J. Denis Sargan And The Origins Of Lse Econometric Methodology
AbstractI review the part played by John Denis Sargan in the formation of the LSE approach to dynamic econometric modeling. Despite his unassuming demeanor and his location at LSE which had earlier dismissed a substantive role for econometric evidence Sargan nevertheless radically altered the econometric approach of a generation, establishing a powerful approach to empirical modeling of economic time series. His main contributions to econometric methodology, and the subsequent research, are discussed as a complement to the other papers in this memorial volume.Financial support from the U.K. Economic and Social Research Council under grant L138251009 is gratefully acknowledged. I am indebted to Alok Bhargava, Julia Campos, Meghnad Desai, Neil Ericsson, Toni Espasa, Grayham Mizon, Peter Phillips, Timo Ter svirta, and Ken Wallis for helpful comments and to Peter Phillips for the invitation to contribute this paper to Econometric Theory.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 19 (2003)
Issue (Month): 03 (June)
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- Phillips, Peter C.B., 2003.
"Vision And Influence In Econometrics: John Denis Sargan,"
Cambridge University Press, vol. 19(03), pages 495-511, June.
- Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
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- Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía.
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- repec:ner:louvai:info:hdl:2078.1/33454 is not listed on IDEAS
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