Bradford Smith: An Econometrician Decades Ahead of His Time*

This article attempts to rehabilitate Bradford Smith, who in 1926 published a short article in the Journal of the American Statistical Association in which he considered the implications of detrending time series by either deviations-from-trend or first-differencing prior to regression. His discussion covers such topics as the permanent-transitory innovation distinction inherent in difference and trend stationary processes, common factor restrictions and general-to-specific modelling. These have all become mainstays of modern time-series econometrics, yet there does not appear to be even one reference to Smith's paper in all the years since its publication.