Skip to main content
SpringerLink
Log in

John Denis Sargan (1924–1996)

  • Chapter
  • First Online:
The Palgrave Companion to LSE Economics

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.

We thank the British Academy for their kind permission to draw on our memoir of John Denis Sargan, David Sargan for his information about the family, and Jennifer L. Castle, Grayham E. Mizon and Jim Thomas for helpful comments.

David Hendry: Financial support from the Robertson Foundation (award 9907422), Institute for New Economic Thinking (grant 20029822) and Statistics Norway through Research Council of Norway Grant 236935 are all gratefully acknowledged.

Peter Phillips: Research support from the NSF (Grant No. SES 12 58258) and the Kelly Foundation (University of Auckland) is gratefully acknowledged.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 259.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Hardcover Book
USD 329.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

Main Works by John Denis Sargan

  • Espasa, A. and J.D. Sargan (1977). ‘The Spectral Estimation of Simultaneous Equation Systems with Lagged Endogenous Variables’. International Economic Review, 18(3): 583–605.

    Article  Google Scholar 

  • 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.

    Google Scholar 

  • 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.

    Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Google Scholar 

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

    Google Scholar 

  • 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.

    Google Scholar 

  • 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.

    Google Scholar 

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

    Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Chapter  Google Scholar 

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

    Google Scholar 

  • 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.

    Google Scholar 

  • 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.

    Google Scholar 

  • 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.

    Google Scholar 

  • Sargan, J.D. (1993a). ‘Some Alternatives to the Edgeworth Approximation for Econometric Statistics’. Chapter 12 in P.C.B. Phillips (ed.) Models, Methods, and Applications of Econometrics: Essays in Honor of A.R. Bergstrom. Cambridge, MA: Basil Blackwell: 165–175.

    Google Scholar 

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

    Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Article  Google Scholar 

  • 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.

    Article  Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Article  Google Scholar 

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

    Article  Google Scholar 

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

    Article  Google Scholar 

  • 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.

    Google Scholar 

  • 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.

    Google Scholar 

  • 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.

    Google Scholar 

Other Works Referred To

  • Anderson, T.W. and H. Rubin (1949). ‘Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations’. Annals of Mathematical Statistics, 20(1): 46–63.

    Article  Google Scholar 

  • Arellano Gonzalez, M. (1985). ‘Estimation and Testing of Dynamic Econometric Models from Panel Data’. PhD thesis, London School of Economics.

    Google Scholar 

  • Bandi, F.M. and P.C.B. Phillips (2003). ‘Fully Nonparametric Estimation of Scalar Diffusion Models’. Econometrica, 71(1): 241–283.

    Article  Google Scholar 

  • Basmann, R.L. (1961). ‘A Note on the Exact Finite Sample Frequency Functions of Generalized Classical Linear Estimators in Two Leading Over-Identified Cases’. Journal of the American Statistical Association, 56(295): 619–636.

    Article  Google Scholar 

  • Bergstrom, A.R. (1962). ‘The Exact Sampling Distributions of Least Squares and Maximum Likelihood Estimators of the Marginal Propensity to Consume’. Econometrica, 30(3): 480–490.

    Article  Google Scholar 

  • Bergstrom, A.R. (1966). ‘Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations’. Econometrica, 34(1): 173–182.

    Article  Google Scholar 

  • Bergstrom, A.R. and C.R. Wymer (1976). ‘A Model of Disequilibrium Neoclassical Growth and its Application to the United Kingdom’. Chapter 10 in A.R. Bergstrom (ed.) Statistical Inference in Continuous Time Econometric Models. Amsterdam: North-Holland: 267–327.

    Google Scholar 

  • Bhargava, A. (1983). ‘The Theory of the Durbin-Watson Statistic with Special Reference to the Specification of Models in Levels as Against in Differences’. PhD thesis, London School of Economics.

    Google Scholar 

  • Bollard, A. (2016). A Few Hares to Chase. Oxford: Oxford University Press.

