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 Cramér 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.
|Date of creation:||Jan 2010|
|Date of revision:|
|Publication status:||Published in New Zealand Economic Papers (April 2010), 44(1): 1-26|
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- Phillips, Peter C B, 1984.
"The Exact Distribution of LIML: I,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 249-61, February.
- Peter C.B. Phillips, 1983. "The Exact Distribution of LIML: II," Cowles Foundation Discussion Papers 663, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1982. "The Exact Distribution of LIML: I," Cowles Foundation Discussion Papers 658, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- 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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