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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.

Suggested Citation

  • Peter Phillips, 2010. "Two New Zealand pioneer econometricians," New Zealand Economic Papers, Taylor & Francis Journals, vol. 44(1), pages 1-26.
    • Handle: RePEc:taf:nzecpp:v:44:y:2010:i:1:p:1-26
    DOI: 10.1080/00779951003614057
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    Cited by:

    1. Hiroshi Yamada & Ruixue Du, 2018. "Some Results on ℓ 1 Polynomial Trend Filtering," Econometrics, MDPI, vol. 6(3), pages 1-10, July.
    2. Zihan Jin & Hiroshi Yamada, 2024. "Boosted Whittaker–Henderson Graduation," Mathematics, MDPI, vol. 12(21), pages 1-18, October.
    3. Phillips, Peter C. B., 2014. "Unit Roots In Life—A Graduate Student Story," Econometric Theory, Cambridge University Press, vol. 30(4), pages 719-736, August.
    4. Hiroshi Yamada & Ruoyi Bao, 2022. "$$\ell _{1}$$ ℓ 1 Common Trend Filtering," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1005-1025, March.

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    JEL classification:

    • B16 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - Quantitative and Mathematical
    • C00 - Mathematical and Quantitative Methods - - General - - - General

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