Document Type
Discussion Paper
Publication Date
6-2022
CFDP Number
2333
CFDP Pages
14
Journal of Economic Literature (JEL) Code(s)
C23
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.
Recommended Citation
Phillips, Peter C. B., "An Econometrician amongst Statisticians: T. W. Anderson" (2022). Cowles Foundation Discussion Papers. 2693.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2693