布拉德福德·史密斯:一位领先时代数十年的计量经济学家

Bradford Smith: An Econometrician Decades Ahead of His Time*

Oxford Bulletin of Economics and Statistics · 2010
被引 12
人大 AABS 3

中文导读

重新发掘了布拉德福德·史密斯1926年发表的论文,该论文超前地讨论了去趋势方法、永久与暂时冲击区分等现代时间序列计量经济学核心概念,但至今未被引用。

Abstract

This article attempts to rehabilitate Bradford Smith, who in 1926 published a short article in the Journal of the American Statistical Association in which he considered the implications of detrending time series by either deviations-from-trend or first-differencing prior to regression. His discussion covers such topics as the permanent-transitory innovation distinction inherent in difference and trend stationary processes, common factor restrictions and general-to-specific modelling. These have all become mainstays of modern time-series econometrics, yet there does not appear to be even one reference to Smith's paper in all the years since its publication.

Bradford Smith时间序列去趋势差分平稳趋势平稳