Sir Clive Granger | |
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![]() Clive Granger in 2008
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Born |
Swansea, Wales |
4 September 1934
Died | 27 May 2009 San Diego |
(aged 74)
Nationality | United Kingdom |
Institution |
Erasmus University Rotterdam University of California, San Diego University of Nottingham Nehalennia |
Field |
Financial economics Econometrics |
Alma mater | University of Nottingham |
Doctoral advisor |
Harry Pitt |
Doctoral students |
Tony Pettitt Jesus Gonzalo Zhuanxin Ding Norman Swanson |
Influences |
David Hendry Norbert Wiener |
Influenced |
Paul Newbold Christopher Sims Mark Watson |
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 non-linear time series. He 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 contributions to the analysis of time series data that had changed fundamentally the way in which economists analyse financial and macroeconomic data.
Clive Granger was born in 1934 in Britain, in Swansea, south Wales, the son of Edward John Granger and Evelyn Granger. The next year his parents moved to Lincoln.
During World War II Granger moved with his mother to Cambridge, where he went to the local primary 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 BA in 1955, he remained at the University of Nottingham for a PhD 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 PhD with a thesis on "Testing for Non-stationarity".