The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Sargan, John Denis 1924–1996

  • David F. Hendry
  • Peter C. B. Phillips
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2528

Abstract

Denis Sargan was the leading British econometrician of his generation, playing a central role in establishing the technical basis for modern time-series econometric analysis. In a distinguished 40-year career as teacher, researcher, and practitioner Sargan transformed the role of econometrics in the analysis of macroeconomic time series and the teaching of econometrics. His research spanned exact finite-sample, approximate and asymptotic distribution theory for econometric estimators and tests, systems and single equation methods of modelling time-series and panel data, and problems of identification, together with applications, numerical analysis and simulation methods. Much of this foundational research remains relevant to current work.

Keywords

Asymptotic theory Bootstrap Cointegration Computation Data mining Distribution of wealth Durbin–Watson statistic Dynamic simplification Dynamic specification Econometric Society Econometrics Edgeworth expansions Equilibrium-correction mechanisms Estimation Finite-sample theory Full information maximum likelihood Gaussian random walks Inference Inflationary expectations Instrumental variables Leontieff, W. Limited information maximum likelihood Maximum likelihood Measurement error Moment approximations Monte Carlo methods Phillips curve Phillips, A. W. H. Sargan, J. D. Simplification Simulation-based methods Simultaneous equations Statistical methods Structural estimation Subjective probability Testing Three-stage least squares Unit root theory Weak instrumentation 

JEL Classifications

B31 
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Notes

Acknowledgment

We thank many individuals for their information and help in writing this biography. In particular, Mary Sargan kindly provided details of Sargan’s early life, and we have drawn on reviews, obituaries and memoirs written with, or by, Lord Meghnad Desai, Neil Ericsson, Toni Espasa, Esfandiar Maasoumi, Grayham Mizon, Hashem Pesaran, Peter Robinson and Kenneth Wallis, as well as our own memoir (Hendry and Phillips 2003).

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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • David F. Hendry
    • 1
  • Peter C. B. Phillips
    • 1
  1. 1.