Renowned UCSD economics professor, and founder of Bates White, Halbert White died on Saturday. His CV is here. James Hamilton offers a touching tribute and wonderful summary of White’s important work in econometrics here. Of White standard errors, perhaps his most well known contribution, Hamilton explains:
An example arises in ordinary regression analysis, in which a common assumption is that the variance of the regression model’s error is the same for all observations. Suppose that assumption is wrong, and instead the variance depends in an unknown way on the various explanatory variables. Hal found that it is possible to characterize how that dependence would affect the reliability of the inference from the regression, and construct modified t-statistics or F-statistics that take this into account. This was such a useful contribution that it is now a standard option a user can easily select in any decent regression software package. Hal once lamented to me that this was an example of a contribution that became so successful and widespread that people forgot who came up with it in the first place. Hal’s proposed adjustments are often described as “robust standard errors” or “heteroskedasticity-consistent standard errors”, though I have always introduced them to my students as “White standard errors”.
Hamilton ends with a nice description of Hal’s personal and professional interactions with colleagues:
I used to have lunch each week with Hal, Clive Granger, Rob Engle, and others, at which people would bring up econometrics questions they’d been working on. If you had something important and difficult for which you needed a solution, it was a good idea to save the topic for discussion until Hal got there. I remember a number of occasions when the rest of us would struggle with something for 15 minutes, and then Hal would arrive and provide the key insight within 60 seconds. It was an incredible resource to have somebody like that around.
I must also say that he was one of the kindest and dearest people I have known. He didn’t have insecurities or something to prove about who he was– anybody with any sense would recognize his towering intellect. It was always a joy and honor to sit with him in seminars, and learn yet another new thing from his off-hand remarks and insights. And, since he wrote more in his lifetime than I would be able to read in mine, I can take some comfort in the fact that there is much more that I have yet to learn from this gentle and noble man.
Go read the whole thing. I always have considered myself fortunate to have the opportunity to interact with Professor White a little bit while at UCSD as an undergraduate. Rest in Peace.