Sir Clive W.J. Granger's Contributions to Nonlinear Time Series and Econometrics

Authors

  • Timo Terasvirta Aarhus University Humboldt-Universitat zu Berlin

Keywords:

cointegration, nonlinearity, nonstationarity, testing linearity

Abstract

Clive Granger had a wide range of research interests and has worked in a number of areas. In this work the focus is on his contributions to nonlinear time series models and modelling. Granger's contributions to a few other aspects of nonlinearity are reviewed as well.

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Published

2017-01-06

Issue

Vol. 10 No. 1 (2017): Sir Clive W.J. Granger Memorial Special Issue on Econometrics

Section

Econometrics and Statistics

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How to Cite

Sir Clive W.J. Granger’s Contributions to Nonlinear Time Series and Econometrics. (2017). European Journal of Pure and Applied Mathematics, 10(1), 104-132. https://www.ejpam.com/index.php/ejpam/article/view/2952