British econometrician (1924–1996)
John Denis Sargan, FBA (23 August 1924 – 13 April 1996) was a British econometrician who specialized in the analysis of economic time-series.
Sargan was born in Doncaster,[1] Yorkshire in 1924, and was educated at Doncaster Grammar School and St John's College, Cambridge.[2] He made many contributions, notably in instrumental variables estimation, Edgeworth expansions for the distributions of econometric estimators, identification conditions in simultaneous equations models, asymptotic tests for overidentifying restrictions in homoskedastic equations and exact tests for unit roots in autoregressive and moving average models. At the LSE, Sargan was Professor of Econometrics from 1964–1984.[3] Sargan was President of the Econometric Society, a Fellow of the British Academy[4] and an (honorary foreign) member of the American Academy of Arts and Sciences.[3][5]
His influence on econometric methodology is evident in several fields including in the development of Generalized Method of Moments estimators.
Selected publications
- Sargan, J. D. (1958). "The Estimation of Economic Relationships using Instrumental Variables". Econometrica. 26 (3): 393–415. doi:10.2307/1907619. JSTOR 1907619.
- Sargan, J. D. (1964). "Wages and Prices in the United Kingdom: A Study in Econometric Methodology", 16, 25–54. in Econometric Analysis for National Economic Planning, ed. by P. E. Hart, G. Mills, and J. N. Whittaker. London: Butterworths
- Sargan, J. D. (1980). "Some Tests of Dynamic Specification for a Single Equation". Econometrica. 48 (4): 879–897. doi:10.2307/1912938. JSTOR 1912938.
Published posthumously
- Sargan, J. D. (2001). "The Choice Between Sets of Regressors." Econometric Reviews 20(2).
- Sargan, J. D. (2001). "Model Building and Data Mining." Econometric Reviews 20(2): 159-170.
- Sargan, J. D. (2003). "The Development of Econometrics at LSE in the Last 30 Years." Econometric Theory 19(3): 429-438.
References
- ^ Hendry, D. F. and P. C. B. Phillips (2017). "John Denis Sargan at the London School of Economics", Cowles Foundation Discussion Paper No. 2082, Cowles Foundation for Research in Economics, Yale University, p. 1. [1]
- ^ "SARGAN, Prof. John Denis". Who's Who & Who Was Who. Vol. 2018 (online ed.). A & C Black. (Subscription or UK public library membership required.)
- ^ a b "OBITUARY : Professor Denis Sargan". The Independent. 18 April 1996. Retrieved 23 June 2023.
- ^ Hendry, David; Phillips, Peter (2003). John Denis Sargan 1924-1996. Biographical Memoirs of Fellows II. Vol. 120. pp. 385–409. doi:10.5871/bacad/9780197263020.003.0019. ISBN 9780197263020.
- ^ Phillips, P. C. (2003). "Vision and influence in econometrics: John Denis Sargan". Econometric Theory. 19 (3): 495–512. CiteSeerX 10.1.1.193.6587. doi:10.1017/S0266466603193085. S2CID 122949584.
Further reading
- Gilbert, Christopher L. (1989). "LSE and the British Approach to Time Series Econometrics". Oxford Economic Papers. 41 (1): 108–128. doi:10.1093/oxfordjournals.oep.a041887. JSTOR 2663185.
- Hendry, David F. (2003). "J. Denis Sargan and the Origins of LSE Econometric Methodology". Econometric Theory. 19 (3): 457–480. doi:10.1017/S0266466603193061. S2CID 122846487.
External links
