September 4, 1934|
|Died||May 27, 2009
San Diego, California, USA
|Institution||Erasmus University Rotterdam
University of California, San Diego
University of Nottingham
|Alma mater||University of Nottingham|
James H. Stock
Autoregressive fractionally integrated moving average
|Awards||Nobel Memorial Prize in Economic Sciences (2003)|
|Information at IDEAS/RePEc|
Sir Clive William John Granger // (September 4, 1934 – May 27, 2009) was a British economist, who 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 discoveries in the analysis of time series data that had changed fundamentally the way in which economists analyse financial and macroeconomic data.
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 showed talent for mathematics, developing a strong interest in applied mathematics.
After secondary school Granger enrolled at the University of Nottingham for a joint degree in economics and mathematics, but switched to full mathematics in the second year. After receiving his B.A. in 1955, he remained at the University of Nottingham for a Ph.D. in statistics under the supervision of Harry Pitt.
In 1956, at 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 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. In 1959 he obtained his Ph.D. with a thesis on "Testing for Non-stationarity".
Granger spent the next academic year, 1959–60, in the U.S.A. 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.) 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, 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 lead to a re-evaluation of previous empirical work in economics and to the econometric methodology.
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 U.S.A., 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; for which he was awarded the Nobel prize in 2003.
In later years, Granger also used the time series methods to analyze 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. Granger retired from UCSD in 2003 as a Professor Emeritus. He was a Visiting Eminent Scholar of the University of Melbourne and Canterbury University.
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.
Granger died on May 27, 2009, at Scripps Memorial Hospital in La Jolla, California.
Honours and awards
- 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. and Bates, J. (1969). "The combination of forecasts". Operations Research Quarterly 20 (4): 451–468. doi:10.1057/jors.1969.103.
- Granger, C. W. J. and Hatanaka, M. (1964). Spectral Analysis of Economic Time Series. Princeton, NJ: Princeton University Press. ISBN 0-691-04177-6.
- 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. and 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. and Newbold, P. (1974). "Spurious regressions in econometrics". Journal of Econometrics 2 (2): 111–120. doi:10.1016/0304-4076(74)90034-7.
- Granger, C. W. J. and Newbold, P. (1977). Forecasting Economic Time Series. Academic Press.
- Engle, R. F. and 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.
- 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
- George Box and Gwilym Jenkins (1970). Time Series Analysis, Forecasting and Control, Holden-Day, Inc.
- "The ET Interview: Professor Clive Granger" by Peter C.B. Phillips, Econometric Theory 13, 1997, pp. 253–303
- "Interview" by Philipp Harms, Study Center Gerzensee Newsletter, July 2003
- Granger, C. W. J., Andersen L., Reis E., Weinhold D., and Wunder S. (2002). The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon. Cambridge University Press
- Anahad O’Connor (May 30, 2009). Clive Granger, Economist, Dies at 74. New York Times
- "Canterbury Distinguished Professor Clive Granger awarded a Knighthood in New Year’s Honours", University of Canterbury news, 2006
- Home page on UCSD website
- Winner page on the official Nobel Foundation website
- Mathematics Genealogy Project
- 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.