Two New Zealand pioneer econometricians
Two New Zealand pioneer econometricians
Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most famous and well-documented mental arithmeticians of all time, contributed the matrix formulation and projection geometry of linear regression, generalized least squares (GLS) estimation, algorithms for Hodrick Prescott (HP) style data smoothing (six decades before their use in economics), and statistical estimation theory leading to the Cramr Rao bound. Rex Bergstrom constructed and estimated by limited information maximum likelihood (LIML) the largest empirical structural model in the early 1950s, opened up the field of exact distribution theory, developed cyclical growth models in economic theory, and spent nearly 40 years of his life developing the theory of continuous time econometric modeling and its empirical application. We provide an overview of their lives, discuss some of their accomplishments, and develop some new econometric theory that connects with their foundational work.
aitken, cramer rao bound, hp filter, minimum variance unbiased estimation, projection, gls, bergstrom, continuous time, exact distribution, liml, uk economy, pioneers of econometrics
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Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
April 2010
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Abstract
Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most famous and well-documented mental arithmeticians of all time, contributed the matrix formulation and projection geometry of linear regression, generalized least squares (GLS) estimation, algorithms for Hodrick Prescott (HP) style data smoothing (six decades before their use in economics), and statistical estimation theory leading to the Cramr Rao bound. Rex Bergstrom constructed and estimated by limited information maximum likelihood (LIML) the largest empirical structural model in the early 1950s, opened up the field of exact distribution theory, developed cyclical growth models in economic theory, and spent nearly 40 years of his life developing the theory of continuous time econometric modeling and its empirical application. We provide an overview of their lives, discuss some of their accomplishments, and develop some new econometric theory that connects with their foundational work.
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Published date: April 2010
Keywords:
aitken, cramer rao bound, hp filter, minimum variance unbiased estimation, projection, gls, bergstrom, continuous time, exact distribution, liml, uk economy, pioneers of econometrics
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Local EPrints ID: 157289
URI: http://eprints.soton.ac.uk/id/eprint/157289
PURE UUID: 5d28901f-882d-4192-9403-e1f9707dc702
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Date deposited: 04 Jun 2010 11:34
Last modified: 14 Mar 2024 01:46
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