    Google Scholar 

  • Bontemps, C. and G.E. Mizon (2008). ‘Encompassing: Concepts and Implementation’. Oxford Bulletin of Economics and Statistics, 70(s1): 721–750.

    Article  Google Scholar 

  • Byron, R.P. (1968). ‘The Estimation of Systems of Demand Equations Using Prior Information’. PhD thesis, London School of Economics.

    Google Scholar 

  • Campos Fernandez, J. (1982). ‘Instrumental Variables Estimation of Dynamic Economic Systems with Autocorrelated Errors’. PhD thesis, London School of Economics.

    Google Scholar 

  • Castle, J.L. and D.F. Hendry (2017). ‘Clive W.J. Granger and Cointegration’. European Journal of Pure and Applied Mathematics, 10(1): 58–81.

    Google Scholar 

  • Charatsis, E.G. (1970). ‘Statistical Methods for Estimation of Production Functions: A Cross-Section and Time-Series Analysis of the Greek Manufacturing Industry’. PhD thesis, London School of Economics.

    Google Scholar 

  • Cheong, K.C. (1972). ‘An Econometric Study of the World Natural and Synthetic Rubber Industry’. PhD thesis, London School of Economics.

    Google Scholar 

  • Chong, Y.Y. (1982). ‘Comparative Methods of Computing Maximum Likelihood Estimates for Non-Linear Econometric Systems’. PhD thesis, London School of Economics.

    Google Scholar 

  • Davidson, J.E.H., D.F. Hendry, F. Srba and S. Yeo (1978). ‘Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers’ Expenditure and Income in the United Kingdom’. Economic Journal, 88(352): 661–692.

    Google Scholar 

  • Desai, M.J., D.F. Hendry and G.E. Mizon (1997). ‘John Denis Sargan’. Economic Journal, 107(443): 1121–1125.

    Article  Google Scholar 

  • Drettakis, E.G. (1971). ‘Missing Data in Econometric Estimation’. PhD thesis, London School of Economics.

    Google Scholar 

  • Durbin, J. (1988). ‘Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations’. Econometric Theory, 4(1): 159–170. Paper presented to the Copenhagen Meeting of the Econometric Society, 1963.

    Article  Google Scholar 

  • El Imam, M.M. (1957). ‘The Consumption Function of the UK, 1929–1938’. PhD thesis, London School of Economics.

    Google Scholar 

  • Engle, R.F. and C.W.J. Granger (1987). ‘Co-integration and Error Correction: Representation, Estimation, and Testing’. Econometrica, 55(2): 251–276.

    Article  Google Scholar 

  • Ericsson, N.R. (1982). ‘Testing Non-nested Hypotheses in Systems of Linear Dynamic Economic Relationships’. PhD thesis, London School of Economics.

    Google Scholar 

  • Ericsson, N.R., E. Maasoumi and G.E. Mizon (2001). ‘A Personal Retrospective on J. Denis Sargan’. Econometric Reviews, 20(1): 133–157.

    Google Scholar 

  • Ericsson, N.R. and J.G. MacKinnon (2002). ‘Distributions of Error Correction Tests for Cointegration’. Econometrics Journal, 5(2): 285–318.

    Article  Google Scholar 

  • Espasa, A. (1975). ‘A Wages-Earnings-Prices Inflation Model for the United Kingdom, 1950–1970: Its Specification and Estimation by Classical and Spectral Methods’. PhD thesis, London School of Economics.

    Google Scholar 

  • Espasa, A. (1993). ‘Laudatio on the Occasion of the Investiture of Professor John Denis Sargan with the Degree of Doctor Honoris Causa’. Mimeo, Universidad Carlos III, Madrid.

    Google Scholar 

  • Feiner, M.P. (1970). ‘An Econometric Study of Disaggregated UK Imports, 1958–1966’. PhD thesis, London School of Economics.

    Google Scholar 

  • Fisher, F.M. (1966). The Identification Problem in Econometrics. New York: McGraw Hill.

    Google Scholar 

  • Fisher, M.R. (1956). ‘Exploration in Savings Behaviour’. Oxford Bulletin of Economics and Statistics, 18(3): 201–278.

