Clive W. J. Granger, 1934-2009

It is with great sadness that I report that Sir Clive Granger passed away last night. He had been a wonderful colleague and good friend.


Clive always had a particular passion for identifying what was predictable in economic relationships. He emphasized the importance of sorting out which variables are helpful for purposes of forecasting others as one of the first steps in understanding underlying causal relationships. That philosophy came to be a regular feature in thousands of economic studies and seminars, as scholars would routinely report investigations of “Granger-causality.”

Clive also discovered, in a paper with Paul Newbold published in 1974, the phenomenon of spurious regression. The pair demonstrated by Monte Carlo simulation that if a researcher fails to take account of the underlying dynamics, a regression of one trending variable on another can produce what look like marvelously significant t-statistics, even though the reality could be that the two series are completely independent of each other.

The key contribution for which Clive was awarded the Nobel Memorial Prize in Economic Sciences in 2003 was his development of the concept of cointegration, a scheme for recognizing and understanding stable relationships in the midst of an otherwise constantly changing economic environment.

Perhaps above all else, Clive was a crucial leader in developing an approach to economic research that is grounded in predictive ability and empirical relations rather than models that theorists find elegant. His influence was an important balancing force for several generations of economists.

I remember him fondly as an amazingly creative individual, always brimming with new ideas, new questions, and new insights. My association with Clive has been a real personal treasure for my career at U.C. San Diego.

UPDATE: Here are some tributes to Clive from around the world:

48 thoughts on “Clive W. J. Granger, 1934-2009

  1. jesus gonzalo

    1000 Thanks Jim.
    To add something, i would like to say that Clive was always very very generous with his ideas. In our profession he was clearly SPECIAL.
    jesus gonzalo

  2. Mike McCracken

    Best wishes to his family and friends. I would add that he also left a living legacy in the many – many – gifted students he guided into our profession.

  3. Karl Smith

    I was lucky enough to meet and tangle with Dr. Granger in Germany at the wonderful Lindau Conference. This is truly a loss for economics.

  4. onlinetradingstockandoptions

    Sorry to hear this news, best wishes for family.
    Arjen Holland

  5. Jeff Hallman

    This is very sad. I knew Clive was smart before I ever got to UCSD, and he was the reason I went to grad school there. What I didn’t find out until I started working with him was what a wonderful person he was. Clive was smart, but never the least bit arrogant. He was creative, generous to a fault, and a great listener. When talking with him, you got his undivided attention, never the feeling that he was only half-listening while readying a response.

    Clive was my thesis adviser and I worked pretty closely with him for a couple of years. In all that time I can’t remember him ever saying an unkind word about anyone. He really was one of the kindest souls around.

    Farewell, Clive.

  6. JS

    Academically speaking Prof Granger was my Grandfather. In much that the same way his legacy lives on though just about anyone that takes econometrics 101.
    Prayers go out to the family and friends.

  7. Diego Navarro

    Chris Sims and Clive Granger kept econometrics as a viable research program after IS-LM macro falled hard on its knees. I’ll be toasting to Clive’s memory tonight.

  8. Juri Marcucci

    I’m deeply sorry to hear this sad sad news. Clive was an amazing professor. Best wishes to his family.

  9. Oscar Jorda

    Jim,
    Thank you for your very nice post on Clive’s passing – my thoughts are with his family. Clive’s legacy to the profession is vast indeed, not only through his own very influential work but more importantly, through his generosity of spirit and unflinching support of generations of students over the years. A true intellectual giant and a thoroughly decent human being. We will miss him terribly.

  10. Gabriel Perez Quiros

    I will always keep in my memory the laughs that we had with him a few months ago, here, in Madrid, while he told us stories about how he received the news of his Nobel Prize. I am glad that I keep this beautiful image of him surronded by former students and colleagues. My condolences to his family, and to all the UC San Diego friends.

