Saturday, September 3, 2022

Memories of Ted Anderson

Ted is among the very greatest statisticians/econometricians of the 20th-century.  I feel very close to him, as my former Penn colleague, Larry Klein, worked closely with him at Cowles in the 1940s, and another former colleague, Bobby Mariano, was his student at Stanford before coming to Penn around 1970.  I recall a Penn seminar he gave late in his career, on unit moving-average roots.  He started painfully slowly, defining, for example, things like "time series" and "covariance stationarity".  Some eyes were rolling.  Ten minutes later, he was far beyond the frontier.  No eyes were rolling.  Indeed jaws were dropping.  When I visited Stanford in the 1990s for a seminar, he rolled out the red carpet for me.  Amazing, him doing that for me.  What a gentleman.  

Check out this fascinating new take from Peter Phillips:

By:Peter C. B. Phillips (Cowles Foundation, Yale University, University of Auckland, Singapore Management University, University of Southampton)
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.


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