Sir Clive Granger | |
---|---|

Born | Swansea, Wales, U.K. | 4 September 1934

Died | 27 May 2009 74) San Diego, California, U.S. | (aged

Nationality | British |

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** ( /ˈɡreɪndʒər/ ; 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] }

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".

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] }

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.

- 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" (PDF).
*Econometrica*.**55**(2): 251–276. doi:10.2307/1913236. JSTOR 1913236.

**Econometrics** is the application of statistical methods to economic data in order to give empirical content to economic relationships. More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used today.

**Ragnar Anton Kittil Frisch** was an influential Norwegian economist known for being one of the major contributors to establishing economics as a quantitative and statistically informed science in the early 20th century. He coined the term econometrics in 1926 for utilising statistical methods to describe economic systems, as well as the terms microeconomics and macroeconomics in 1933, for describing individual and aggregate economic systems, respectively. He was the first to develop a statistically informed model of business cycles in 1933. Later work on the model together with Jan Tinbergen won the two the first Nobel Memorial Prize in Economic Sciences in 1969.

**Lawrence Robert Klein** was an American economist. For his work in creating computer models to forecast economic trends in the field of econometrics in the Department of Economics at the University of Pennsylvania, he was awarded the Nobel Memorial Prize in Economic Sciences in 1980 specifically "for the creation of econometric models and their application to the analysis of economic fluctuations and economic policies." Due to his efforts, such models have become widespread among economists. Harvard University professor Martin Feldstein told the Wall Street Journal that Klein "was the first to create the statistical models that embodied Keynesian economics," tools still used by the Federal Reserve Bank and other central banks.

* Econometrica* is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is Guido Imbens.

**Trygve Magnus Haavelmo**, born in Skedsmo, Norway, was an economist whose research interests centered on econometrics. He received the Nobel Memorial Prize in Economic Sciences in 1989.

**Robert Fry Engle III** is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".

**Tjalling Charles Koopmans** was a Dutch-American mathematician and economist. He was the joint winner with Leonid Kantorovich of the 1975 Nobel Memorial Prize in Economic Sciences for his work on the theory of the optimum allocation of resources. Koopmans showed that on the basis of certain efficiency criteria, it is possible to make important deductions concerning optimum price systems.

**Financial econometrics** is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corporate finance and corporate governance. Topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments.

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 *X**causes* Y, the Granger causality tests whether X *forecasts**Y.*

**Cointegration** is a statistical property of a collection (*X*_{1}, *X*_{2}, ..., *X*_{k}) of time series variables. First, all of the series must be integrated of order *d*. Next, if a linear combination of this collection is integrated of order less than d, then the collection is said to be co-integrated. Formally, if (*X*,*Y*,*Z*) are each integrated of order *d*, and there exist coefficients *a*,*b*,*c* such that *aX* + *bY* + *cZ* is integrated of order less than d, then *X*, *Y*, and *Z* are cointegrated. Cointegration has become an important property in contemporary time series analysis. Time series often have trends—either deterministic or stochastic. In an influential paper, Charles Nelson and Charles Plosser (1982) provided statistical evidence that many US macroeconomic time series have stochastic trends.

**Lars Peter Hansen** is an American economist. He is the David Rockefeller Distinguished Service Professor of economics at the University of Chicago and a 2013 recipient of the Nobel Memorial Prize in Economics.

**Christopher Albert Sims** is an American econometrician and macroeconomist. He is currently the John J.F. Sherrerd '52 University Professor of Economics at Princeton University. Together with Thomas Sargent, he won the Nobel Memorial Prize in Economic Sciences in 2011. The award cited their "empirical research on cause and effect in the macroeconomy".

**Sir David Forbes Hendry**, FBA CStat is a British econometrician, currently a professor of economics and from 2001 to 2007 was head of the Economics Department at the University of Oxford. He is also a professorial fellow at Nuffield College, Oxford.

**Mark W. Watson** is the Howard Harrison and Gabrielle Snyder Beck Professor of Economics and Public Affairs at the Woodrow Wilson School of Public and International Affairs at Princeton University. Prior to coming to Princeton in 1995, Watson served on the economics faculty at Harvard University and Northwestern University. His research focuses on time-series econometrics, empirical macroeconomics, and macroeconomic forecasting.

An **error correction model** (**ECM**) belongs to a category of multiple time series models most commonly used for data where the underlying variables have a long-run common stochastic trend, also known as cointegration. ECMs are a theoretically-driven approach useful for estimating both short-term and long-term effects of one time series on another. The term error-correction relates to the fact that last-period's deviation from a long-run equilibrium, the *error*, influences its short-run dynamics. Thus ECMs directly estimate the speed at which a dependent variable returns to equilibrium after a change in other variables.

The **methodology of econometrics** is the study of the range of differing approaches to undertaking econometric analysis.

**Philippus Henricus Benedictus Franciscus "Philip Hans" Franses** is a Dutch economist and Professor of Applied Econometrics and Marketing Research at the Erasmus University Rotterdam, and dean of the Erasmus School of Economics, especially known for his 1998 work on "Nonlinear Time Series Models in Empirical Finance."

**Paul Newbold** was a British economist known for his contributions to econometrics and time series analysis. His most famous contribution was a 1974 paper co-authored with Clive Granger which introduced the concept of spurious regressions.

**Ta-Chung Liu** was a Chinese American economist and econometrician. He was a professor of economics at Johns Hopkins University and Cornell University. During his time at Cornell, he mentored Robert F. Engle, an econometrician who later won the Nobel Prize in Economics.

**Charles Frederick Roos** was an American economist who made contributions to mathematical economics. He was one of the founders of the Econometric Society together with American economist Irving Fisher and Norwegian economist Ragnar Frisch in 1930. He served as Secretary-Treasurer during the first year of the Society and was elected as President in 1948. He was director of research of the Cowles Commission from September 1934 to January 1937.

- ↑ Teräsvirta, Timo (2017). "Sir Clive Granger s contributions to nonlinear time series and econometrics" (PDF).
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(help) - ↑ "Two Professors, Collaborators in Econometrics, Win the Nobel".
*The New York Times*. 9 October 2003. - 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. - 1 2 3 Granger, Clive W.J. (2003). "Clive W.J. Granger Biographical".
*NobelPrize.org*. Retrieved 28 June 2020. - ↑ 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. - ↑ Box, George; Jenkins, Gwilym (1970).
*Time Series Analysis, Forecasting and Control*. San Francisco: Holden-Day. - ↑ Phillips, Peter C. B. (1997). "The ET Interview: Professor Clive Granger".
*Econometric Theory*.**13**(2): 253–303. doi:10.1017/S0266466600005740. - ↑ 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. - ↑ "Interview" by Philipp Harms,
*Study Center Gerzensee Newsletter*, July 2003 - ↑ 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. - ↑ "Overview".
*Campaign for a UN Parliamentary Assembly*. Retrieved 26 September 2017. - ↑ Anahad O'Connor (30 May 2009). "Clive Granger, Economist, Dies at 74".
*The New York Times*. - ↑ "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

- Winner page on the official Nobel Foundation website
- Clive W.J. Granger on Nobelprize.org
- More maths good for economy – Nobel laureate
- Sir Clive Granger – Daily Telegraph obituary
- "Clive W. J. Granger (1934– )".
*The Concise Encyclopedia of Economics*. Library of Economics and Liberty (2nd ed.). Liberty Fund. 2008.

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