Abstract
James Durbin joined the LSE Statistics Department in 1950 and remained there until he retired in 1988. He was a key figure in the development of econometrics and statistics. An early contribution, which came to be known as the Durbin–Watson test, was the first ‘diagnostic’ to be routinely applied in the analysis of regression models and it exerted a profound influence on the way that econometrics evolved. However, it was only one of a number of fundamental contributions made by Durbin. He was a Fellow of the British Academy and in 2008 he was awarded the Royal Statistical Society’s Guy Medal in Gold for a lifetime’s achievement in statistics.
David Bartholomew died in October 2017.
This chapter is a modified version of the obituary that appeared in Biographical Memoirs of Fellows of the British Academy (Harvey and Bartholomew 2016). In preparing the British Academy obituary, we drew on the ET Interview of Durbin conducted by Peter Phillips in Econometric Theory (Phillips 1988), Siem Jan Koopman’s obituary in the Journal of the Royal Statistical Society (Koopman 2012), the speech of Alan Stuart at Jim’s retirement seminar at LSE in 1988 and our own recollections as Jim’s colleagues at LSE. We are grateful to the British Academy for permission to use the obituary here.
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References
Main Works by James Durbin
Brown, R.L., J. Durbin and J.M. Evans (1975). ‘Techniques for Testing the Constancy of Regression Relationships over Time (with discussion)’. Journal of the Royal Statistical Society, Series B, 37(2): 149–192.
Durbin, J. (1953). ‘Some Results in Sampling Theory when the Units are Selected With Unequal Probabilities’. Journal of the Royal Statistical Society, Series B, 15(2): 262–269.
Durbin, J. (1954). ‘Errors in Variables’. Review of the International Statistical Institute, 22(1/3): 23–32.
Durbin, J. (1957). ‘Testing for Serial Correlation in Systems of Simultaneous Regression Equations’. Biometrika, 44(3/4): 370–377.
Durbin, J. (1968). ‘The Probability that the Sample Distribution Function Lies Between Two Parallel Straight Lines’. Annals of Mathematical Statistics, 39(2): 398–411.
Durbin, J. (1970). ‘An Alternative to the Bounds Test for Testing for Serial Correlation in Least-Squares Regression’. Econometrica, 38(3): 422–429.
Durbin, J. (1971). ‘Boundary-Crossing Probabilities for the Brownian Motion and Poisson Processes and Techniques for Computing the Power of the Kolmogorov-Smirnov Test’. Journal of Applied Probability, 8(3): 431–453.
Durbin, J. (1973). Distribution Theory for Tests Based on the Sample Distribution Function. Philadelphia: Society for Industrial and Applied Mathematics (SIAM).
Durbin, J. (1988). ‘Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations’. Econometric Theory, 4(1): 159–170.
Durbin, J. and A. Harvey (1985). ‘The Effects of Seat Belt Legislation on Road Casualties in Great Britain: Report on Assessment of Statistical Evidence’. Annexe to Compulsory Seat Belt Wearing Report. Department of Transport. London: HMSO: A1–A46.
Durbin, J. and A. Harvey (1986). ‘The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling (with discussion)’. Journal of the Royal Statistical Society, Series A, 149(3): 187–227.
Durbin, J. and M. Knott (1972). ‘Components of Cramér-von Mises Statistics. I’. Journal of the Royal Statistical Society, Series B, 34(2): 290–307.
Durbin, J., M. Knott and C.C. Taylor (1975). ‘Components of Cramér-von Mises Statistics. II’. Journal of the Royal Statistical Society, Series B, 37(2): 216–237.
Durbin, J. and S.J. Koopman (1997). ‘Monte Carlo Maximum Likelihood Estimation for Non-Gaussian State Space Models’. Biometrika, 84(3): 669–684.
Durbin, J. and S.J. Koopman (2001). Time Series Analysis by State Space Methods. Oxford: Oxford University Press.
Durbin, J. and A. Stuart (1951). ‘Inversions and Rank Correlation Coefficients’. Journal of the Royal Statistical Society, Series B, 13(2): 303–309.
Durbin, J. and A. Stuart (1954). ‘Callbacks and Clustering in Sample Surveys: An Experimental Study’. Journal of the Royal Statistical Society, Series A, 117(4): 387–428.
Durbin, J. and G.S. Watson (1950). ‘Testing for Serial Correlation in Least Squares Regression. I’. Biometrika, 37(3/4): 409–428.
Durbin, J. and G.S. Watson (1951). ‘Testing for Serial Correlation in Least Squares Regression. II’. Biometrika, 38(1/2): 159–177.
Koopman, S.J. and J. Durbin (2000). ‘Fast Filtering and Smoothing for Multivariate State Space Models’. Journal of Time Series Analysis, 21(3): 281–296.
Other Works Referred To
Harvey, A. and D. Bartholomew (2016). ‘James Durbin, 1923–2012’. Biographical Memoirs of Fellows of the British Academy, XV: 43–52.
Hausman, J.A. (1978). ‘Specification Tests in Econometrics’. Econometrica, 46(6): 1251–1271.
Hendry, D.F. (1976). ‘The Structure of Simultaneous Equations Estimators’. Journal of Econometrics, 4(1): 51–88.
Koopman, S.J. (2012). ‘Obituary: James Durbin, FBA, 1923–2012’. Journal of the Royal Statistical Society, Series A, 175(4): 1060–1064.
Malinvaud, E. (1966). Statistical Methods of Econometrics. Amsterdam: North-Holland.
Phillips, P.C.B. (1988). ‘The ET Interview: Professor James Durbin’. Econometric Theory, 4(1): 125–157.
Royal Statistical Society (undated). ‘RSS Medals and Awards: Summary Descriptions’. Available at: http://www.rss.org.uk/Images/PDF/about/2017/summary-all-medals-awards.pdf.
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Harvey, A., Bartholomew, D. (2019). James Durbin (1923–2012). In: Cord, R.A. (eds) The Palgrave Companion to LSE Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-58274-4_25
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