Ragnar Anton Kittil Frisch was an influential Norwegian economist known for being one of the major contributors to establishing economics as a quantitative and statistically informed science in the early 20th century. He coined the term econometrics in 1926 for utilising statistical methods to describe economic systems, as well as the terms microeconomics and macroeconomics in 1933, for describing individual and aggregate economic systems, respectively. He was the first to develop a statistically informed model of business cycles in 1933. Later work on the model, together with Jan Tinbergen, won the first Nobel Memorial Prize in Economic Sciences in 1969.
Sir Clive William John Granger was a British econometrician known for his contributions to nonlinear time series analysis. He taught in Britain, at the University of Nottingham and in the United States, at the University of California, San Diego. Granger was awarded the Nobel Memorial Prize in Economic Sciences in 2003 in recognition of the contributions that he and his co-winner, Robert F. Engle, had made to the analysis of time series data. This work fundamentally changed the way in which economists analyse financial and macroeconomic data.
In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a function of the actual sizes of the previous time periods' error terms; often the variance is related to the squares of the previous innovations. The ARCH model is appropriate when the error variance in a time series follows an autoregressive (AR) model; if an autoregressive moving average (ARMA) model is assumed for the error variance, the model is a generalized autoregressive conditional heteroskedasticity (GARCH) model.
Trygve Magnus Haavelmo, born in Skedsmo, Norway, was an economist whose research interests centered on econometrics. He received the Nobel Memorial Prize in Economic Sciences in 1989.
Robert Fry Engle III is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
John Brian Taylor is the Mary and Robert Raymond Professor of Economics at Stanford University, and the George P. Shultz Senior Fellow in Economics at Stanford University's Hoover Institution.
In econometrics, the Frisch–Waugh–Lovell (FWL) theorem is named after the econometricians Ragnar Frisch, Frederick V. Waugh, and Michael C. Lovell.
In statistics, homogeneity and its opposite, heterogeneity, arise in describing the properties of a dataset, or several datasets. They relate to the validity of the often convenient assumption that the statistical properties of any one part of an overall dataset are the same as any other part. In meta-analysis, which combines the data from several studies, homogeneity measures the differences or similarities between the several studies.
In statistics, the White test is a statistical test that establishes whether the variance of the errors in a regression model is constant: that is for homoskedasticity.
Christopher Albert Sims is an American econometrician and macroeconomist. He is currently the John J.F. Sherrerd '52 University Professor of Economics at Princeton University. Together with Thomas Sargent, he won the Nobel Memorial Prize in Economic Sciences in 2011. The award cited their "empirical research on cause and effect in the macroeconomy".
The Frisch Medal is an award in economics given by the Econometric Society. It is awarded every two years for empirical or theoretical applied research published in Econometrica during the previous five years. The award was named in honor of Ragnar Frisch, first co-recipient of the Nobel prize in economics and editor of Econometrica from 1933 to 1954. In the opinion of Rich Jensen, Gilbert F. Schaefer Professor of Economics and chairperson of the Department of Economics of the University of Notre Dame, "The Frisch medal is not only one of the top three prizes in the field of economics, but also the most prestigious 'best article' award in the profession". Five Frisch medal winners have also won the Nobel Prize.
Tim Peter Bollerslev is a Danish economist, currently the Juanita and Clifton Kreps Professor of Economics at Duke University. A fellow of the Econometric Society, Bollerslev is known for his ideas for measuring and forecasting financial market volatility and for the GARCH model.
Konstantinos "Costas" Meghir is a Greek-British economist. He studied at the University of Manchester where he graduated with a Ph.D. in 1985, following an MA in economics in 1980 and a BA in Economics and Econometrics in 1979. In 1997 he was awarded the Bodosakis foundation prize and in 2000 he was awarded the “Ragnar Frisch Medal” for his article “Estimating Labour Supply Responses using Tax Reforms”.
Susan Carleton Athey is an American economist. She is the Economics of Technology Professor in the School of Humanities and Sciences at the Stanford Graduate School of Business. Prior to joining Stanford, she has been a professor at Harvard University and the Massachusetts Institute of Technology. She is the first female winner of the John Bates Clark Medal. She served as the consulting chief economist for Microsoft for six years and was a consulting researcher to Microsoft Research. She is currently on the boards of Expedia, Lending Club, Rover, Turo, Ripple, and non-profit Innovations for Poverty Action. She also serves as the senior fellow at Stanford Institute for Economic Policy Research. She is an associate director for the Stanford Institute for Human-Centered Artificial Intelligence and the director of Golub Capital Social Impact Lab.
Halbert Lynn White Jr. was the Chancellor’s Associates Distinguished Professor of Economics at the University of California, San Diego, and a Fellow of the Econometric Society and the American Academy of Arts and Sciences.
Anil K. Bera is an Indian-American econometrician. He is Professor of Economics at University of Illinois at Urbana–Champaign's Department of Economics. He is most noted for his work with Carlos Jarque on the Jarque–Bera test.
Kenneth David West is the John D. MacArthur and Ragnar Frisch Professor of Economics in the Department of Economics at the University of Wisconsin. He is currently co-editor of the Journal of Money, Credit and Banking, and has previously served as co-editor of the American Economic Review. He has published widely in the fields of macroeconomics, finance, international economics and econometrics. Among his honors are the John M. Stauffer National Fellowship in Public Policy at the Hoover Institution, Alfred P. Sloan Research Fellowship, Fellow of the Econometric Society, and Abe Fellowship. He has been a research associate at the NBER since 1985.
John Philip Rust is an American economist and econometrician. John Rust received his PhD from MIT in 1983 and taught at the University of Wisconsin, Yale University and University of Maryland before joining Georgetown University in 2012. John Rust was awarded Frisch Medal in 1992 and became the fellow of Econometric Society in 1993.
Charles Frederick Roos was an American economist who made contributions to mathematical economics. He was one of the founders of the Econometric Society together with American economist Irving Fisher and Norwegian economist Ragnar Frisch in 1930. He served as Secretary-Treasurer during the first year of the Society and was elected as President in 1948. He was director of research of the Cowles Commission from September 1934 to January 1937.
In statistics, a sequence of random variables is homoscedastic if all its random variables have the same finite variance; this is also known as homogeneity of variance. The complementary notion is called heteroscedasticity, also known as heterogeneity of variance. The spellings homoskedasticity and heteroskedasticity are also frequently used. Assuming a variable is homoscedastic when in reality it is heteroscedastic results in unbiased but inefficient point estimates and in biased estimates of standard errors, and may result in overestimating the goodness of fit as measured by the Pearson coefficient.
