Message from the Department

Clive Granger was born in 1934 in Swansea, Wales.  After obtaining his Bachelor’s and Ph.D. degrees from the University of Nottingham, in 1955 and 1959 respectively, he taught and did research at the University of Nottingham, a university with which he maintained a warm relationship for the rest of his life.  In 1974 Clive and family moved to the University of California San Diego where he led the efforts to create a top econometrics group in the Department of Economics.  Although Clive retired from UCSD in 2003, months before the Nobel Prize announcement, he became a Research Professor and Emeritus Professor. He remained very active in the research life of the Department of Economics right up until his death in 2009.

As a Nobel Prize winner, Clive Granger’s contributions to the theory and practice of time series analysis stretched over nearly four decades. He was one of the world's leading figures in research surrounding time series analysis.  He had a reputation as one of the most prominent econometricians in the world. His work is widely cited, and his contributions are used in both academic and non-academic settings. His research on forecasting, causality, and cointegration has introduced tools used by every empirical economist, and also in the fields of biology, engineering, and statistics. Clive’s work on testing for causality has had an immense effect not only on practitioners who employ his methods but have also reached as far as philosophy departments where his practical notions of examining causality are well known.

Clive's early work focused on what became known as Granger causality. Some time series, such as interest rates, are stationary, meaning they do not have a long-term trend. Other time series, like population or national income, do move substantially over time. Clive's idea for a test of whether one non-stationary time series might be causing trends in another non-stationary time series was to test whether past values of the first series, say, money supply, could predict future values of the second series, say, the overall price level.

Another of his influential earlier works, authored jointly with Paul Newbold, demonstrated how easily researchers could confound a correlation between two nonstationary time series as being causal.  Their work on so-called spurious regressions led to much more careful work by economists, who subsequently became much more careful about distinguishing between correlation and causation.

A positive correlation between cumulative rainfall and the consumer price index might indeed be spurious, but were there cases in which long-term associations between two or more non-stationary variables might be something more than correlational?  Clive Granger, working with long-time UCSD professor Robert Engle, subsequently developed the theory of cointegration.  In essence, this theory says that two or more non-stationary variables might individually move in unpredictable ways, but that a stable relationship between them might well exist.  This insight led to a complete overhaul to the methods that economists use to model non-stationary variables.

In 2003 Professor Granger and Professor Robert Engle, his long-time collaborator and colleague at UCSD, were co-awarded with the Nobel Prize in Economics for their work in methods of analyzing economic time series. The Nobel Prize Committee awarded the prize to Professor Granger “for methods of analyzing economic time series with common trends (cointegration)”. The Royal Swedish Academy of Sciences, in bestowing this honor, recognized that Clive Granger and Robert Engle had made fundamental discoveries in the analysis of time series data, that is, collections of data over time such as stock prices each day or national income each year.

When Rob Engle learned of Clive’s passing, he told us: “Clive was a giant in the field of econometrics and we will miss him immensely.  His innovations span the field of time series.  His speaking engagements were widely anticipated - you might hear one of his great new ideas in its early stages and this could change a career.   His students, colleagues, collaborators and friends will remember with great fondness their time with Sir Clive Granger.”

Clive Granger received numerous other honors.  In 2002, he was named a Corresponding Fellow of the British Academy and a Distinguished Fellow of the American Economics Association, an honor given to only one member of the profession annually.  In 2005 he was inducted into the "Order of Knight Bachelor" by Her Majesty Queen Elizabeth II of England.  Sir Clive held several honorary doctoral degrees, was a Fellow of the American Academy of Arts and Sciences, the Econometric Society, and served a term as President of the Western Economic Association.

For us in the Department, Clive’s presence in the Department has been an inspiration.  Clive fundamentally changed the way that econometricians and applied economists analyze time-series data. That was his gift to the world.  For us, the additional gifts were his generosity of spirit, the way he always made time for students, colleagues and visitors, his always witty insights, and his gentle sense of humor. He will never be forgotten.

Plans for a memorial gathering are in the works and we will announce the details soon.

With best wishes,

Julian Betts
Professor and Chair
Department of Economics,
UC San Diego