COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1750 Two New Zealand Pioneer Econometricians Peter C.B. Phillips January 2010 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. |
