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On the History of Statistics and Econometrics
I regularly update this blog entry with references on the history of Statistics and Econometrics that I find interesting.
On the General History of Econometrics
- Morgan, M.S., 1990. The history of econometric ideas. Cambridge University Press.
- Tintner, G., 1953. The definition of econometrics. Econometrica: Journal of the Econometric Society, pp.31-40.
- Bollerslev, T., 2023. The story of GARCH: A personal odyssey. Journal of Econometrics, 234, pp.96-100.
- ET interviews. The Econometric Theory interview series with notable econometricians.
On the General History of Statistics and Probability
- Studies in the History of Statistics and Probability. The two collections Studies in the History of Statistics and Probability, edited by E S Pearson and M G Kendall, Griffin 1970, and Studies in the History of Statistics and Probability, Volume II, edited by M G Kendall and R L Plackett, Griffin 1977, contain all of numbers I to XXXII of the occasional series Studies in the History of Statistics and Probability that first appeared in Biometrika.
- ASA History of Statistics Special Interest Group. The History of Statistics IG brings together individuals and groups with an active interest in the history of statistics, to share research and resources. An excellent X profile to follow.
On the History of Least Squares Estimators
- Merriman, M., 1877. On the history of the method of least squares. The Analyst, 4(2), pp.33-36.
- Plackett, R.L., 1949. A historical note on the method of least squares. Biometrika, 36(3/4), pp.458-460.
- Stigler, S.M., 1981. Gauss and the invention of least squares. the Annals of Statistics, pp.465-474.
- Waterhouse, W.C., 1990. Gauss’s first argument for least squares. Archive for history of exact sciences, pp.41-52.
- Dutka, J., 1990. Robert Adrain and the method of least squares. Archive for history of exact sciences, pp.171-184.
- Sheynin, O., 1993. On the history of the principle of least squares. Archive for history of exact sciences, pp.39-54.
- Dutka, J., 1995. On Gauss’ priority in the discovery of the method of least squares. Archive for history of exact sciences, pp.355-370.
On the History of Maximum Likelihood Estimators
- Edwards, A.W., 1974. The history of likelihood. International Statistical Review/Revue Internationale de Statistique, pp.9-15.
- Stigler, S.M., 2007. The epic story of maximum likelihood. Statistical Science, pp.598-620.
On the History of Central Limit Theorems
- Fischer, H., 2010. A History of the Central Limit Theorem: From Classical to Modern Probability Theory. Springer New York.
- Le Cam, L., 1986. The Central Limit Theorem Around 1935. Statist. Sci. 1(1): 78-91.
On the History of Hypothesis Testing
- McManus, D.A., 1991. Who invented local power analysis?. Econometric Theory, 7(2), pp.265-268.
- Stigler, S., 2008. Fisher and the 5% level. Chance, 21(4), pp.12-12.
On the History of Algebraic Statistics
- Riccomagno, E., 2009. A short history of algebraic statistics. Metrika, 69(2), pp.397-418.
On Ramsey, Keynes, and Statistics
- Aldrich, J., 2008. Keynes among the Statisticians. History of Political Economy, 40(2), pp.265-316.
- Gerrard, B., 2023. Ramsey and Keynes revisited. Cambridge Journal of Economics, 47(1), pp.195-213.
- Syll, L.P., 2024. Keynes and Ramsey on probability.
- Syll, L.P., 2024. The Keynes-Ramsey-Savage debate on probability.
- Gerrard, B., 2023. Keynes, Ramsey, and Pragmatism. Journal of the History of Economic Thought, 45(3), pp.384-398.
- A funny criticism of Ramsey’s criticism.