Clive Granger

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Sir Clive Granger
Clive Granger by Olaf Storbeck.jpg
Clive Granger in 2008
Born(1934-09-04)4 September 1934
Swansea, Wales, U.K.
Died27 May 2009(2009-05-27) (aged 74)
NationalityUnited Kingdom
Institution Erasmus University Rotterdam
University of California, San Diego
University of Nottingham
Field Financial economics
Econometrics
Alma mater University of Nottingham
Doctoral
advisor
Harry Pitt
Doctoral
students
Mark Watson
Tim Bollerslev
Influences David Hendry
Norbert Wiener
John Denis Sargan
Alok Bhargava
Contributions Cointegration
Granger causality
Autoregressive fractionally integrated moving average
Awards Nobel Memorial Prize in Economic Sciences (2003)
Information at IDEAS / RePEc

Sir Clive William John Granger ( /ˈɡrnər/ ; 4 September 1934 – 27 May 2009) was a British econometrician known for his contributions to nonlinear time series analysis. [1] He taught in Britain, at the University of Nottingham and in the United States, at the University of California, San Diego. Granger was awarded the Nobel Memorial Prize in Economic Sciences in 2003 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]

Contents

Biography

Early life

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

During World War II Granger and his mother moved to Cambridge because Edward joined the Royal Air Force and deployed to North Africa. Here they stayed first with Evelyn's mother, then later Edward's parents, while Clive began school. Clive would later recall a primary school teacher telling his mother that "[Clive] would never be successful". [4]

Clive started secondary school in Cambridge, but continued in Nottingham, where his family moved after the war. Here two teachers encouraged Granger's interest in physics and applied mathematics. [5] He had anticipated following the convention of completing schooling at age 16 to enter the workforce and saw himself working in a bank or insurance company. However, positive social influence from his peers and support from his father led him to enroll in sixth-form for two years as preparation for a university degree. [4]

Granger enrolled in a joint degree in economics and mathematics at the University of Nottingham but switched to full mathematics in his 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. [4]

In 1956, aged 21, Granger was appointed a junior lecturer in statistics at the university. His interest in applied statistics and economics led him to choose as the topic of his doctoral thesis time series analysis, a field in which he felt that relatively little work had been done at the time. [3] In 1959 Granger completed his PhD degree with a thesis titled "Testing for Non-stationarity".

Academic life

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, [6] 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. [7]

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 honor 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 ; [8] for which he was awarded the Nobel prize in 2003.

Granger also supervised many PhD students, including Mark Watson (co-advisor with Robert Engle). [9]

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. [10] 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. [11]

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. [12]

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. [13]

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 also

Publications

Related Research Articles

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The Granger causality test is a statistical hypothesis test for determining whether one time series is useful in forecasting another, first proposed in 1969. Ordinarily, regressions reflect "mere" correlations, but Clive Granger argued that causality in economics could be tested for by measuring the ability to predict the future values of a time series using prior values of another time series. Since the question of "true causality" is deeply philosophical, and because of the post hoc ergo propter hoc fallacy of assuming that one thing preceding another can be used as a proof of causation, econometricians assert that the Granger test finds only "predictive causality". Using the term "causality" alone is a misnomer, as Granger-causality is better described as "precedence", or, as Granger himself later claimed in 1977, "temporally related". Rather than testing whether Xcauses Y, the Granger causality tests whether X forecastsY.

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References

  1. Teräsvirta, Timo (2017). "Sir Clive Granger s contributions to nonlinear time series and econometrics" (PDF).Cite journal requires |journal= (help)
  2. "Two Professors, Collaborators in Econometrics, Win the Nobel". The New York Times . 9 October 2003.
  3. 1 2 3 4 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. 1 2 3 Granger, Clive W.J. (2003). "Clive W.J. Granger Biographical". NobelPrize.org. Retrieved 28 June 2020.
  5. British Academy (2013). Biographical Memoirs of Fellows of the British Academy, XII (PDF). Oxford: Oxford University Press. pp. 453–455. ISBN   978-0-19-726393-8. OCLC   58411642.
  6. Box, George; Jenkins, Gwilym (1970). Time Series Analysis, Forecasting and Control . San Francisco: Holden-Day.
  7. Phillips, Peter C. B. (1997). "The ET Interview: Professor Clive Granger". Econometric Theory. 13 (2): 253–303. doi:10.1017/S0266466600005740.
  8. Engle, Robert F.; Granger, C. W. J. (1987). "Co-Integration and Error Correction: Representation, Estimation, and Testing" (PDF). Econometrica. 55 (2): 251–276. doi:10.2307/1913236. JSTOR   1913236.
  9. "Interview" by Philipp Harms, Study Center Gerzensee Newsletter, July 2003
  10. 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.
  11. "Overview". Campaign for a UN Parliamentary Assembly. Retrieved 26 September 2017.
  12. Anahad O'Connor (30 May 2009). "Clive Granger, Economist, Dies at 74". The New York Times.
  13. "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
Awards
Preceded by
Daniel Kahneman
Vernon L. Smith
Laureate of the Nobel Memorial Prize in Economics
2003
Served alongside: Robert F. Engle III
Succeeded by
Finn E. Kydland
Edward C. Prescott