  11. Charles Nelson

    I met Clive for the first time at the ES World Congress in Cambridge UK in 1970 and found him immediately open to discussion of anything time series. He was extraordinarily generous with his time and ideas, never dogmatic, always willing to let the strength of his argument speak for itself. This is a huge loss to us all.

  12. AA

    A few years back at UCSD, I saw a line of undergrad students standing outside of a professor’s office during her office hours. Each time a student was finished talking to the professor, he/she would leave the office, and the next student would go inside. There were about 7 students waiting in line. The last student in line was very tall, and looked a bit old for an undergrad. It was Clive Granger. I couldn’t believe that a Nobel Laureate was so humble as to wait patiently in line behind undergrads to talk to the professor. That’s the type of person he was. A great loss for UCSD.

  13. cnflybird

    I’m sorry to hear the sad news.
    About 2 years ago, I had a chance to listen to his report about econometrics. He is a gracious man.
    My condolences to his family!

  14. Ruey Yau

    Professor Granger was in many ways a great mentor to me. With his help, I was able to visit UCSD twice and got the wonderful opportunity to work with him on forecasting business cycles. His research guidance and kindness had really inspired my academic and personal life. Professor Granger’s style will be in my heart forever and his influence continues.

  15. Philip Lau

    Professor Granger was a true classy fellow. He was down to earth and very approachable. I enjoyed being his teaching assistant more than 10 years ago. I ran into him last year outside Starbucks and he was very nice talking to me telling me how he had visited many universities around the world after winning the Nobel Prize. Thank you Professor Granger for your teaching.

  16. Deniz KEBABCI

    I am very sorry to hear this. He was a great econometrics professor and always generous with his time with students. I feel lucky to have taken his courses while at UCSD. Condolences to his family.

  17. David

    It is a terrible news that such a genius is not between us today….
    I will pray for him. very sad to hear the news

  18. Pierre Siklos

    What an honour for me to have known and worked with Clive. I had the good fortune to run into him several times. Just the other day some colleagues were claiming that cointegration had fallen out of favour. I disagreed, of course, and I wish I had the opportunity to let him know that a paper I am working takes me back to this core concept of time series analysis.

  19. giampiero m gallo

    Dear friends
    the news is shocking, in the quickness of the development of Clive’s illness. Here in Italy, there is deep sorrow at the announcement I gave. I am receiving letters from friends and students, who have known Clive through our lectures. I have always stressed his smile, his intellectual curiosity and his openness to young people as the three ingredients of being a professor I will cherish the most. I owe him a great intellectual debt. I started by studying his causality ideas as an undergraduate and a chapter of my PhD thesis came out of conversations I had with him when he came to Penn invited by Bobby Mariano, my supervisor. I have several memories of my interaction with him, but his knocking on my office door at UCSD and asking whether I cared to join him for a walk is a monument to an unassuming individual who cared a lot for the people around him. I am still saving the two pages with his handwriting that started our 2002 paper. I could not believe my eyes: Clive wrote – I like your ideas, let’s work on this.
    We’ll miss him greatly. Our love to Pat and Mark and Claire and to those who have been close to him and have built the Mecca of Econometrics.
    Giampiero

  20. Walter Enders

    Just before I was to take a sabbatical at the Univ. of Minnesota, I had the opportunity to present a seminar at UCSD. When I met Clive, he stated: “It will be 100 degrees warmer here next winter. Why not do the sabbatical here?” I changed my plans, thinking that I would work with the math-econ types at UCSD. Fortunately, I happened to sit through one of his classes and fell in love with time-series econometrics.

