Profile Major Works Resources

Herman Wold, 1908-1992

Portrait of H. Wold from Econometrica (don't ask me!)

Norwegian-born Swedisih econometrician and statistician whose work on time series and recursive systems is well known.  Herman Ole Andreas Wold is perhaps most famous for the "Wold decomposition"  separating stationary time series into a deterministic component and  random component.  He introduced this theorem in his 1938 thesis at Stockholm University (Ragnar Frisch, one of the examiners, disputed it vigorously in the thesis defense). Wold stayed on at Stockholm University until 1942, when he was appointed professor of statistics at Uppsala, where he would remain until 1970, rounding off his career at Gothenburg.

Hermann Wold's work on the methodology of econometrics, in particular the issue of causality and identification (e.g. 1954, 1956, 1963, 1982), are also important contributions. One of Wold's best known pieces remains his 1943-4 series of articles on "Pure Demand Analysis", which synthesizes and integrates the various strands of preference-based demand theory into the comprehensive Neoclassical theory we are familiar with today.

Wold is also celebrated for have introduced the "partial least squares" (PLS) method in 1966.  Although its early applications were mostly in chemical sciences, it has since become part of the toolkit of social scientists.

 

  

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Major Works of Herman Wold

  • A Study in the Analysis of Stationary Time Series, 1938.
  • "A Synthesis of Pure Demand Analysis, I-III", 1943-44, Skandinavisk Aktuarskrift.
  • Demand Analysis: A study in econometrics, with L. Jureen, 1952.
  • "Causality and Econometrics", 1954, Econometrica.
  • "Causal Inference from Observational Data: A review of ends and means", 1956, JRSS.
  • "On the Consistency of Least Squares Regression", 1963, Sandkhya.
  • Editor, Bibliography on Time Series and Stochastic Processes, 1966.
  • "Estimation of principal components and related models by iterative least squares", 1966, in P.R. Krishnaiaah, editor, Multivariate Analysis.
  • "Model Construction and Evaluation When Theoretical Knowledge Is Scarce Theory and Application of Partial Least Squares" 1980, in J. Kmenta and J.B. Ramsey, editors, Evaluation of Econometric Models [nber]
  • "Models of Knowledge", 1982, in Gani, editor, The Making of Statisticians.

 
HET

 
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Resources on Herman Wold

  • "Review of Wold's Stationary Analysis, etc." by Jerzy Neyman, 1939, JRSS [pdf]
  • "Review of Wold's Stationary Analysis" by Trygve Haavelmo, 1938 [pdf]
  • "Herman Wold: The ET Interview", 1994, Econometric Theory [pdf]
  • "Ekonomporträttet: Herman Wold (1908-1992)" by Ragnar Bentzel, 1997 [Swedish, pdf]
  • "Herman Wold on optimal properties of exponentially weighed forecasts" by Harald Lang, 1987 [pdf]
  • "Partial Least Squares (PLS) Methods: Origins, evolution and application to social sciences", by Gregoria Mateos-Aparicio Morales" [pdf]
  • "The Saga of PLS" by Gaston Sanchez [online]
  • Another picture
  • Wikipedia

 

 
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