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Vision And Influence In Econometrics: John Denis Sargan

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Author Info
Phillips, Peter C.B.

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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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Publisher 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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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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. [Downloadable!] (restricted)
  2. Forchini, Giovanni & Hillier, Grant, 2003. "Conditional Inference For Possibly Unidentified Structural Equations," Econometric Theory, Cambridge University Press, vol. 19(05), pages 707-743, October. [Downloadable!]
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  3. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November. [Downloadable!] (restricted)
  4. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September. [Downloadable!] (restricted)
  5. Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, vol. 48(4), pages 879-97, May. [Downloadable!] (restricted)
  6. Peter C.B. Phillips, 1982. "Small Sample Distribution Theory in Econometric Models of Simultaneous Equations," Cowles Foundation Discussion Papers 617, Cowles Foundation, Yale University. [Downloadable!]
  7. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
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  8. 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. [Downloadable!] (restricted)
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  9. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July. [Downloadable!] (restricted)
  10. Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute. [Downloadable!]
  11. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages C26-C52, March. [Downloadable!] (restricted)
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  12. Hendry, David F., 2001. "Achievements and challenges in econometric methodology," Journal of Econometrics, Elsevier, vol. 100(1), pages 7-10, January. [Downloadable!] (restricted)
  13. 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. [Downloadable!] (restricted)
  14. Dufour, J.M., 1995. "Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration," Cahiers de recherche 9539, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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  15. Phillips, Peter C. B., 1995. "Bayesian model selection and prediction with empirical applications," Journal of Econometrics, Elsevier, vol. 69(1), pages 289-331, September. [Downloadable!] (restricted)
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  16. 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, Yale University. [Downloadable!]
  17. Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May. [Downloadable!] (restricted)
  18. John C. Chao & Norman Rasmus Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers ysm374, Yale School of Management. [Downloadable!]
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  19. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07. [Downloadable!] (restricted)
  20. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation, Yale University. [Downloadable!]
  21. 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. [Downloadable!] (restricted)
  22. 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.
  23. Sargan, J. D., 1981. "Identification in models with autoregressive errors," Journal of Econometrics, Elsevier, vol. 16(1), pages 160-161, May. [Downloadable!] (restricted)
  24. J. Denis Sargan, 2001. "The Choice Between Sets Of Regressors," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 171-186. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. John Hunter & Christos Ioannidis, 2004. "Identifying and Solving Multivariate Rational Expectations Models," Economics and Finance Discussion Papers 04-08, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  2. Angrist, Joshua D., 2003. "Treatment Effect Heterogeneity in Theory and Practice," IZA Discussion Papers 851, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
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