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Sir Clive William John Granger (/ˈɡrnər/; 4 September 1934 – 27 May 2009) was a British econometrician known for his contributions to non-linear time series.[1] He taught in Britain, at the University of Nottingham and in the United States, at the University of California, San Diego. In 2003, Granger was awarded the Nobel Memorial Prize in Economic Sciences, in recognition of the contributions that he and his co-winner, Robert F. Engle, had made to the analysis of time series data. This work fundamentally changed the way in which economists analyse financial and macroeconomic data.[2]

Sir Clive Granger
Clive Granger by Olaf Storbeck.jpg
Clive Granger in 2008
Born(1934-09-04)4 September 1934
Swansea, Wales
Died27 May 2009(2009-05-27) (aged 74)
San Diego
NationalityUnited Kingdom
InstitutionErasmus University Rotterdam
University of California, San Diego
University of Nottingham
FieldFinancial economics
Econometrics
Alma materUniversity of Nottingham
Doctoral
advisor
Harry Pitt
Doctoral
students
Mark Watson
Tim Bollerslev
InfluencesDavid Hendry
Norbert Wiener
John Denis Sargan
Alok Bhargava
ContributionsCointegration
Granger causality
Autoregressive fractionally integrated moving average
AwardsNobel Memorial Prize in Economic Sciences (2003)
Information at IDEAS / RePEc

Contents

BiographyEdit

Early lifeEdit

Clive Granger was born in 1934 in Swansea, south Wales, United Kingdom, the son of Edward John Granger and Evelyn Granger.[3] The next year his parents moved to Lincoln.

During World War II, Granger moved with his mother to Cambridge, where he went to the local primary school. He started secondary school in Cambridge, but continued in Nottingham, where his family moved after the war. During school, Granger developed a strong interest in applied mathematics.

After secondary school, Granger enrolled in a joint degree in economics and mathematics at the University of Nottingham, switching to full mathematics in the second year. After receiving his BA in 1955, he remained at the University of Nottingham for a PhD in statistics under the supervision of Harry Pitt.

In 1956, aged only 21, Granger was appointed a junior lecturer in statistics at the University. As he was interested mainly in applied statistics and economics, Granger chose time series analysis as the topic of his doctoral thesis, a field in which he felt that relatively little work had been done at the time.[3] In 1959 he obtained his PhD with a thesis on "Testing for Non-stationarity".

Academic lifeEdit

Granger spent the next academic year, 1959–60, at Princeton University under a Harkness Fellowship of the Commonwealth Fund. He had been invited to Princeton by Oskar Morgenstern to participate in his Econometrics Research Project. Here, Granger and Michio Hatanaka as assistants to John Tukey on a project using Fourier analysis on economic data.

In 1964, Granger and Hatanaka published the results of their research in a book on Spectral Analysis of Economic Time Series (Tukey had encouraged them to write this themselves, as he was not going to publish the research results.)[3] In 1963, Granger also wrote an article on "The typical spectral shape of an economic variable", which appeared in Econometrica in 1966. Both the book and the article proved influential in the adoption of the new methods.

Granger also became a full professor at the University of Nottingham.

In a 1969 paper in Econometrica, Granger also introduced his concept of Granger causality.

After reading a pre-print copy of the time series book by George Box and Gwilym Jenkins in 1968,[4] Granger became interested in forecasting. For the next few years he worked on this subject with his post-doctoral student, Paul Newbold; and they wrote a book which became a standard reference in time series forecasting (published in 1977). Using simulations, Granger and Newbold also wrote the famous 1974 paper on spurious regression; which led to a re-evaluation of previous empirical work in economics and to the econometric methodology.[5]

In all, Granger spent 22 years at the University of Nottingham. In 2005, the building that houses the Economics and Geography Departments was renamed the Sir Clive Granger Building in honour of his Nobel prize award.

In 1974 Granger moved to the University of California at San Diego. In 1975 he participated in a US Bureau of Census committee, chaired by Arnold Zellner, on seasonal adjustment. At UCSD, Granger continued his research on time series, collaborating closely with Nobel prize co-recipient Robert Engle (whom he helped bring to UCSD), Roselyne Joyeux (on fractional integration), Timo Teräsvirta (on nonlinear time series) and others. Working with Robert Engle, he developed the concept of cointegration, introduced in a 1987 joint paper in Econometrica;[6] for which he was awarded the Nobel prize in 2003.

