Sunday, June 7, 2009

Clive Granger: RIP

I'm sorry I didn't catch the news sooner: modern econometrics would not be the same without his contributions, and for which he received the Nobel prize in 2003. Most of my masters thesis is based on the techniques developed on Granger's work with Robert Engle. While cointegration analysis has increased in both sophistication and complexity, this essential tool would not have been possible without Sir Clive's insight. Read his obit here.

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