This article was the brainchild of Clive W.J. Granger, which is not really surprising, giventhat a great number of his jointly written published papers began with his ideas. In addition, this isone of Clive’s many papers where his main objective was to “sow seeds so that some might have achance to grow and bear fruit, while others might not,” as he used to so aptly put it. In this sense,thus, it would perhaps be much more fitting if my beloved adviser and mentor were himself able todescribe how the ideas for the paper came about, what it was like to write it, and what his mainobjectives were. Sadly, of course, that is not to be the case. It is thus my humble duty to provide afew of the insights that Clive, in one way or another, taught me, as we wrote this papertogether. Needless to say, one of the many ideas that Clive had which dramatically impacted our profession and which effectively single-handedly charted the future course that an important strand of research in theoretical and applied econometrics would take was the notion of cointegration. His work on cointegration alone, in my view, was enough to warrant the Nobel prize that he won. Of course, he did write papers in numerous other areas that are pivotal and that guided researchers into various important areas of endeavor. Some of the areas that he is the father of, in my view, are: forecast combination, nonlinear modeling in macroeconomics and finance, causal analysis and testing, nonstationarity and long-memory properties of time series, spectral analysis, seasonality, forecasting and loss functions, and empirical finance. He wrote seminal papers on these topics over a long period of time, from around 1960 until his untimely passing. It’s funny for me to think that I have shaped my research career in econometrics by simply undertaking to make contributions in each of these areas. Many econometricians seem to have also done the same, and young researchers today are still doing the same. New papers in all of these areas are constantly still being written. In some sense, Clive seems to have not only written the road map to research in econometrics and empirical time-series analysis but also mapped out the benchmarks any young econometrician should attain along the road, as they begin and develop their research careers.
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