Two New Zealand Pioneer Econometricians

Peter Phillips

No 1750, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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 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.

Keywords: Aitken, Cramér Rao bound, HP filter, Minimum variance unbiased estimation, Projection, GLS; Bergstrom, Continuous time, Exact distribution, LIML, UK economy; Pioneers of econometrics (search for similar items in EconPapers)
JEL-codes: B16 C00 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2010-01
New Economics Papers: this item is included in nep-ecm, nep-his and nep-hpe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in New Zealand Economic Papers (April 2010), 44(1): 1-26

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