Two UCSD professors awarded Nobel Prize in Economics
For their pioneering work in statistical modeling of economic data, known as econometrics, Clive W. J. Granger, 69, and Robert F. Engle, 60, long-time collaborators in the Department of Economics at the University of California, San Diego, have been awarded the Nobel Prize in Economics.
Both scholars are internationally renowned for their groundbreaking work in the field of econometrics, which focuses on "time-series econometrics" which is the analysis of data that accrues over a period of time. Both have also spent the bulk of their academic careers at UCSD, where they helped build the economics department into the world's leading center for the study of econometrics. Both Granger and Engle retired from UCSD in June 2003 although both remain active in the field. This fall Granger is a visiting scholar at Canterbury University in New Zealand and Engle is at New York University.
"The seminal contributions of these two renowned economists reflect the ground-breaking work being done at UCSD in the social sciences," said Marsha A. Chandler, Acting Chancellor of UCSD. "This prize adds to the eminent international reputations of these extraordinary faculty and that of our Department of Economics."
Granger and Engle become the 14th and 15th UCSD scholars to be awarded the Nobel Prize.
An enormously influential thinker in modern economics, Granger joined the faculty of UCSD in 1974. He has published widely in the areas of statistics and econometrics, forecasting finance and demographics. For more than three decades, he has been developing methods that help the understanding of the properties of time series data. In the 1960s, he pioneered spectral analysis, a technique for decomposing series into their component parts. In the 1970s, building upon work in physics, he developed the "Granger Test" for causality, a method for identifying 'what causes what' when two series move together. The test is now routinely used by applied economists. In the 1980s, Granger pioneered cointegration, a methodology that can help us understand the long run relationship between pairs of economic variables, such as change in the money supply and inflation.
Over his long and productive career, Granger has received numerous awards and honors for his work, including being named distinguished fellow by the American Economic Association in 2002 and corresponding fellow by the British Academy for his "high international standing" in the social sciences. Granger has authored ten books on economics and has had over 200 papers selected, published or submitted. He has published interviews in the International Journal of Forecasting and Econometric Theory, and has been a featured speaker at academic conferences throughout the world. Granger studied at the University of Nottingham, graduating in 1955, and received his Ph.D. in 1959.
Engle, who joined the UCSD faculty in 1977, was chair of the Department of Economics from 1990 to 1994 and actively engaged at UCSD for more than 28 years. An expert in time series analysis with a long interest in the analysis of financial markets, his research has produced such innovative statistical methods as ARCH, cointegration, band spectrum regression and most recently, common features. He has published over 100 academic papers, and three books, on areas including financial econometrics covers equities, interest rates, exchange rates and options.
Engle lectures widely to both academic and practitioner audiences. He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society. Engle graduated from Williams College in 1964 and received a Ph.D. in economics from Cornell University in 1969 after completing a Masters degree in low temperature physics.
Since its founding in 1959, UCSD has rapidly risen to its status as one of the nation's premier institutions for higher education and attracts scholars seeking a fresh, next-generation approach to education, research and service. The campus supports close to 23,000 students and 21,000 employees, receives the sixth highest amount of federal R&D funding in the nation -- $627 million last year. UCSD faculty and graduate programs are ranked by the National Research Council as tenth best in the nation; the campus also has one of the nation's highest percentages of faculty elected to the prestigious national academies.