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John Denis Sargan at the London School of Economics

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Abstract

During his period at the LSE from the early 1960s to the mid 1980s, John Denis Sargan rose to international prominence and the LSE emerged as the world�s leading centre for econometrics. Within this context, we examine the life of Denis Sargan, describe his major research accomplishments, recount the work of his many doctoral students, and track this remarkable period that constitutes the Sargan era of econometrics at the LSE.

Suggested Citation

  • David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:2082
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    References listed on IDEAS

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    8. Sargan, J D & Mikhail, W M, 1971. "A General Approximation to the Distribution of Instrumental Variables Estimates," Econometrica, Econometric Society, vol. 39(1), pages 131-169, January.
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    11. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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    17. J. Denis Sargan, 2001. "The Choice Between Sets Of Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 171-186.
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    24. Sargan, J D & Bhargava, Alok, 1983. "Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle," Econometrica, Econometric Society, vol. 51(3), pages 799-820, May.
    25. Grayham E. Mizon & David F. Hendry, 1980. "An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 21-45.
    26. Sargan, John D & Mehta, Fatemeh, 1983. "A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification," Econometrica, Econometric Society, vol. 51(5), pages 1551-1567, September.
    27. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    28. Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, vol. 48(4), pages 879-897, May.
    29. Mizon, Grayham E., 1995. "A simple message for autocorrelation correctors: Don't," Journal of Econometrics, Elsevier, vol. 69(1), pages 267-288, September.
    30. Phillips, P C B, 1972. "The Structural Estimation of a Stochastic Differential Equation System," Econometrica, Econometric Society, vol. 40(6), pages 1021-1041, November.
    31. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    32. J. D. Sargan, 1980. "The Consumer Price Equation in the Post War British Economy: An Exercise in Equation Specification Testing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 113-135.
    33. Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.
    34. Sargan, J. D., 1981. "Identification in models with autoregressive errors," Journal of Econometrics, Elsevier, vol. 16(1), pages 160-161, May.
    35. Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(2), pages 181-240, August.
    36. 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 463-485, March.
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    38. Sargan, J D, 1978. "On the Existence of the Moments of 3SLS Estimators," Econometrica, Econometric Society, vol. 46(6), pages 1329-1350, November.
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    43. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    44. 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.
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    47. Sargan, J D, 1974. "The Validity of Nagar's Expansion for the Moments of Econometric Estimators," Econometrica, Econometric Society, vol. 42(1), pages 169-176, January.
    48. Sargan, J D, 1975. "Asymptotic Theory and Large Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(1), pages 75-91, February.
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    51. Hendry, David F., 2003. "J. Denis Sargan And The Origins Of Lse Econometric Methodology," Econometric Theory, Cambridge University Press, vol. 19(3), pages 457-480, June.
    52. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    53. Sargan, J D & Satchell, S E, 1986. "A Theorem of Validity for Edgeworth Expansions," Econometrica, Econometric Society, vol. 54(1), pages 189-213, January.
    54. Sargan, J D, 1975. "Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators," Econometrica, Econometric Society, vol. 43(2), pages 327-346, March.
    55. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
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    More about this item

    Keywords

    John Denis Sargan; London School of Economics; Econometrics; Asymptotic theory; Small-sample distributions; Dynamic models; Autocorrelated errors; Empirical modelling; Doctoral training;
    All these keywords.

    JEL classification:

    • A14 - General Economics and Teaching - - General Economics - - - Sociology of Economics
    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies

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