Models, Methods, and Applications of Econometrics: Essays in Honor of A.R. Bergstrom.

• Author: Caudill, Steven B.

1. R. Bergstrom is a prominent econometrician from New Zealand. His major contributions are the development of continuous-time econometric models and finite sample theory. Bergstrom's former student P. C. B. Phillips has assembled a collection of essays from an impressive group of econometricians to honor Bergstrom on the occasion of his sixty-fifth birthday. With the exception of an introductory chapter discussing Bergstrom's career, this volume is a collection of essays dealing with both theoretical and empirical aspects of continuous-time econometric models. The volume contains twenty-four papers organized into five groups. Part I discusses Bergstrom's education and his contributions to econometrics. Part II contains four papers on continuous-time models, and Part III contains five papers on finite-sample theory. Part IV contains seven papers on dynamic econometric models, and the final section, Part V, contains four empirical applications.

The first essay in Part I, written by Phillips, is a brief overview of Bergstrom's education and career. The second essay, entitled, "What is Econometrics?," is written by Bergstrom and was first published in 1966 in The University of Auckland Gazette. The third essay is a reproduction of Bergstrom's interview in Econometric Theory published in 1988. Part I concludes with a list of Bergstrom's publications.

Part II contains four papers on continuous-time models. The first paper, by Chambers, compares forecasts between continuous-time and discrete-time econometric models. The second paper, by Harvey and Stock, illustrates the application of continuous-time econometric modelling to the problem of interpolation (estimation of intermediate values of discretely sampled time series). The third paper, by Robinson, describes frequency-domain approaches to the estimation of parametric and semiparametric continuous-time econometric models. In the final paper, Wymer discusses the estimation of nonlinear continuous-time models.

Part III contains five papers on finite-sample theory. The first paper, written by Hillier and Skeels, presents some finite sample results for LIML, OLS, and TSLS estimators of the coefficients of exogenous variables in structural models. The second paper, by Phillips, presents a general mathematical framework for determining the distribution of any estimator or test statistic. The third essay, by Richmond, deals with multiple comparisons. The fourth paper, by Sargan, presents some...