Predictive Methodology and Application in Economics and Finance

A Conference in Honor of Clive W.J. Granger

San Diego, January 6-7, 2004



Rutgers University, Department of Economics

University of California, San Diego, Department of Economics

Elsevier Science and the Journal of Econometrics


This website contains details about a conference celebrating the numerous accomplishments and contributions of Clive W. J. Granger during the last 5 decades. To be held at the Faculty Club of the University of California, San Diego on January 6 and 7, 2004.
This conference, to be at the University of San Diego, California on January 6 - 7, 2004, immediately proceeding the annual meetings of the Allied Social Science Association, represents a gathering of a number of leading experts in the area of prediction and causal analysis. All participants are co-authors, students, and close colleagues of Clive W.J. Granger. The conference will include presentations of new and cutting edge research in the areas of prediction and causal analysis, and is meant as a warm salute to Clive in honor of his many and substantial contributions in the area of prediction and causal analysis, an area of time series analysis which he is arguably the father of. The proceedings will take place at the Faculty Club of the University of California, San Diego. Authors presenting at the conference are invited to submit their papers for inclusion in a special issue of the Journal of Econometrics that the co-organizers are editing. The papers will be peer reviewed, and the deadline for submission is February 29, 2004.

Attendance at the conference is by invitation only.

Conference Co-organizers
Norman R. Swanson -- (Department of Economics, Rutgers University)
Graham Elliott -- (Department of Economics, University of California, San Diego)
Eric Ghysels -- (Departments of Economics and Finance, University of North Carolina, Chapel Hill)
Jesus Gonzalo -- (Departamento de Estadística y Econometría, Universidad Carlos III de Madrid)

Conference Schedule

Conference Participants

Preliminary Paper Abstracts

Maps, Directions, etc.

The faculty club is approximatley 200 yards due south of the economics department, right beside the ``Sun God" sculpture, and beside the east side of the math building.

UCSD Economics Department Address, Directions

San Diego Directions, Maps

San Diego Convention Centers and Visitors Bureau

Economic Sciences 2003 Nobel Prize - Advance Information


  • Jim Hamilton and Michael C. Davis, Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices

  • Timo Terasvirta, Dick van Dijk and Marcelo C. Medeiros, Smooth transition autoregressions, neural networks, and linear models in forecasting macroeconomic time series: A re-examination

  • David F. Hendry, Unpredictability and the Foundations of Economic Forecasting

  • Valentina Corradi and Norman R. Swanson, Predictive Density Accuracy Tests

  • Marco Aiolfi and Allan Timmerman, Persistence in Forecasting Performance

  • Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin Wu, Realized Beta: Persistence and Predictability

  • Bruce Hansen, Interval Forecasts and Parameter Uncertainty