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Erschienen in:

2019 | OriginalPaper | Buchkapitel

27. John Denis Sargan (1924–1996)

verfasst von : David F. Hendry, Peter C. B. Phillips

Erschienen in: The Palgrave Companion to LSE Economics

Verlag: Palgrave Macmillan UK

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Abstract

During his period at LSE from the early 1960s to the mid-1980s, John Denis Sargan rose to international prominence and 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 LSE. The overriding theme of his research was to improve the quality and reliability of empirical modelling through new approaches to specification and methodology, new methods of estimation, inference and evaluation complemented by systematic studies of their small sample and asymptotic properties, and by demonstrating their operational implementation with path-breaking applications in a wide range of empirical studies.

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Vorheriges Kapitel Michio Morishima (1923–2004)

Nächstes Kapitel Ralph Turvey (1927–2012)

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Hendry, D.F., A.R. Pagan and J.D. Sargan (1984). ‘Dynamic Specification’. Chapter 18 in Z. Griliches and M.D. Intriligator (eds) Handbook of Econometrics. Volume 2. Amsterdam: North-Holland: 1023–1100.

Sargan, J.D. (1953). ‘An Approximate Treatment of the Properties of the Correlogram and Periodogram’. Journal of the Royal Statistical Society, Series B, 15(1): 140–152.

Sargan, J.D. (1955). ‘The Period of Production’. Econometrica, 23(2): 151–165.CrossRef

Sargan, J.D. (1957). ‘The Danger of Over-Simplification’. Oxford Bulletin of Economics and Statistics, 19(2): 171–178.CrossRef

Sargan, J.D. (1958a). ‘The Estimation of Economic Relationships Using Instrumental Variables’. Econometrica, 26(3): 393–415.CrossRef

Sargan, J.D. (1958b). ‘The Instability of the Leontief Dynamic Model’. Econometrica, 26(3): 381–392.CrossRef

Sargan, J.D. (1959). ‘The Estimation of Relationships with Autocorrelated Residuals by the Use of Instrumental Variables’. Journal of the Royal Statistical Society, Series B, 21(1): 91–105.

Sargan, J.D. (1961a). ‘Lags and the Stability of Dynamic Systems: A Reply’. Econometrica, 29(4): 670–673.CrossRef

Sargan, J.D. (1961b). ‘The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals’. Econometrica, 29(3): 414–426.CrossRef

Sargan, J.D. (1964a). ‘An Approximate Distribution of the Two-Stage Least Squares Estimators’. Econometrica, 32(4): 660, abstract.

Sargan, J.D. (1964b). ‘Three-Stage Least-Squares and Full Maximum Likelihood Estimates’. Econometrica, 32(1/2): 77–81.CrossRef

Sargan, J.D. (1964c). ‘Wages and Prices in the United Kingdom: A Study in Econometric Methodology. In P.E. Hart, G. Mills and J.K. Whitaker (eds) Econometric Analysis for National Economic Planning. Volume 16. Colston Papers. London: Butterworths: 25–54, with discussion.

Sargan, J.D. (1971a). ‘Asymptotic Expansion for the Distribution Functions of Econometric Estimators’. Econometrica, 39(4): 168, Abstract.

Sargan, J.D. (1971b). ‘Production Functions’. Chapters 11–13 in P.R.G. Layard, J.D. Sargan, M.E. Ager and D.J. Jones (eds) Qualified Manpower and Economic Performance: An Inter-Plant Study in the Electrical Engineering Industry. London: Allen Lane: 143–204.

Sargan, J.D. (1971c). ‘A Study of Wages and Prices in the UK, 1949–1968’. Chapter 4 in H.G. Johnson and A.R. Nobay (eds) The Current Inflation. London: Macmillan Press: 52–71.

Sargan, J.D. (1974a). ‘Some Discrete Approximations to Continuous Time Stochastic Models’. Journal of the Royal Statistical Society, Series B, 36(1): 74–90.

Sargan, J.D. (1974b). ‘The Validity of Nagar’s Expansion for the Moments of Econometric Estimators’. Econometrica, 42(1): 169–176.CrossRef

Sargan, J.D. (1975a). ‘Asymptotic Theory and Large Models’. International Economic Review, 16(1): 75–91.CrossRef

Sargan, J.D. (1975b). ‘Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators’. Econometrica, 43(2): 327–346.CrossRef

Sargan, J.D. (1976a). ‘Econometric Estimators and the Edgeworth Approximation’. Econometrica, 44(3): 421–448 and 1977, ‘Erratum’, Econometrica, 45(1): 272.CrossRef

Sargan, J.D. (1976b). ‘Some Discrete Approximations to Continuous Time Stochastic Models’. Chapter 3 in A.R. Bergstrom (ed.) Statistical Inference in Continuous Time Econometric Models. Amsterdam: North-Holland: 27–29.

