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Part I. Causality: 1. Investigating causal relations by econometric models and cross-spectral methods 2. Testing for causality 3. Some recent developments in a concept of causality 4. Advertising and aggregate consumption: an analysis of causality R. Ashley and R. Schmalensee Part II. Integration and Cointegration: 5. Spurious regressions in econometrics 6. Some properties of time series data and their use in econometric model specification 7. Time series analysis of error correction models A. A. Weiss 8. Co-Integration and error-correction: representation, estimation and testing 9. Developments in the study of cointegrated economic variables 10. Seasonal integration and cointegration S. Hylleberg, R. F. Engle and B. S. Yoo 11. A cointegration analysis of Treasury Bill yields A. D. Hall and H. M. Anderson 12. Estimation of common long-memory components in Cointegrated Systems J. Gonzalo 13. Separation in cointegrated systems and persistent-transitory decompositions N. Haldrup 14. Nonlinear transformations of Integrated Time Series J. Hallman 15. Long Memory Series with attractors J. Hallman 16. Further developments in the study of cointegrated variables N. R. Swanson Part III. Long Memory: 17. An introduction to long-memory Time Series models and fractional differencing R. Joyeux 18. Long-memory relationships and the aggregation of dynamic models 19. A long memory property of stock market returns and a new model Z. Ding and R. F. Engle.