11/21/2018 Clive Granger - Wikipedia

Clive Granger
Sir Clive William John Granger (/ˈɡreɪndʒər/; 4 September 1934 – 27
Sir Clive Granger
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 that he and his co-winner, Robert F. Engle, had made
contributions to the analysis of time series data that had changed
fundamentally the way in which economists analyse financial and
macroeconomic data.[2]

Clive Granger in 2008

Contents Born 4 September 1934
Swansea, Wales
Biography
Early life Died 27 May 2009
Academic life (aged 74)
Honors and awards San Diego
See also Nationality United Kingdom
Publications
Institution Erasmus University
References
Rotterdam
External links University of
California, San Diego
University of
Biography Nottingham
Field Financial economics
Early life Econometrics

Clive Granger was born in 1934 in Swansea, south Wales, United Kingdom,
Alma mater University of
the son of Edward John Granger and Evelyn Granger.[3] The next year his
Nottingham
parents moved to Lincoln. Doctoral Harry Pitt
advisor
During World War II Granger moved with his mother to Cambridge, where
Doctoral Mark Watson
he went to the local primary started secondary school in Cambridge, but
students Tim Bollerslev
continued in Nottingham, where his family moved after the war. During
school, Granger showed talent for mathematics, developing a strong interest Influences David Hendry
in applied mathematics. Norbert Wiener
John Denis Sargan
After secondary school Granger enrolled at the University of Nottingham for Alok Bhargava
a joint degree in economics and mathematics, but switched to full
Contributions Cointegration
mathematics in the second year. After receiving his BA in 1955, he remained
Granger causality
Autoregressive

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at the University of Nottingham for a PhD in statistics under the supervision fractionally integrated
of Harry Pitt. moving average
Awards Nobel Memorial Prize
In 1956, at only 21, Granger was appointed a junior lecturer in statistics at
in Economic
the University. As he was interested mainly in applied statistics and
Sciences (2003)
economics Granger chose as the topic of his doctoral thesis time series
analysis, a field in which he felt that relatively little work had been done at Information (https://ideas.repec.org/e/
the time.[3] In 1959 he obtained his PhD with a thesis on "Testing for Non- pgr55.html) at IDEAS / RePEc
stationarity".

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

At the end of the year in Princeton, Granger got married, and spent the honeymoon in a trip across the US.

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]
Granger also wrote in 1963 an article on "The typical spectral shape of an economic variable", which appeared in 1966 in
Econometrica. 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, in 1968, a pre-print copy of the time series book by George Box and Gwilym Jenkins,[4] Granger became
interested in forecasting. For the next few years to follow 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 achievement.

In 1974 Granger moved to the United States, 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, among whom was Mark Watson (co-advisor with Robert Engle).[7]

In later years, Granger also used the time series methods to analyse data outside economics. Thus, he worked on a project
concerned with the Amazon rainforest and built a model to forecast deforestation. The results were published in a 2002
book.[8] Granger retired from UCSD in 2003 as a Professor Emeritus. He was a Visiting Eminent Scholar of the University

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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 reformation 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 awards

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. He was voted in 2004 in the 100 Welsh Heroes.

See also
Gabor–Granger method
Granger causality

Publications
Granger, C. W. J. (1966). "The typical spectral shape of an economic variable". Econometrica. 34 (1): 150–161.
doi:10.2307/1909859 (https://doi.org/10.2307%2F1909859). JSTOR 1909859 (https://www.jstor.org/stable/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 (https://doi.org/10.2307%2F1912791). JSTOR 1912791 (http
s://www.jstor.org/stable/1912791).
Granger, C. W. J.; Bates, J. (1969). "The combination of forecasts". Operations Research Quarterly. 20 (4): 451–468.
doi:10.1057/jors.1969.103 (https://doi.org/10.1057%2Fjors.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 (https://doi.org/10.1111%2Fj.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 (https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.353.2946).
doi:10.1016/0304-4076(74)90034-7 (https://doi.org/10.1016%2F0304-4076%2874%2990034-7).
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 (https://doi.org/10.2307%2F1913236).
JSTOR 1913236 (https://www.jstor.org/stable/1913236).

References
1. Teräsvirta, Timo (2017). "Sir Clive Granger s contributions to nonlinear time series and econometrics" (http://pure.au.d
k/portal/files/108719021/rp17_04.pdf) (PDF).
2. "Two Professors, Collaborators in Econometrics, Win the Nobel" (https://www.nytimes.com/2003/10/09/business/09E
CON.html). The New York Times. 9 October 2003.

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3. 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 (http://nobelprize.org/nobel_prizes/economics/laureates/2
003/granger-autobio.html). 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 (https://doi.org/10.1017%2FS0266466600005740).
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 (https://doi.org/10.2307%2F1913236).
JSTOR 1913236 (https://www.jstor.org/stable/1913236).
7. "Interview" by Philipp Harms, Study Center Gerzensee Newsletter, July 2003 (http://www.szgerzensee.ch/fileadmin/D
ateien_Anwender/Dokumente/newsletter/July03.pdf)
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" (http://en.unpacampaign.org/supporters/overview/?mapcountry=allhea&mapgroup=hea). Campaign for a
UN Parliamentary Assembly. Retrieved 2017-09-26.
10. Anahad O'Connor (30 May 2009). "Clive Granger, Economist, Dies at 74" (https://www.nytimes.com/2009/05/31/busin
ess/31granger.html). The New York Times.
11. "Canterbury Distinguished Professor Clive Granger awarded a Knighthood in New Year’s Honours" (http://www.econ.
canterbury.ac.nz/sir_clive.shtml) Archived (https://web.archive.org/web/20070709153435/http://www.econ.canterbury.
ac.nz/sir_clive.shtml) 9 July 2007 at the Wayback Machine., University of Canterbury news, 2006

External links
Winner page (https://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/2003/index.html) on the official
Nobel Foundation website
More maths good for economy – Nobel laureate (http://www.irishtimes.com/newspaper/ireland/2008/0909/122062965
1456.html)
Sir Clive Granger (https://www.telegraph.co.uk/news/obituaries/finance-obituaries/5407598/Professor-Sir-Clive-Grang
er.html) – Daily Telegraph obituary
Clive W. J. Granger (1934– ) (http://www.econlib.org/library/Enc/bios/Granger.html). The Concise Encyclopedia of
Economics. Library of Economics and Liberty (2nd ed.). Liberty Fund. 2008.

Awards
Laureate of the Nobel Memorial Prize
Preceded by Succeeded by
in Economics
Daniel Kahneman Finn E. Kydland
2003
Vernon L. Smith Edward C. Prescott
Served alongside: Robert F. Engle III

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