Sargan, J.D. (1978). ‘On the Existence of the Moments of 3SLS Estimators’. Econometrica, 46(6): 1329–1350.CrossRef

Sargan, J.D. (1980a). ‘Some Approximations to the Distribution of Econometric Criteria which are Asymptotically Distributed as Chi-Squared’. Econometrica, 48(5): 1107–1138.CrossRef

Sargan, J.D. (1980b). ‘Some Tests of Dynamic Specification for a Single Equation’. Econometrica, 48(4): 879–897.CrossRef

Sargan, J.D. (1980c). ‘The Consumer Price Equation in the Post War British Economy: An Exercise in Equation Specification Testing’. Review of Economic Studies, 47(1): 113–135.CrossRef

Sargan, J.D. (1980d). ‘A Model of Wage-Price Inflation’. Review of Economic Studies, 47(1): 97–112.CrossRef

Sargan, J.D. (1981). ‘Identification in Models with Autoregressive Errors’. Journal of Econometrics, 16(1): 160–161, abstract.CrossRef

Sargan, J.D. (1982). ‘On Monte Carlo Estimates of Moments that are Infinite’. In R.L. Basmann and G.F. Rhodes, Jr. (eds) Advances in Econometrics: A Research Annual. Volume 1. Greenwich, CT: JAI Press: 267–299.

Sargan, J.D. (1983a). ‘Identification and Lack of Identification’. Econometrica, 51(6): 1605–1633.CrossRef

Sargan, J.D. (1983b). ‘Identification in Models with Autoregressive Errors’. In S. Karlin, T. Amemiya and L.A. Goodman (eds) Studies in Econometrics, Time Series, and Multivariate Statistics: In Honor of Theodore W. Anderson. New York: Academic Press: 169–205.CrossRef

Sargan, J.D. (1988a). Lectures on Advanced Econometric Theory. Oxford: Basil Blackwell. Edited and with an introduction by Meghnad Desai.

Sargan, J.D. (1988b). ‘The Identification and Estimation of Sets of Simultaneous Stochastic Equations’. Chapter 12 in E. Maasoumi (ed.) Contributions to Econometrics: John Denis Sargan. Two volumes. Cambridge, UK: Cambridge University Press: 236–249.

Sargan, J.D. (1988c). ‘The Finite Sample Distribution of FIML Estimators’. Chapter 3 in E. Maasoumi (ed.) Contributions to Econometrics: John Denis Sargan. Two volumes. Cambridge, UK: Cambridge University Press: 57–75.

Sargan, J.D. (1988d). ‘The Existence of the Moments of Estimated Reduced Form Coefficients’. Chapter 6 in E. Maasoumi (ed.) Contributions to Econometrics: John Denis Sargan. Two volumes. Cambridge, UK: Cambridge University Press: 133–157.

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Sargan, J.D. (1993b). ‘Estimation Methods for Simple Rational Expectation Models’. Revista Española de Economía (Spanish Economic Review), 10(1): 5–18.

Sargan, J.D. (2001a). ‘The Choice Between Sets of Regressors’. Econometric Reviews, 20(2): 171–186.CrossRef

Sargan, J.D. (2001b). ‘Model Building and Data Mining’. Econometric Reviews, 20(2): 159–170.CrossRef

Sargan, J.D. and A. Bhargava (1983a). ‘Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk’. Econometrica, 51(1): 153–174.CrossRef

Sargan, J.D. and A. Bhargava (1983b). ‘Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle’. Econometrica, 51(3): 799–820.CrossRef

Sargan, J.D. and E.G. Drettakis (1974). ‘Missing Data in an Autoregressive Model’. International Economic Review, 15(1): 39–58.CrossRef

Sargan, J.D. and F. Mehta (1983). ‘A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification’. Econometrica, 51(5): 1551–1567.CrossRef

Sargan, J.D. and W.M. Mikhail (1971). ‘A General Approximation to the Distribution of Instrumental Variables Estimates’. Econometrica, 39(1): 131–169.CrossRef

Sargan, J.D. and S.E. Satchell (1986). ‘A Theorem of Validity for Edgeworth Expansions’. Econometrica, 54(1): 189–213.CrossRef

Sargan, J.D. and Y.K. Tse (1981). ‘Edgeworth Approximations to the Distribution of Various Test Statistics’. Chapter 12 in E.G. Charatsis (ed.) Proceedings of the Econometric Society European Meeting 1979: Selected Econometric Papers in Memory of Stefan Valavanis. Amsterdam: North-Holland: 281–295.

Sargan, J.D. and Y.K. Tse (1988a). ‘Edgeworth Approximations for 2SLS Estimates of a Dynamic Model’. Chapter 8 in E. Maasoumi (ed.) Contributions to Econometrics: John Denis Sargan. Two volumes. Cambridge, UK: Cambridge University Press: 172–181.

Sargan, J.D. and Y.K. Tse (1988b). ‘Some Experience of Numerical Computation of Edgeworth Approximations’. Chapter 7 in E. Maasoumi (ed.) Contributions to Econometrics: John Denis Sargan. Two volumes. Cambridge, UK: Cambridge University Press: 158–171.

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Titel: John Denis Sargan (1924–1996)
verfasst von: David F. Hendry
Peter C. B. Phillips
Verlag: Palgrave Macmillan UK
Buch: The Palgrave Companion to LSE Economics
Print ISBN: 978-1-137-58273-7

Electronic ISBN: 978-1-137-58274-4

Copyright-Jahr: 2019
DOI: https://doi.org/10.1057/978-1-137-58274-4_27

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