Chapter 17
TIME SERIES AND SPECTRAL METHODS IN
ECONOMETRICS
C. W. J. GRANGER and MARK W. WATSON
Contents
1. Introduction 980
2. Methodology of time series analysis 980
3. Theory of forecasting 993
4. Multiple time series and econometric models 1002
5. Differencing and integrated models 1006
6. Seasonal adjustment 1009
7. Applications 1016
8. Conclusion 1019
References 1019