The Granger Centre for Time Series Econometrics
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The Granger Centre for Time Series Econometrics

Welcome to the Granger Centre

The Granger Centre for Time Series Econometrics was established in December 2006 in the University of Nottingham's School of Economics to provide a research forum for the development and dissemination of new research initiatives in both theoretical and applied time series econometric analysis, including panel data methods.

Sir Clive GrangerThe centre is named in honour of Professor Sir Clive Granger (1934-2009) in recognition both of his invaluable contributions to the discipline of time series econometrics and his long association with the University of Nottingham. 

Sir Clive, who was awarded the Nobel Prize in Economic Sciences in 2003, had a profound influence in the field of time series analysis over almost half a century, becoming one of the most prominent econometricians in the world. 

He died on May 27, 2009, at Scripps Memorial Hospital in San Diego, California. He leaves a legacy of research and analysis that will continue to be important for years to come.

 

Key aims and expertise

The primary roles of the Granger Centre are to:

  • develop and encourage new research methods in time series specifically relevant to the detailed analysis of economic data 
  • place strong emphasis on the use of rigorous theoretical, applied and computational research methods to answer questions of interest to academic and professional economists alike
  • facilitate rapid dissemination of new research in time series econometrics through a discussion paper programme, an annual themed conference, a workshop series and other occassional seminars
  • have active External Fellowship and International Visitor schemes and to encourage collaboration between these researchers and Internal Fellows

Research team

The centre is co-directed by Professor David Harvey and Professor Steve Leybourne

Dr Patrick Marsh is the centre's Seminar Series and Workshop Coordinator.

View all the research centre fellows.

World-Class Research

 

Upcoming seminars

Granger Centre Seminar - Xin Zhang (Sveriges Riksbank)

Date
09 November 2017 (16:00-17:00)
Location:
A01 Highfield House
Description
Score-driven tail shape, with application to bond yields at a high frequency (A01, Highfield House)

Granger Centre Seminar - Javier Hualde (Public University of Navarre)

Date
23 November 2017 (16:00-17:00)
Location:
A09 Highfield House
Description
Truncated sum of squares estimation of fractional time series models with deterministric trends (A09, Highfield House)

View all seminars

Recent discussion papers

GC 17/04: A bootstrap stationarity test for predictive regression invalidity

Description
Iliyan Georgiev, David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor
Date:
August 2017

GC 17/03: Forecast evaluation tests and negative long-run variance estimates in small samples

Description
David Harvey, Steve Leybourne and Emily Whitehouse show that in small, but empirically relevant, sample sizes, the long-run variance estimate used to compute the Diebold-Mariano test for forecast accuracy can frequently be negative. The authors consider a number of alternative approaches to estimating the long-run variance, and examine the finite sample performance of tests that use these differing approaches.
Date:
June 2017

View all discussion papers

 

 

The Granger Centre for Time Series Econometrics

School of Economics
University of Nottingham
University Park
Nottingham, NG7 2RD


+44 (0)115 951 5481
dave.harvey@nottingham.ac.uk