  21. Miguel Herce

    It is with much sadness that we learned of Clive Granger’s death. As two of many students whose view of statistics, economics, and science in general were shaped by the genius and generosity of Clive Granger, we are certain that his legacy will endure, not just in his published work but also in the hearts of all who knew him.
    Miguel Herce and May Hagiwara

  22. Alok Bhargava

    I had the honour of meeting Clive Granger in 1979 at the LSE when he was giving at seminar. He was one of the most sincere and caring economist that I have ever met. In 1980, I wrote the first draft of my paper “On the theory of testing for unit roots in observed time series” that was later published in RES 1986. However, I did not complete the paper until 1983 and sent it to Clive. We met again in December 1983 at the AEA meeting in San Francisco and I was shocked at his generous praise for my work when he presented the first version of his article on issues of co-integration.
    Although Clive is best known for his work on time series, at a personal level, he felt that over-population, environment and poverty were the most important issues affecting mankind. He wrote a descriptive book on these issues. I recall asking Clive if he had been to India, and he simply replied that “I cannot handle the poverty”.
    I have been fortunate in keeping regular touch with Clive in the last decade. He was glad to receive a copy of my book “Food, economics and health” and wrote a blurb that reflected his kindness and generosity:
    “Alok Bhargava can always be expected to write important papers and texts on major topics concerning how real people live (or not) and the quality of their lives using advanced arguments from economics and based on skilled use of econometric methodology.
    Here he tackles the vital interaction between economics with health, food consumption, and economics tangled up with questions about attitudes to poverty and gender. This is a rich and difficult field and quickly leads to questions about the objectives of a society and the various difficult choices about how best to target resources. It should be remembered that countless intellectual giants from the past, such as Newton, Galileo, and Shakespeare, lived and succeeded whilst living in conditions that would now be considered as deplorable. Economics and scientific discovery can take us some way towards making rational decisions but one probably needs philosophy and sound politics to reach the best outcomes.
    Alok has written an excellent book which requires careful thought and introspection to get to all of its important topics.”
    His death is a great loss for anyone who he has interacted with; it greatly saddens me to think that we will never correspond again.
    Alok Bhargava

  23. Fred Joutz

    My advisor, Charles Nelson, told me to read everything by Clive Granger. One day I received one of 3X5 cards requesting a copy of paper I presented at a conference. What could I tell him what an honour. He welcomed all in the time series profession and was he just as interested in hearing what others thought about time series. Condolences to his family and colleagues at UCSD.

  24. Mustafa Chowdhury

    A huge loss for me. As his student and graduate assistant, my life was changed by Clive not only for his genius, but also for his unusual kindness.

  25. Nuno Crato

    Very sad news! Clive was with us this January at the IIF workshop in Lisbon and we were all charmed again with his generosity, wit, and scholarship. He was planning to go to a couple of places this year and was as enthusiastic as usual. We will miss him immensely.

  26. Carlos Capistran

    Clive Granger finished his Nobel Prize lecture saying: “Over my career and before today, I have met twenty-one Nobel Laureates…Without exception I have found them to be both very fine scholars and also having excellent personalities, willing to help a younger, inexperienced worker when seeking their advice or meeting them socially. I hope that I am able to live up to their very high standard.” When he arrived back to UCSD after the ceremony, I went to his office, always open for students, and told him that the Nobel Laureate that I knew, was exactly like that.
    We will miss him very much. He is always in my mind as the ideal I wish to achieve as a researcher.
    My condolences to his family, colleagues, and students.

  27. Aman Ullah

    I am still struggling to accept the reality that Clive has passed away.He was one of the greatest econometricians and above all one of the finest
    and kindest human beings.
    He was a versatile econometrician with varied interests and understanding.After my seminar presentation at UCSD on ‘The Moments of Econometric Estimators’, his comments and encouragement led to the publication of my Finite Sample Econometrics book by Oxford university Press.
    We will miss him. My condolences to his family and colleagues.

  28. Munir Jalil

    Academically everybody knew Clive for his great way of approaching ideas without any preconceptions. I always admired that of him and having him as my professor I learned that for life.
    As a person, I think all the nice words that have been said so far about Clive are not enough to describe the great person he was.
    He was a role model not only for academics but as a person and today I feel sad for the lost of a teacher and, sometimes, advisor.

