Rob Engle and I are concerned with extracting useful implications from economic data, and so the properties of the data are of particular importance. Clive Granger concerndatumeconomic Change image and share on social
Forecasts vary in horizon, from a few seconds up to a few days in financial markets, compared to from one to several months for macro variables. We have to provide uncertainty intervals around the central forecasts to indicate the extent to which we are unclear about the future. Clive Granger centralcompareday share on social
A potentially useful property of forecasts based on cointegration is that when extended some way ahead, the forecasts of the two series will form a constant ratio, as is expected by some asymptotic economic theory. Clive Granger aheadasymptoticbase share on social
In 1973, I was offered a professorship at the University of California, San Diego. Although I was certainly not unhappy at Nottingham, I had been there over twenty years from starting undergraduate studies to Professor of Applied Statistics and Econometrics, and I thought that a change of scene was worth considering. Clive Granger applycaliforniachange share on social