Clive Granger
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| Born | September 4, 1934 Swansea |
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| Residence | USA  |
| Nationality | Welsh  |
| Field | Econometrics |
| Institution | University of California at San Diego |
| Alma Mater | University of Nottingham |
| Doctoral Advisor | Harry Pitt |
| 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, USA. Along with Robert Engle of New York University he shared the 2003 Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel.
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[edit] Biography
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 highschool 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".
Granger spent the next academic year, 1959-60, at Princeton University under a Harkness Fellowship of the Commonwealth Fund. He had been invited at 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. He published the research results, together with Hatanaka, in a 1964 book which prooved extremely influential[2] (Tuckey had encoureged them to write the book themselves, as he was not going to publish the research results[1]).
Granger latter became a full professor at the University of Nottingham. In all, he spent 22 years at the University before leaving for UCSD in 1974. In 2005, the building that houses the Economics and Geography Departments at the University of Nottingham was renamed the Sir Clive Granger Building in honour of his Nobel achievement. Sir Clive Granger is married to Lady Patricia, and has two children, Mark and Claire.
[edit] 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. While at UCSD he was famously photographed astride a powerful motorbike with the photo eventually captioned "Rebel without a causal model".
He received his Nobel Prize "for methods of analyzing economic time series with common trends (cointegration)".
He has said that the Norwegian economy is the best in the world. He was knighted in the 2005 New Year's Honours.
He is a Visiting Eminent Scholar of the University of Melbourne, Australia and Canterbury University, New Zealand.
[edit] Selected works
- Granger, C. W. J. and Hatanaka, M. (1964). Spectral Analysis of Economic Time Series. Princeton University Press, Princeton, NJ. ISBN 0691041776.
- 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 Newbold, P. (1974). "Spurious regressions in econometrics". Journal of Econometrics 2: 111—120.
- 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.
- Engle, R. F. and Granger, C. W. J. (1987). "Co-integration and error-correction: Representation, estimation and testing". Econometrica 55: 251—276.
[edit] See also
[edit] Notes and references
- ^ a b c Clive Granger's autobiography on the Nobel Foundation website [1]
- ^ "Spectral Analysis of Economic Time Series" (see Selected Works)
[edit] External link
- Winner page on the official Nobel Foundation website[2]
