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Vision And Influence In Econometrics: John Denis Sargan

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  • Phillips, Peter C.B.

Abstract

Denis Sargan s intellectual influence in econometrics is discussed and some of his visions for the future of econometrics are considered in this memorial article. One of Sargan s favorite topics in econometric theory was finite sample theory, including both exact theory and various types of asymptotic expansions. We provide some summary discussion of asymptotic expansions of the type that Sargan developed in this field and give explicit representations of Sargan s formula for the Edgeworth expansion in the case of an econometric estimator that can be written as a smooth function of sample moments whose distributions themselves have Edgeworth expansions.Parts of Section 1 were presented in March 2002 in the author s Sargan Lecture at the Royal Economics Society Conference, Warwick, UK. My thanks go to John Chao, David Hendry, Essie Maasoumi, Peter Robinson, and Katsumi Shimotsu for helpful comments on the original version of this paper. I learned the Chinese saying that heads this article from Sainan Jin. Thanks also go to the NSF for research support under grant SES 00-92509.A student is like green grass and a great teacher is like the spring sun. The benefit from the sun is infinite, and little grass can hardly pay it back, although it tries its best. Chinese saying

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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: 495-511

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Handle: RePEc:cup:etheor:v:19:y:2003:i:03:p:495-511_19

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  1. Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(02), pages 181-240, August.
  2. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages C26-C52, March.
  3. Peter C.B. Phillips, 1992. "Bayesian Model Selection and Prediction with Empirical Applications," Cowles Foundation Discussion Papers 1023, Cowles Foundation for Research in Economics, Yale University.
  4. Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute.
  5. Forchini, G. & Hillier, G.H., 1999. "Conditional inference for possibly unidentified structural equations," Discussion Paper Series In Economics And Econometrics 9906, Economics Division, School of Social Sciences, University of Southampton.
  6. Hendry, David F. & Pagan, Adrian R. & Sargan, J.Denis, 1984. "Dynamic specification," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 18, pages 1023-1100 Elsevier.
  7. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
  8. Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, vol. 48(4), pages 879-97, May.
  9. David F. Hendry & Hans-Martin Krolzig, 1999. "Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 202-219.
  10. Sargan, J. D., 1981. "Identification in models with autoregressive errors," Journal of Econometrics, Elsevier, vol. 16(1), pages 160-161, May.
  11. J. Denis Sargan, 2001. "The Choice Between Sets Of Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 171-186.
  12. John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, 09.
  13. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
  14. J. Dufour, 1995. "Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration," SFB 373 Discussion Papers 1995,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  15. Hendry, David F., 2001. "Achievements and challenges in econometric methodology," Journal of Econometrics, Elsevier, vol. 100(1), pages 7-10, January.
  16. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November.
  17. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07.
  18. Peter C.B. Phillips, 1982. "Small Sample Distribution Theory in Econometric Models of Simultaneous Equations," Cowles Foundation Discussion Papers 617, Cowles Foundation for Research in Economics, Yale University.
  19. Espasa, Antoni & Sargan, J Denis, 1977. "The Spectral Estimation of Simultaneous Equation Systems with Lagged Endogenous Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(3), pages 583-605, October.
  20. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
  21. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-83, September.
  22. Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-85, March.
  23. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July.
  24. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  25. Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May.
  26. Hendry, David F., 2003. "J. Denis Sargan And The Origins Of Lse Econometric Methodology," Econometric Theory, Cambridge University Press, vol. 19(03), pages 457-480, June.
  27. Sargan, J D, 1980. "Some Approximations to the Distribution of Econometric Criteria Which are Asymptotically Distributed as Chi-Squared," Econometrica, Econometric Society, vol. 48(5), pages 1107-38, July.
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Cited by:
  1. Angrist, Joshua, 2003. "Treatment Effect Heterogeneity in Theory and Practice," IZA Discussion Papers 851, Institute for the Study of Labor (IZA).

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