Clive Granger
British econometrician and Nobel laureate in economic sciences.
Sir Clive William John Granger (4 September 1934 – 27 May 2009) was a British econometrician known for his contributions to nonlinear time series analysis. He taught in Britain, at the University of Nottingham, and in the United States, at the University of California, San Diego. Granger was awarded the Nobel Memorial Prize in Economic Sciences in 2003 in recognition of the contributions that he and his co-winner, Robert F. Engle, had made to the analysis of time series data. This work fundamentally changed the way in which economists analyse financial and macroeconomic data.
- born
- 4 September 1934, Swansea, Wales, UK
- died
- 27 May 2009, La Jolla, California, USA
- field
- Econometrics, time series analysis
- nationality
- British
- known_for
- Granger causality, cointegration, spurious regression, nonlinear time series ana
Verified Timeline
Lore & Background
Clive Granger was born in 1934 in Swansea, south Wales, to Edward John Granger and Evelyn Granger. During World War II, he and his mother moved to Cambridge while his father joined the Royal Air Force. A primary school teacher told his mother that Clive would never be successful. He started secondary school in Cambridge but continued in Nottingham after his family moved. Two teachers there encouraged his interest in physics and applied mathematics. He initially planned to leave school at 16 for a bank or insurance job, but peer influence and his father's support led him to sixth-form and then university. He enrolled in a joint economics and mathematics degree at the University of Nottingham, switched to full mathematics, and earned his BA in 1955. He stayed at Nottingham for a PhD in statistics under Harry Pitt, completing his thesis 'Testing for Non-stationarity' in 1959. At age 21 in 1956, he was appointed a junior lecturer in statistics there. Granger spent 1959–60 at Princeton University on a Harkness Fellowship, invited by Oskar Morgenstern. He and Michio Hatanaka assisted John Tukey on a project using Fourier analysis on economic data. In 1964, they published 'Spectral Analysis of Economic Time Series'. His 1966 paper 'The typical spectral shape of an economic variable' appeared in Econometrica. In 1969, he introduced Granger causality in Econometrica. After reading a pre-print of the Box-Jenkins time series book in 1968, he focused on forecasting with post-doctoral student Paul Newbold, publishing a standard reference in 1977. Their 1974 paper on spurious regression led to a re-evaluation of empirical work. After 22 years at Nottingham, he moved to UC San Diego in 1974. There he collaborated with Robert Engle on cointegration, introduced in a 1987 joint paper in Econometrica, for which they won the 2003 Nobel Prize. He retired as professor emeritus in 2003.
Reader's Guide
Clive Granger's significance rests on several foundational contributions to time series econometrics. His 1969 paper introduced Granger causality, a statistical test for whether one time series can predict another, now a standard empirical tool. With Paul Newbold, his 1974 paper on spurious regression exposed the dangers of regressing non-stationary time series, prompting a methodological shift in applied econometrics. Most notably, his development of cointegration with Robert Engle, published in a 1987 Econometrica paper, allowed economists to model long-run equilibrium relationships among non-stationary variables—a breakthrough that earned them the 2003 Nobel Prize. Granger also worked on nonlinear time series, fractional integration with Roselyne Joyeux (1980), and forecasting. His methods are used beyond economics, including a project forecasting deforestation in the Amazon rainforest. He was knighted in 2005 and was a Corresponding Fellow of the British Academy since 2002. Granger died on 27 May 2009 at Scripps Memorial Hospital in La Jolla, California.
Did You Know?
- A primary school teacher told Granger's mother that he would never be successful.
- Granger was appointed a junior lecturer in statistics at the University of Nottingham at age 21 in 1956.
- He spent 22 years at the University of Nottingham before moving to UC San Diego in 1974.
- Granger worked on a project forecasting deforestation in the Amazon rainforest using time series methods.
- He was made a Knight Bachelor in the New Year's Honours in 2005.
Frequently Asked Questions
Who is Clive Granger?
Clive Granger was a British econometrician born in Swansea, Wales, in 1934, best remembered for pioneering methods to analyze and interpret time series data in economics and finance.
What is Granger causality?
Granger causality is a statistical framework he introduced to test whether past values of one variable help forecast another, giving economists a practical way to infer directional influence between economic series.
Why did Clive Granger win the Nobel Prize?
In 2003 he shared the Nobel Memorial Prize in Economic Sciences with Robert F. Engle, recognizing their joint contribution to making time series analysis a core tool for studying financial markets and macroeconomic data.
Where did Clive Granger teach?
He held academic positions at the University of Nottingham in England and later at the University of California, San Diego, in the United States.
When and where did Clive Granger die?
He passed away on 27 May 2009 in La Jolla, California, at the age of seventy-four.
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