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In memory of Clive Granger: an advisory board member of the journal
Author(s) -
Hendry David F.,
Hashem Pesaran M.
Publication year - 2009
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1125
Subject(s) - cointegration , spurious relationship , granger causality , long memory , econometrics , order (exchange) , economics , mathematics , statistics , finance , volatility (finance)
Professor Sir Clive William John Granger, Kt, Professor Emeritus at the University of California, San Diego, died on 27 May 2009. He was born on 4 September 1934. In a distinguished career spanning more than 50 years, Clive Granger greatly influenced the theory and practice of time-series econometrics, with major contributions to most of the key concepts and approaches during that period. It is almost impossible to undertake empirical analyses of economic time series without using some of his methods or ideas which spanned causality, spurious regressions, forecasting, long-memory, non-linearity, aggregation and, most importantly, cointegration, where his formulation with Robert F. Engle, with whom he was awarded the Sveriges Riksbank Prize in Economic Science in Memory of Alfred Nobel in October 2003, changed forever our understanding of non-stationary data. The photo of Clive standing next to a blackboard, reproduced above with the permission of his widow Lady Patricia Granger, shows the breadth and the unity of his contributions. The material on the board clearly illustrates Clive’s main contributions to time-series econometrics as he saw them on 14 March 2008 when this photo was taken. The material was choreographed, so to speak, most likely by Clive himself, very much as when dancers or themes are placed within a unified