Granger also supervised many PhD students, including Mark Watson (co-advisor with Robert Engle).[7]

In later years, Granger also used time series methods to analyse data outside economics. He worked on a project forecasting deforestation in the Amazon rainforest - the results were published in a 2002 book.[8] In 2003, Granger retired from UCSD as a Professor Emeritus. He was a Visiting Eminent Scholar of the University of Melbourne and Canterbury University. He was a supporter of the Campaign for the Establishment of a United Nations Parliamentary Assembly, an organisation which campaigns for democratic reform of the United Nations.[9]

Granger was married to Patricia (Lady Granger) from 1960 until his death. He is survived by their son, Mark William John, and their daughter, Claire Amanda Jane.[3]

Granger died on 27 May 2009, at Scripps Memorial Hospital in La Jolla, California.[10]

Honors and awardsEdit

In 2003, Granger and his collaborator Robert Engle were jointly awarded the Nobel Memorial Prize in Economic Sciences. He was made a Knight Bachelor in the New Year's Honours in 2005.[11]

Granger was a fellow of the Econometric Society since 1972 and a Corresponding Fellow of the British Academy since 2002. In 2004, he was voted as one of the 100 Welsh Heroes.

See alsoEdit

PublicationsEdit

  • Granger, C. W. J. (1966). "The typical spectral shape of an economic variable". Econometrica. 34 (1): 150–161. doi:10.2307/1909859. JSTOR 1909859.
  • Granger, C. W. J. (1969). "Investigating causal relations by econometric models and cross-spectral methods". Econometrica. 37 (3): 424–438. doi:10.2307/1912791. JSTOR 1912791.
  • Granger, C. W. J.; Bates, J. (1969). "The combination of forecasts". Journal of the Operational Research Society. 20 (4): 451–468. doi:10.1057/jors.1969.103.
  • Granger, C. W. J.; Hatanaka, M. (1964). Spectral Analysis of Economic Time Series. Princeton, NJ: Princeton University Press. ISBN 978-0-691-04177-3.
  • Morgenstern, Oskar; Granger, Clive W. J. (1970). Predictability of stock market prices. Lexington, Massachusetts: Lexington Books (D. C. Heath and Company). pp. xxiii+303.
  • Granger, C. W. J.; Joyeux, R. (1980). "An introduction to long-memory time series models and fractional differencing". Journal of Time Series Analysis. 1: 15–30. doi:10.1111/j.1467-9892.1980.tb00297.x.
  • Granger, C. W. J.; Newbold, P. (1974). "Spurious regressions in econometrics". Journal of Econometrics. 2 (2): 111–120. CiteSeerX 10.1.1.353.2946. doi:10.1016/0304-4076(74)90034-7.
  • Granger, C. W. J.; Newbold, P. (1977). Forecasting Economic Time Series. Academic Press.
  • Engle, Robert F.; Granger, C. W. J. (1987). "Co-Integration and Error Correction: Representation, Estimation, and Testing". Econometrica. 55 (2): 251–276. doi:10.2307/1913236. JSTOR 1913236.

ReferencesEdit

  1. ^ Teräsvirta, Timo (2017). "Sir Clive Granger s contributions to nonlinear time series and econometrics" (PDF).
  2. ^ "Two Professors, Collaborators in Econometrics, Win the Nobel". The New York Times. 9 October 2003.
  3. ^ a b c d Tore Frängsmyr, ed. (2004). "Clive W.J. Granger: The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2003". Les Prix Nobel. The Nobel Prizes 2003. Stockholm: The Nobel Foundation.
  4. ^ Box, George; Jenkins, Gwilym (1970). Time Series Analysis, Forecasting and Control. San Francisco: Holden-Day.
  5. ^ Phillips, Peter C. B. (1997). "The ET Interview: Professor Clive Granger". Econometric Theory. 13 (2): 253–303. doi:10.1017/S0266466600005740.
  6. ^ Engle, Robert F.; Granger, C. W. J. (1987). "Co-Integration and Error Correction: Representation, Estimation, and Testing". Econometrica. 55 (2): 251–276. doi:10.2307/1913236. JSTOR 1913236.
  7. ^ "Interview" by Philipp Harms, Study Center Gerzensee Newsletter, July 2003
  8. ^ Granger, C. W. J.; Andersen, L.; Reis, E.; Weinhold, D.; Wunder, S. (2002). The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon. Cambridge University Press.
  9. ^ "Overview". Campaign for a UN Parliamentary Assembly. Retrieved 26 September 2017.
  10. ^ Anahad O'Connor (30 May 2009). "Clive Granger, Economist, Dies at 74". The New York Times.
  11. ^ "Canterbury Distinguished Professor Clive Granger awarded a Knighthood in New Year’s Honours" Archived 9 July 2007 at the Wayback Machine, University of Canterbury news, 2006

External linksEdit