The Nobel Memorial Prize for Clive

Clive Granger developed the econometric foundations for analysing and modelling non-stationary macroeconomic time series, forging an approach that has become the dominant paradigm in empirical macroeconomic research. Based on a critique of potential ‘‘nonsense regressions’’ in applied econometric models of non-stationary data, Granger’s concept of cointegration facilitated the merging in a unified framework of economic theory about equilibrium relationships with dynamic econometric models of short-run behaviour. This provided a remarkable leap forward in the empirical analysis of macroeconomic relationships, and in testing macroeconomic theories, extending to non-stationary macroeconomic time series the formulation by Nobel Laureate Trygve Haavelmo of an economy as a system of simultaneous stochastic relationships. Major policy institutions around the world on a day-to-day basis now use empirical econometric models in which cointegrated relations determine the long-run outcomes. His research has spawned an industry, veritably ‘‘opening a door’’ to powerful ideas and procedures that many have followed, and helped to extend, ever since. There are in excess of 2,800 citations to his joint paper on cointegration with Robert Engle, who shared the 2003 Prize. In recognition of his achievements in developing methods of analysing economic time series with common trends (cointegration), Clive Granger was awarded The Sveriges Riksbank Prize in Economic Science in Memory of Alfred Nobel in October 2003. This article is a complement to Frank Diebold’s fine appreciation of Engle’s contributions, where volatility and ‘‘factor’’ models, including common trends, are addressed.

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