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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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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. Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
   
   • 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.
2. 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.
   
   • Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
   • Bauwens, Luc & Sucarrat, Genaro, . "General to specific modelling of exchange rate volatility : a forecast evaluation," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2591, Universidad Carlos III de Madrid.
   • 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.
   • BAUWENS, Luc & SUCARRAT, Genaro, 2006. "General to specific modelling of exchange rate volatility: a forecast evaluation," CORE Discussion Papers 2006021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
3. 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.
4. 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.
   
   • Phillips, Peter C.B., 2003. "Vision And Influence In Econometrics: John Denis Sargan," Econometric Theory, Cambridge University Press, vol. 19(03), pages 495-511, June.

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