EconPapers    
Economics at your fingertips  
 

An Econometrician amongst Statisticians: T. W. Anderson

Peter Phillips

No 2333, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: T. W. Anderson did pathbreaking work in econometrics during his remarkable career as an eminent statistician. His primary contributions to econometrics are reviewed here, including his early research on estimation and inference in simultaneous equations models and reduced rank regression. Some of his later works that connect in important ways to econometrics are also briefly covered, including limit theory in explosive autoregression, asymptotic expansions, and exact distribution theory for econometric estimators. The research is considered in the light of its influence on subsequent and ongoing developments in econometrics, notably confidence interval construction under weak instruments and inference in mildly explosive regressions.

Keywords: Asymptotic expansions; Confidence interval construction; Explosive autoregression; LIML; Reduced rank regression; Simultaneous equation models; Weak identification regression; MA unit root; Trend regression; Wald statistic (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2022-06
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-his, nep-hpe and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d23/d2333.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:2333

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().

 
Page updated 2025-03-22
Handle: RePEc:cwl:cwldpp:2333