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Abstract:
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We discuss the development of econometric methodology in light of T.W. Anderson's seminal contributions. The many topics include limited information approach to macroeconometric modeling, strong consistency of least squares estimators, factor analysis, asymptotic distribution of parameters of stochastic difference equations, reduced rank regression, repeated measurements of autoregressive processes, existence of moments and exact distributions with many instruments, estimation of covariance structures, measurement errors, etc. that led to the development of the FRB-MIT US macroeconometric model, estimation of risk premia, multiple time series forecasting, panel modeling of cross-sectional dependence, statistical inference for time series models with unit roots, and estimation of cointegrated models. Further, optimal control, dynamic panel data modeling, existence of moments and exact distributions of simultaneous equation estimators in finite samples with many instruments, latent structures and simultaneous equation models, trade-off between overidentification and measurement errors, development of LISREL, etc.
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