Clive Granger, a great econometrian dies

Clive Granger was influential in my thinking about time series. Unfortunately, I only found his out after years of work. Rereading his research after practical application of time series analysis showed me the subtlety of his great mind. I will miss not seeing any more of his ideas.

Some quotes about Prof Granger:

Harvard economist James H. Stock put it more bluntly, telling the Los Angeles Times that "Granger gave us a rigorous way to distinguish between stupid and non-stupid relationships."

Working with Engle, Granger realised that not all long-term associations between non-stationary time series are nonsense. Suppose, as the American academic Kevin D Hoover explained, 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 is," Hoover noted. Granger and Engle coined the term "co-integration" to describe the genuine relationship between two non-stationary time series. Time series are "co-integrated" 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 behind.