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Two New Zealand pioneer econometricians

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  • Peter Phillips

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 Cramer 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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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal New Zealand Economic Papers.

Volume (Year): 44 (2010)
Issue (Month): 1 ()
Pages: 1-26

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Handle: RePEc:taf:nzecpp:v:44:y:2010:i:1:p:1-26

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Related research

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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  1. Peter C.B. Phillips, 1982. "The Exact Distribution of LIML: I," Cowles Foundation Discussion Papers 658, Cowles Foundation for Research in Economics, Yale University.
  2. Bergstrom,Albert Rex & Nowman,Khalid Ben, 2012. "A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends," Cambridge Books, Cambridge University Press, number 9781107411234, April.
  3. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Phillips, Peter C. B., 1988. "The Et Interview: Professor Albert Rex Bergstrom," Econometric Theory, Cambridge University Press, vol. 4(02), pages 301-327, August.
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Cited by:
  1. Peter C.B. Phillips, 2013. "Unit Roots in Life -- A Graduate Student Story," Cowles Foundation Discussion Papers 1913, Cowles Foundation for Research in Economics, Yale University.

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