Granger, Clive William John (1934-2009), was a British economist and professor who won the 2003 Nobel Prize in economic sciences. He shared the award with the American economist Robert F. Engle. The economists earned the award for their development of new statistical methods for the study of economic time series. Economic time series are sets of economic observations recorded over time. Time series commonly track economic variables, such as gross domestic product, interest rates, and stock prices. Granger’s and Engle’s methods improved economists’ ability to analyze time series and to predict future economic conditions.
Granger’s research examined relationships between two or more variables that change over time. Much of his work focused on nonstationary variables—that is, variables that do not maintain a constant value or follow a consistent trend. Granger introduced the concept of cointegration, by which two or more nonstationary variables can exhibit a consistent or stationary relation to one another. He also developed the “Granger causality test,” a method of testing which of two variables leads to changes in the other when two variables are correlated over time. Granger’s contributions greatly influenced the interpretation of time series data in a variety of fields.
Granger was born on Sept. 4, 1934, in Swansea, Wales. In 1955, he received a joint undergraduate degree in economics and mathematics from the University of Nottingham, in Nottingham, England. He earned a Ph.D. degree in statistics from the university in 1959. Granger taught at a number of universities, including the University of Nottingham, the University of California at San Diego, and the University of Canterbury in Christchurch, New Zealand. He was knighted by Queen Elizabeth II in 2005, becoming Sir Clive Granger. He died on May 27, 2009.
See also Engle, Robert Fry .
