Sir Clive Granger, 1934-2009

June 18, 2009

Sir Clive Granger, the Nobel prizewinning economist, has died.

Born in Swansea on 4 September 1934, he moved with his family to Lincoln for his father's job with the Chivers jam company and spent the war years living in Cambridge.

He completed his education at West Bridgeford Grammar School in Nottingham and then the University of Nottingham, where he started a degree in mathematics and economics. He switched to mathematics, bringing his formal training in economics to an end, but went on to do a PhD on the statistics of economic time series.

A junior lectureship followed six months later at the age of 23, when the preferred candidate got into an argument with the vice-chancellor during his interview. He remained at Nottingham for more than 20 years, rising to the position of professor of applied statistics and econometrics.

A Harkness fellowship gave Sir Clive the opportunity to spend a year at Princeton University as part of Oscar Morgenstern's Econometric Research Project. He and his colleagues submitted the first-ever computer-generated economics diagram to the journal Kyklos.

He also pioneered the use of real-world experiments, getting supermarkets to alter the prices of popular products and record the change in sales.

And he challenged much received wisdom by uncovering the phenomenon of "spurious regression", demonstrating that standard statistical methods could point to apparent but non-existent relationships within data.

In 1973, Sir Clive accepted a professorship at the University of California, San Diego, where he remained until his retirement three decades later.

It was there that he developed with Robert Engle the crucial concept of "cointegration" - the statistical applications of which he showed to be equally relevant to commodity prices, interest rates, electricity demand, deforestation, river flooding and even sunspots - which won them a Nobel prize in 2003.

Despite his many years in California, Sir Clive returned to Nottingham to deliver his Nobel Prize Lecture. In a memoir he wrote for the occasion, he described himself as "naturally lucky", with a fortunate gift for "coming across useful information or scarce parking spaces".

He was knighted in 2005; Nottingham's Granger Centre for Time Series Econometrics was set up in 2006.

For Robert Taylor, director of the Granger Centre, "the loss of Clive's enormous talent and insight will be deeply mourned throughout our profession, while his generosity of spirit and kindness to others will be hugely missed by all those who were privileged to have known him".

Sir Clive died on May and is survived by his wife Patricia, a son and a daughter.

matthew.reisz@tsleducation.com.

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