Bradford Smith: An Econometrician Decades Ahead of His Time

• Autores: Terence C. Mills
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 73, Nº. 2, 2011, págs. 276-285
• Idioma: inglés
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• Resumen

  • 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.