Clive Granger was a British economist. Together with the American economist Robert Engle he made discoveries in the analysis of time series data that had changed fundamentally the way in which economists analyse financial and macroeconomic data and was awarded for that the Nobel Memorial Prize in Economic Sciences in 2003.
Education
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.
Career
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.
Granger also supervised many Ph.D. students, among whom was Mark Watson (co-advisor with Robert Engle).
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.