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| Subject: Clive Granger, Nobelist, Dies at 74 | |
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Author: died May 27 |
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Date Posted: May 30, 2009 8:23:29 EDT Clive W. J. Granger, an economist and Nobel laureate whose work revolutionized the way stocks and other fluctuating series of data are analyzed and forecast, died on May 27. He was 74 and lived in La Jolla, Calif. His death was announced on Friday by the University of California, San Diego, where he taught for three decades. No cause was given. Throughout his career, Dr. Granger was known as one of the most prominent figures in the use of statistics to study the economy, a highly technical field known as econometrics. But it was an early revelation about time series data — sets of data that are collected over time, like daily stock prices, interest rates and consumer spending habits — that earned him his greatest honor. In macroeconomics, some time series are referred to as nonstationary, in that they grow over time and have an element of randomness to them, while others are called stationary, meaning they do not grow over time and tend to fluctuate around a given value or average. Before Dr. Granger’s studies, it was common practice for economists to take methods intended for stationary time series and use them to analyze nonstationary ones. But Dr. Granger — working closely with a colleague at the University of California, Davis, Robert F. Engle — demonstrated that this approach could produce erroneous results. He also devised ways to analyze relationships between data that follow similar trends over time but are not necessarily linked through cause and effect, like monthly fluctuations in consumer spending and changes in household wealth. The implications of Dr. Granger’s work quickly spread far beyond academia, allowing bankers to better analyze stock prices and economists to better understand the intricacies of the economy. His methods are also applied in fields like biology and engineering. For their work, Dr. Granger and Dr. Engle were awarded the Nobel Memorial Prize in Economic Science in 2003. “His innovation has completely changed the way that economists estimate and build dynamic models of the macro economy,” Torsten Persson, an economist at the University of Stockholm who served on the Nobel Prize Committee for Economic Sciences, said at a ceremony honoring Dr. Granger in 2003. “Nowadays co-integration methods are literally used everywhere — by academically minded researchers in universities, as well as more practically minded investigators, be it in central banks or the private sector.” In 2004, Dr. Granger, a native of Wales, was inducted into the Order of Knight Bachelor by Queen Elizabeth II. Clive William John Granger was born in Swansea, Wales, in 1934. He developed a strong interest in mathematics as a child but ambled into a career in statistics haphazardly. As a grammar school student in 1946, his teacher instructed him and his classmates to stand up one day and announce the careers they wanted. “I preferred to use mathematics in some practical fashion and thought that meteorology sounded promising,” he wrote in his Nobel biography. “In those days I stuttered somewhat and when my turn came to stand up, I tried to say ‘meteorology’ but found I could not get the word out, so I just said ‘statistics,’ thereby determining my future path.” He would go on to the University of Nottingham, where he earned a bachelor’s degree in mathematics in 1955. He earned his Ph.D. in statistics there in 1959, publishing his first statistical paper on an unlikely subject: sunspot activity. After obtaining his degree, he was briefly lured away from Nottingham by Princeton University, where he spent an academic year and, as Dr. Persson put it, “he was safely hooked onto the use of statistics in economics rather than physics.” At the end of his stint at Princeton, Dr. Granger, known for his gentle humor, married Patricia Loveland and went on what he called “an extended camping trip and honeymoon” across the United States, using money he had received through a fellowship. “After twelve thousand spectacular miles,” he wrote, “we still liked each other and I had acquired a beard.” In the years that followed, Dr. Granger took up visiting positions at various schools, but spent most of his time teaching at the University of Nottingham. He returned to the United States in the early 1970s, settling at U.C. San Diego. There, he began his work with Dr. Engle, working with him through the ’70s and ’80s and together building one of the world’s most prominent econometrics programs. In addition to his research, Dr. Granger published a dozen books and won numerous awards. In 2005, the University of Nottingham bestowed upon him yet another in a series of rare honors, renaming the school’s economics and geography department the Sir Clive Granger Building. Dr. Granger is survived by his wife as well as two children: a son, Mark, and a daughter, Claire. He retired from his post at U.C. San Diego in June 2003 but kept an emeritus position. He worked for a time at the University of New Zealand, only to have his semi-retirement interrupted that October with a 3 a.m. phone call from the Nobel committee. In an interview with The New York Times shortly after the announcement, Dr. Granger said he initially wondered whether the coveted call was a prank. It was only when he heard voices of Royal Academy members whom he knew that he realized it was no hoax. “I kind of thought I had a chance,” he said at the time, “but I wasn’t expecting it.” [ Next Thread | Previous Thread | Next Message | Previous Message ] |
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