Clive Granger

Clive Granger (1934–2009) was a British econometrician who developed cointegration analysis and the Granger causality test. He received the 2003 Nobel Memorial Prize in Economic Sciences.

Time series: A sequence of observations indexed in time, often analyzed to describe patterns or forecast future values. Granger’s econometric methods were developed for studying relationships among observations ordered through time.
Granger causality: A predictive relation in which one time series improves forecasts of another, conditional on available information. This is the test most directly associated with Granger’s name and methodological work.
Robert F. Engle: An American econometrician who shared the 2003 Nobel Memorial Prize in Economic Sciences with Clive Granger. Engle’s work on ARCH models complemented Granger’s contribution to analyzing economic time series.
Purchasing power parity: The economic proposition that exchange rates adjust so comparable goods have equal prices across countries. Cointegration tests have been used to investigate whether exchange rates and relative prices share a long-run relation.
Econometric methodology: The design and study of statistical methods for estimating and testing economic relationships. Granger’s career centered on creating methods suited to the properties of economic time series.
Stationary process: A stochastic process whose statistical properties, such as mean and autocovariance, remain stable over time. Stationarity is central to the conditions and transformations used in Granger’s time-series analysis.
Cointegration: A relationship in which nonstationary time series share a linear combination that is stationary. Granger helped establish how cointegration makes long-run relations among nonstationary variables statistically tractable.
Nobel Memorial Prize in Economic Sciences: An annual prize established by Sweden’s central bank and awarded for outstanding contributions to economic sciences. Granger received the 2003 prize for methods analyzing economic time series with common trends.
Interest rate parity: A relationship linking interest-rate differences between countries to exchange-rate expectations or forward exchange rates. Time-series methods associated with Granger help test the persistence of parity relationships.
Econometric Society Monographs: A scholarly book series publishing major works in econometrics and economic theory. Granger and Paul Newbold’s influential work on spurious regression appeared in this series.

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