Clive W J Granger Prize Lecture Nobelprize Org

Clive W.J. Granger held his Prize Lecture December 8, 2003, at Aula Magna, Stockholm University. He was presented by Professor Torsten Persson, Chairman of the Prize Committee for Economic Sciences. Clive W.J. Granger held his Prize Lecture December 8, 2003, at Aula Magna, Stockholm University. He was presented by Professor Torsten Persson, Chairman of the Prize Committee for Economic Sciences.

To cite this section MLA style: Clive W.J. Granger – Prize Lecture. NobelPrize.org. Nobel Prize Outreach 2025. Sun. 14 Dec 2025.

<https://www.nobelprize.org/prizes/economic-sciences/2003/granger/lecture/> Sir Clive Granger was awarded Nobel Prize 2003 in Economic Sciences Institution University of California, San Diego Further Information on the Official Web Site of the Nobel Prize Follow the Laureate's life path on an interactive world map. Sir Clive William John Granger (/ˈɡreɪndʒər/; 4 September 1934 – 27 May 2009) was a British econometrician known for his contributions to nonlinear time series analysis.[1] He taught in Britain, at the University of...

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.[2] Clive Granger was born in 1934 in Swansea, south Wales, United Kingdom, to Edward John Granger and Evelyn Granger.[3] The next year his parents moved to Lincoln. During World War II Granger and his mother moved to Cambridge because Edward joined the Royal Air Force and deployed to North Africa. Here they stayed first with Evelyn's mother, then later Edward's parents, while Clive began school.

Clive would later recall a primary school teacher telling his mother that "[Clive] would never be successful".[4] Clive started secondary school in Cambridge, but continued in Nottingham, where his family moved after the war. Here two teachers encouraged Granger's interest in physics and applied mathematics.[5] He had anticipated following the convention of completing schooling at age 16 to enter the workforce and saw himself working in a bank... However, positive social influence from his peers and support from his father led him to enroll in sixth-form for two years as preparation for a university degree.[4] Granger enrolled in a joint degree in economics and mathematics at the University of Nottingham but switched to full mathematics in his second year. After receiving his BA in 1955, he remained at the University of Nottingham for a PhD in statistics under the supervision of Harry Pitt.[4]

In 2003, econometrician Clive Granger, along with econometrician Robert Engle, received the Nobel Prize in economics. Granger’s award was “for methods of analyzing economic time series with common trends (cointegration).” Trained in statistics, Granger specializes in the behavior of time-series data (i.e., data that are recorded in calendar sequence, annually or at shorter or longer intervals). Early in his career, the best-developed statistics assumed that time series were stationary—that is, that they tended to vary randomly around a common long-run mean (or average) value or around a nonrandom trend. Many economic time series, however, appear to be nonstationary—to follow processes related to the random walk. The term “random walk” is suggested by the metaphor of a drunken man stumbling in the street—just as likely to go one way as another.

A time series is a random walk when the next period’s value is as likely to be higher as it is to be lower, so that the best forecast of the next period’s value... For lack of better techniques, economists often applied statistics designed for stationary data to nonstationary data. In 1974, Granger and coauthor Paul Newbold, building on the 1920s work of the English statistician G. Udny Yule, showed that pairs of nonstationary time series could frequently display highly significant correlations when there was no causal connection between them. For example, the U.S. federal debt and the number of deaths due to AIDS between 1981 and 2000 are highly correlated but are clearly not causally connected.

Such “nonsense correlations” called into question the meaningfulness of many econometric studies. Short-run changes in time series are frequently stationary, even when the time series themselves are nonstationary in the long run. So one strategy in the face of nonstationary data was to study only short-run changes. But Granger (working with Engle) realized that such a strategy threw away valuable information. Not all long-run associations between nonstationary time series are nonsense. Suppose that the randomly walking drunk has a faithful (and sober) friend who follows him down the street from a safe distance to make sure he does not injure himself.

Because he is following the drunk, the friend, viewed in isolation, also appears to follow a random walk, yet his path is not aimless; it is largely predictable, conditional on knowing where the drunk... Granger and Engle coined the term “cointegration” to describe the genuine relationship between two nonstationary time series. Time series are “cointegrated” when the difference between them is itself stationary—the friend never gets too far away from the drunk, but, on average, stays a constant distance back.1 Many economic time series are nonstationary. For example, over long periods, federal revenues and spending appear to be nonstationary, but they also appear to be cointegrated, in the sense that when they are far out of line, they tend to... Granger developed econometric methods for testing whether the relationships among these time series were genuine cointegrating relationships or nonsense, and for correctly estimating the genuine relationships.

Clive W.J. Granger’s speech at the Nobel Banquet, December 10, 2003 Rob Engle and I are concerned with extracting useful implications from economic data, and so the properties of the data are of particular importance. Rob deals with financial markets which produce… Artist: Nils G. Stenqvist Calligrapher: Annika Rücker Artist: Nils G.

Stenqvist Calligrapher: Annika Rücker Interview transcript On behalf of the Nobel e-Museum and Nobel Foundation I have the pleasure of welcoming the winners of the 2003 Bank of Sweden Prize in Economic Sciences in memory of Alfred Nobel. The winners are Professor Robert Engle, New York University and Professor Clive Granger, University of California, San Diego.… Interview transcript On behalf of the Nobel e-Museum and Nobel Foundation I have the pleasure of welcoming the winners of the 2003 Bank of Sweden Prize in Economic Sciences in memory of Alfred Nobel. The winners are Professor Robert Engle, New York University and Professor Clive Granger, University of…

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