Bernt P. Stigum

Most Important Articles

Stochastic Processes

• Stigum B.P., 1963:  Dynamic Stochastic Processes, Annals of Mathematical Statistics, 34
• Stigum, B.P., 1966:  A Theorem on the Galton Watson Process,  Annals of Mathematical Statistics, 37
• Kesten, H, and B.P. Stigum, 1967a:  A Limit Theorems for Multidimensional Galton Watson Processes,  Annals of Mathematical Statistics, 37
• Kesten, H. and B.P. Stigum, 1967b: Limit Theorems for Decomposable Multidimensional Galton Watson Processes, Journal of Mathematical Analyses and Applications, 17

Mathematical Statistics

• Stigum, B.P., 1967: A Decision Theoretic Approach to Time Series Analysis, Annals of the Institute of Statistical Mathematics, 19
• Stigum, B.P. 1974: Asymptotic Properties of Autoregressive Integrated Moving Average Processes, Stochastic Processes and their Applications, 3
• Stigum B.P., 1974c:  Asymptotic Properties of Dynamic Stochastic Parameter Estimates III, Journal of Multivariate Analysis, 4
• Stigum, B.P., 1976a:  Asymptotic Properties of Dynamic Stochastic Parameter Estimates I, Annals of the Institute of Mathematical Statistics. 28
• Stigum, B.P, 1976b: Least Squares and Stochastic Difference Equations, Journal of Econometrics, 4

Microeconomics

• Stigum, B.P. 1969a: Entrepreneurial Choice over Time under Conditions of Uncertainty, International Economic Review, 10
• Stigum, B.P. 1969b,  Competitive Equilibria under Uncertainty.  Quarterly Journal of Economics, 83
• Stigum, B.P.  1972a, Resource Allocation under Uncertainty. International Economic Review, 13 
• Stigum, B.P., 1972b: Finite State Space and Expected Utility Maximization, Econometrica, 40
• Stigum, B.P. 1973: Revealed Preference – A Proof of Houthakker’s Theorem, Econometrica 41
• Stigum, B.P., 1974  Competitive Resource Allocation over Time under Uncertainty, in Essays on Economic Behavior under Uncertainty, eds. M. Balch, D. McFadden, and S. Wu, New York: North Holland

Macroeconomics

• Stigum, B.P., 1967a: On Certain Problems of Aggregation, International Economic Review, 8
• Stigum, B.P.,1967b:  On a Property of Concave Functions.  Review of Economic Studies
• Stigum, B.P., 1972b: Balanced Growth under Uncertainty, Journal of Economic Theory, 5
• H. Kesten and B.P. Stigum, 1974b:  Balanced growth under Uncertainty in Decomposable Economies, in Essays on Economic Behavior under Uncertainty eds.  M. Balch, D. McFadden, and S. Wu, New York: North Holland

Applied Formal Econometrics

• Stigum, B.P., 1995: Theory-Data Confrontations in Economics, Dialogue, XXXIV
• Stigum, B.P., 1988  Scientific Explanation in Econometrics.  In Econometrics and  Economic Theory in the 20^th Century, ed. S. Strøm, Cambridge University Press
• Stigum, B.P. 2016:  The Status of Bridge Principles in Applied Econometrics. Econometrics, an MDPI Online Journal 
• Stigum, B. P. 2021:  Theory-based Interpretation of an Econometric Model,  Department of Economics, University of Oslo
• Stigum, B. P. 2022a:  Consumer Choice under Certainty and Uncertainty in Applied Econometrics.  Journal of Economics and Econometrics, Economics and Econometrics Society, Vol. 65, Issue 1, pp. 1-27.
• Stigum, B. P. 2022b:  Entrepreneurial Choice under Uncertainty in Applied Econometrics,  Department of Economics, University of Oslo
• Stigum, B.P., 2025: An Economic Theory with a Formal-Econometric Test of Its Empirical Relevance, Econometrics, an MDPI Online Journal  

Books

1. Stigum, B.P. (2015):  Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations. Cambridge, Mass.: MIT Press.
2. Stigum, B.P. (2003):   Econometrics and the Philosophy of Economics: Theory-Data Confrontations in Economics.  New Jersey: Princeton University Press.
3. Stigum, B.P. (1990):  Toward a Formal Science of Economics:  The Axiomatic Method in Economics and Econometrics. Cambridge, Mass.:   MIT Press.
4. Stigum, B.P. and F. Wenstøp (1983):  Foundations of Utility and Risk Theory with Applications. Boston, Mass.: Reidel
5. Stigum, B.P. and M.L. Stigum (1972):  Economics, Second Edition. Reading, Mass.: Addison-Wesley Publishing Company
6. Stigum, B.P. and M.L. Stigum, (1968): Economics. Reading, Mass.: Addison-Wesley Publishing Company

• Stigum, Bernt Petter (2026). A Theory-Based Formal-Econometric Interpretation of an Econometric Model. Econometrics. 14(1). doi: 10.3390/econometrics14010004. Fulltekst i vitenarkiv
• Stigum, Bernt Petter (2025). An Economic Theory with a Formal-Econometric Test of Its Empirical Relevance. Econometrics. 13(1). doi: 10.3390/econometrics13010004. Fulltekst i vitenarkiv Vis sammendrag

  The paper contains five parts—a theory about entrepreneurial choice under uncertainty, a formal econometric structure for a test, the test, an appraisal of the test, and a description of the data generating process. Here, an entrepreneur is an individual who manages a firm that produces one commodity with labor, an intermediate good, and capital. He pays dividends to shareholders, invests in bonds and capital, and has an n-period planning horizon. Conditioned on the values of current-period prices, the entrepreneur aims to maximize the expected value of a utility function that varies with the dividends he pays each period and with his firm’s balance sheet variables at the end of the planning horizon. The test comprises a family of trials of theorems that I derive from the axioms of the theory part of the formal econometric structure. In the test, the theorems are appraised for their empirical relevance in an empirical context, where each one of a random sample of four hundred entrepreneurs has chosen the first-period part of his optimal n-period expenditure plan. My formal econometric arguments demonstrate that the theorems pass all the trials. At the end, I show that my formal econometric results imply that the theory is empirically relevant.

• Stigum, Bernt Petter (2016). The Status of Bridge Principles in Applied Econometrics. Econometrics. 4(4). doi: 10.3390/econometrics4040050. Fulltekst i vitenarkiv

Se alle arbeider i NVA

• Stigum, Bernt Petter (2014). Econometrics in a Formal Science of Economics. Theory and the Measurement of Economic Relations. MIT Press. ISBN 9780262028585. 392 s. Fulltekst i vitenarkiv

Se alle arbeider i NVA