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J. Denis Sargan And The Origins Of Lse Econometric Methodology

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  • Hendry, David F.

Abstract

I 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 Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 19 (2003)
Issue (Month): 03 (June)
Pages: 457-480

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Handle: RePEc:cup:etheor:v:19:y:2003:i:03:p:457-480_19

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Cited by:
  1. Spanos, Aris, 2008. "The 'Pre-Eminence of Theory' versus the 'General-to-Specific' Cointegrated VAR Perspectives in Macro-Econometric Modeling," Economics Discussion Papers 2008-25, Kiel Institute for the World Economy.
  2. 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.
  3. Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques) 2006013, Université catholique de Louvain, Département des Sciences Economiques.
  4. Rahmanov, Ramiz, 2014. "A Historical Sketch of Macroeconometrics," MPRA Paper 56869, University Library of Munich, Germany.
  5. Duo Qin & Yanqun Zhang, 2013. "A History of Polyvalent Structural Parameters: the Case of Instrument Variable Estimators," Working Papers 183, Department of Economics, SOAS, University of London, UK.
  6. Jennifer Castle & David Hendry, 2008. "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers 409, University of Oxford, Department of Economics.

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