. Paul Davidson, 1991. "Is Probability Theory Relevant for Uncertainty? A Post Keynesian Perspective," Journal of Economic Perspectives, American Economic Association, vol. 5(1), pages 129-143, Winter.
  2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  3. Robert F. Engle & Ta-Chung Liu, 1972. "Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 673-737 National Bureau of Economic Research, Inc.
  4. Norman R. Swanson, 2010. "Further Developments in the Study of Cointegrated Variables," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 187-190, spring.
  5. Hoover,Kevin D., 2001. "Causality in Macroeconomics," Cambridge Books, Cambridge University Press, number 9780521002882.
  6. Thomas I. Palley, 1994. "Competing Views Of The Money Supply Process: Theory And Evidence," Metroeconomica, Wiley Blackwell, vol. 45(1), pages 67-88, 02.
  7. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  8. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  9. Rebecca M. Blank & David E. Card, 1991. "Recent Trends in Insured and Uninsured Unemployment: Is There an Explanation?," The Quarterly Journal of Economics, Oxford University Press, vol. 106(4), pages 1157-1189.
  10. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
  11. Leamer, Edward E., 1985. "Vector autoregressions for causal inference?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 255-304, January.
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  13. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  14. James Tobin, 1970. "Money and Income: Post Hoc Ergo Propter Hoc?," The Quarterly Journal of Economics, Oxford University Press, vol. 84(2), pages 301-317.
  15. David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1991. "A primer on cointegration with an application to money and income," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 58-78.
  16. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  17. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  18. Diebold, Francis X., 2003. "The Et Interview: Professor Robert F. Engle, January 2003," Econometric Theory, Cambridge University Press, vol. 19(06), pages 1159-1193, December.
  19. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  20. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  21. Granger, Clive W.J., 1997. "The ET Interview: Professor Clive Granger," Econometric Theory, Cambridge University Press, vol. 13(02), pages 253-303, April.
  22. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  23. H. Sonmez Atesoglu, 2002. "Stock Prices and Employment," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 24(3), pages 493-498, April.
  24. J. R. Hicks, 1940. "A Comment," Review of Economic Studies, Oxford University Press, vol. 8(1), pages 64-65.
  25. Alan M. Taylor, 1996. "International Capital Mobility in History: Purchasing-Power Parity in the Long Run," NBER Working Papers 5742, National Bureau of Economic Research, Inc.
  26. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
  27. Zellner, Arnold, 1979. "Causality and econometrics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 9-54, January.
  28. Ajit Zacharias, 2001. "Testing Profit Rate Equalization in the U.S. Manufacturing Sector: 1947-1998," Economics Working Paper Archive wp_321, Levy Economics Institute.
  29. David F. Hendry, 2004. "The Nobel Memorial Prize for Clive W. J. Granger," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 187-213, 06.
  30. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
  31. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
  32. Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February.
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