Granger: Spectral Analysis, Causality, Forecasting, Model Interpretation and Non-linearity
Clive William John Granger was born on September 4, 1934 in Swansea, Wales, only a few months after the birth, and only a few miles from the birthplace, of Gwilym Jenkins. Unlike Jenkins, however, Granger’s family was English, his father being a commercial traveller for Chivers, a then well-known company based near Cambridge, England, producing preserves such as jams and marmalades. His sojourn in Wales was very brief, with the family quickly relocating to Lincoln, England, and then, during the war while his father was serving in the RAF, to Cambridge, where both sets of grandparents lived. In 1946, after his return from war duties, Granger’s father was once again relocated, this time to Nottingham, where they lived in the suburb of West Bridgford. After attending Nottingham Grammar School, Granger entered Nottingham University in the first intake of the joint mathematics and economics degree program, although he switched after the first year to single honours mathematics. On obtaining a first in 1955, he stayed on to do a PhD in statistics even though, by his own admission, he knew very little about the subject. Wanting to research in a subject related to economics, he fortuitously chose time series as an area that looked to be ripe for development!
KeywordsWhite Noise Forecast Error Granger Causality ARMA Model Forecast Evaluation
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