  29. Brooks

    I’m not an economist and so it is only recently that I came across Granger’s name as I have researched the “tax-spend hypothesis” (the “revenue-expenditure nexus”), i.e., whether or not (and the degree to which) incremental tax revenues cause incremental spending. “Granger causality” keeps coming up in papers on the topic as the key tool/metric for testing the hypothesis, and thus seems to be a very important contribution to all sorts of analyses that help us understand and optimize important policies that affect people’s lives greatly.
    My condolences to his family and friends.

  30. Gabriel Casillas

    I had the opportunity to meet Clive at the ASSA meeting in San Diego back in 2003. It was a quite rewarding experience to have a chat about the new methods to obtain contemporaneous causal relationships from observational data, particularly on economic structures in which theory has not been able to either provide convincing modeling features or to replicate reality. But most importantly, in my view, was to meet an extremely remarkable researcher and knowledgeable professional, combined with the humility and modesty of a true nice gentleman. A quite difficult cointegrating relationship to find these days.
    My condolences to his family, friends, and the academic community in general.

  31. JYP

    My condolences to Clive’s family. His ideas generated an entire generation of econometricians and continue to do so.

  32. Jose Gonzalo Rangel

    Very sad news. I had the privilege to take the last graduate course that Clive taught at UCSD. It was just delightful to sit and hear his lectures, his thoughts, and some of his life experiences. Besides being one of the most brilliant minds in econometrics, he was such a kind person.
    My condolences to his family, friends, colleges, and students. We will miss him very much.

  33. Esfandiar Maasoumi

    Loss of a friend of many years is profoundly hurtful. I mourn Clive’s passing from this temporal life with Pat and their grown children. But his passing is a huge loss to the profession as one of the giants of the “old school”, a magnificent role model for scholarship and sincere humility of a seeker of knowledge and truth. We are fortunate that Clive had such a long and distinguished career that would allow his positive influence shape many colleagues and students. His building of a first rate department of economics, from scratch as it were, stands at sharp contrast to so many attempts before and since. The record of building such teams is so poor it forms a legitimate basis for an impossibility theorem. It is clear that we must look to his unique qualities as a scholar and human being, a leader, for the main reason for success of UCSD.
    Clive was supremely gifted. And he was a gift to all of us, especially those fortunate enough to know him personally and especially those who were fortunate enough to learn from him those nuggets of scholarship and learning that he showed in writing and coauthorship.
    Clive’s life is a celebration of life and all that is good in it.

  34. Elena Pesavento

    Clive was not only a brilliant econometrician but also a wonderful person with a big heart. His legacy will continue forever through his students and all the people his touched. Elena

  35. Umberto Triacca

    The study of Granger causality has approached me to econometrics, a wonderful discipline. Thanks Clive Granger.

  36. Riccardo Gatto

    Feature of a genius is to see evident and simple facts where everyone else see nothing. Thanks to you, Clive Granger.

  37. Abdulnasser Hatemi-J

    I, as a PhD student, met Clive Granger at a conference in Santiago de Compostela in 1999. He believed in me while many others were hesitating. His encouragement and generous support meant so much for my future career. God bless you Professor Granger. The world is not the same without you.

  38. Pu Shen

    I am very sad to learn of Clive’s passing. Like many of the posters in the comment section, I am one of the students whose views of economics and research were shaped by the genius. Yet when I think of Clive, it is his kindness and generocity that always stand out. It was truly a priviledge to know him and to be his student.
    My condolences to Pat and the children. And Jim thank you for your post.

  39. Thomas Cooper

    I am sorry for the loss of your friend. My prayers go out to his friends and family.

  40. Oluseun Paseda

    The death of Prof Granger is a great loss to the Economic profession. I am enamored by his path-breaking contribution to the analysis of time-series with common trends.
    May his gentle soul rest in peace. Adieu

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