Clive W.J. Granger

Clive W. J. Granger
Born	September 4 1934 (1934--) (age 73) Swansea
Residence	U.S.
Nationality	Welsh
Field	Econometrics
Institutions	UCSD (1974-2003) University of Nottingham (1956-73)
Alma mater	University of Nottingham
Academic advisor	Harry Pitt
Notable students	Mark Watson
Known for	Cointegration Granger causality Fractional integration
Notable prizes	Nobel Prize in Economics (2003)

Sir Clive William John Granger (born September 4, 1934) is a Welsh-born economist, and Professor Emeritus at the University of California at San Diego, U.S.. Along with Robert F. Engle of New York University he shared the 2003 Nobel Prize in Economics.

Biography

Early life

Clive Granger was born in 1934 in Swansea, Wales, as the son of Edward John Granger and Evelyn Granger^[1]. The next year his parents (who were both English) decided to move to Lincoln in England. During the war, Granger moved with his mother to Cambridge, where he went to the local primary school. He started highschool 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 high 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 23, 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^[1]. In 1959 he obtained his Ph.D. with a thesis on "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 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, he got married and spent the honeymoon in a trip across US. Granger published the research results, together with Hatanaka, in a 1964 book on Spectral Analysis of Economic Time Series (Tukey had encouraged them to write the book themselves, as he was not going to publish the research results.) ^[1] He 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 extremely 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^[2], Granger became interested in forecasting. For the next 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 lead to a general reevaluation of previous empirical work in economics and to the econometric methodology.^[3]

In all, Clive 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 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 (which he helped bring to UCSD), Roselyn 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.

Granger also supervised many Ph.D. students, among which Mark Watson (co-advisor with Robert Engle)^[4].

In the 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.^[5] Granger retired from UCSD in 2003 as a Professor Emeritus. He is a Visiting Eminent Scholar of the University of Melbourne and Canterbury University.

Sir Clive Granger is married to Lady Patricia, and they have two children, Mark William John and Claire Amanda Jane^[1].

Awards and Honors

In 2003, Clive Granger and his close collaborator Robert Engle were jointly awarded the Nobel prize in economics. Her Majesty Queen Elizabeth II of England has awarded him the dignity of Knight Bachelor in the New Year’s Honours in 2005.^[6]

Granger is 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.

Scientific activity

Clive Granger’s great breakthroughs concerned the relationships between different financial or economic variables over time. He showed that traditional statistical methods could be misleading if applied to variables that tend to wander over time without returning to some long-run resting point. He also demonstrated that many variables display similar long-run patterns that can be exploited in statistical analysis. Combining several of these variables can create a joint variable that returns to a resting point, allowing traditional methods to be used. For example, economic forces such as uneven technological progress cause consumption and income to grow over time, but other economic forces, such as constraints on budgets, make them follow similar paths (“Cointegration”). This discovery not only led to significant breakthroughs in statistics and macroeconomic forecasting, but also to an important reconciliation between macroeconomic theory and data. Clive Granger also developed a formal statistical notion of causality based on which variables help to predict other variables. His discovery is widely used and is commonly known as Granger causality.

Trivia

• While at UCSD he was famously photographed astride a powerful motorbike with the photo eventually captioned "Rebel without a causal model".
• He has said that the Norwegian economy is the best in the world.^{[citation needed]}

Selected works

• Granger, C. W. J. (1966). "The typical spectral shape of an economic variable". Econometrica 34: 150-161. 
• Granger, C. W. J. (1969). "Investigating causal relations by econometric models and cross-spectral methods". Econometrica 37: 424—438. 
• Granger, C. W. J. and Bates, J. (1969). "The combination of forecasts". Operations Research Quarterly 20: 451—468. 
• Granger, C. W. J. and Hatanaka, M. (1964). Spectral Analysis of Economic Time Series. Princeton University Press, Princeton, NJ. ISBN 0-691-04177-6. 
• 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. 
• Granger, C. W. J. and Newbold, P. (1974). "Spurious regressions in econometrics". Journal of Econometrics 2: 111—120. 
• Granger, C. W. J. and Newbold, P. (1977). Forecasting Economic Time Series. Academic Press; second edition: 1986. 
• Engle, R. F. and Granger, C. W. J. (1987). "Co-integration and error-correction: Representation, estimation and testing". Econometrica 55: 251—276. 

Notes and references

1. ^ ^{a b c d} Clive Granger's autobiography on the Nobel Foundation website [1]
2. ^ George Box and Gwilym Jenkins (1970). Time Series Analysis, Forecasting and Control, Holden-Day, Inc.
3. ^ "The ET Interview: Professor Clive Granger" by Peter C.B. Phillips, Econometric Theory 13, 1997, pp. 253-303
4. ^ "Interview" by Philipp Harms, Study Center Gerzensee Newsletter, July 2003
5. ^ 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
6. ^ "Canterbury Distinguished Professor Clive Granger awarded a Knighthood in New Year’s Honours", University of Canterbury news, 2006

External links

• Home page on UCSD website
• Winner page on the official Nobel Foundation website

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