Two New Zealand pioneer econometricians
Two New Zealand pioneer econometricians
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两位新西兰先驱计量经济学家
DOI：
10.1080/00779951003614057
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发表时间：
2010
影响因子：
--
通讯作者：
P. Phillips
中科院分区：
文献类型：
--
作者：
P. Phillips
两位杰出的新西兰人开创了现代计量经济学的一些基础。亚历克·艾特肯（Alec Aitken）是有史以来最著名的心算家之一，他贡献了线性回归的矩阵公式和投影几何，广义最小二乘（GLS）估计，Hodrick Prescott（HP）风格的数据平滑算法（在经济学中使用之前60年），以及导致Cramér Rao界限的统计估计理论。雷克斯·伯格斯特罗姆在20世纪50年代初用有限信息最大似然法（LIML）构建和估计了最大的经验结构模型，开拓了精确分布理论领域，发展了经济理论中的周期增长模型，并用他近40年的生命发展了连续时间计量经济学建模理论及其实证应用。我们提供了一个概述他们的生活，讨论他们的一些成就，并发展一些新的计量经济学理论，与他们的基础工作。
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.