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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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    References listed on IDEAS

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    1. Phillips, Peter C B, 1985. "The Exact Distribution of LIML: II," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(1), pages 21-36, February.
    2. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    3. 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, November.
    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. Phillips, Peter C. B., 2014. "Unit Roots In Life—A Graduate Student Story," Econometric Theory, Cambridge University Press, vol. 30(04), pages 719-736, August.

    More about this item

    Keywords

    Aitken; Cramer Rao bound; HP filter; minimum variance unbiased estimation; projection; GLS; Bergstrom; continuous time; exact distribution; LIML; UK economy; pioneers of econometrics;

    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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