    Article  Google Scholar 

  • Fitzpatrick, M.D. (1976). ‘Varying Parameter Estimation and Trends in the Parameters which Determine the Modal Choice Associated with Long Distance International Travel’. PhD thesis, London School of Economics.

    Google Scholar 

  • Franzini-Bhargava, L. (1983). ‘Estimating and Testing the Parameters of Time Varying Econometric Models’. PhD thesis, London School of Economics.

    Google Scholar 

  • Granger, C.W.J. and P. Newbold (1974). ‘Spurious Regressions in Econometrics’. Journal of Econometrics, 2(2): 111–120.

    Article  Google Scholar 

  • Hall, A.D. (1976). ‘The Relative Efficiency of Estimators of Seemingly Unrelated Regressions’. PhD thesis, London School of Economics.

    Google Scholar 

  • Handa, M.L. (1968). ‘Econometrics of Import Planning in India, 1947–1965: A Case Study of Selected Commodities’. PhD thesis, London School of Economics.

    Google Scholar 

  • Hannan, E.J. (1963). ‘Regression for Time Series’. Chapter 2 in M. Rosenblatt (ed.) Proceedings of Symposium on Time Series Analysis. New York: John Wiley: 14–37.

    Google Scholar 

  • Hannan, E.J. and M. Deistler (1988). The Statistical Theory of Linear Systems. New York: Wiley.

    Google Scholar 

  • Hansen, L.P. (1982). ‘Large Sample Properties of Generalized Method of Moments Estimators’. Econometrica, 50(4): 1029–1054.

    Article  Google Scholar 

  • Hansen, L.P., J. Heaton and A. Yaron (1996). ‘Finite-Sample Properties of Some Alternative GMM Estimators’. Journal of Business & Economic Statistics, 14(3): 262–280.

    Google Scholar 

  • Hebden, J.J. (1974). ‘A Complete Set of Dynamic Consumer Demand Equations’. PhD thesis, London School of Economics.

    Google Scholar 

  • Hendry, D.F. (1970). ‘The Estimation of Economic Models with Auto-Regressive Errors’. PhD thesis, London School of Economics.

    Google Scholar 

  • Hendry, D.F. (1976). ‘The Structure of Simultaneous Equations Estimators’. Journal of Econometrics, 4(1): 51–88.

    Article  Google Scholar 

  • Hendry, D.F. (1984). ‘Monte Carlo Experimentation in Econometrics’. Chapter 16 in Z. Griliches and M.D. Intriligator (eds) Handbook of Econometrics. Volume 2. Amsterdam: North-Holland: 937–976.

    Google Scholar 

  • Hendry, D.F. (2003). ‘J. Denis Sargan and the Origins of LSE Econometric Methodology’. Econometric Theory, 19(3): 457–480.

    Google Scholar 

  • Hendry, D.F. and J.A. Doornik (2014). Empirical Model Discovery and Theory Evaluation. Cambridge, MA: MIT Press.

    Google Scholar 

  • Hendry, D.F. and R.W. Harrison (1974). ‘Monte Carlo Methodology and the Small Sample Behaviour of Ordinary and Two-Stage Least Squares’. Journal of Econometrics, 2(2): 151–174.

    Article  Google Scholar 

  • Hendry, D.F. and G.E. Mizon (1978). ‘Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England’. Economic Journal, 88(351): 549–563.

    Google Scholar 

  • Hendry, D.F. and M.S. Morgan (eds) (1995). The Foundations of Econometric Analysis. Cambridge: Cambridge University Press.

    Google Scholar 

  • Hendry, D.F. and M.H. Pesaran (2001). ‘Introduction: A Special Issue in Memory of John Denis Sargan: Studies in Empirical Macroeconometrics’. Journal of Applied Econometrics, 16(3): 197–202.

    Article  Google Scholar 

  • Hendry, D.F. and P.C.B. Phillips. (2003). ‘John Denis Sargan, 1924–1996’. Proceedings of the British Academy, 120: Biographical Memoirs of Fellows, II, 385–409.

    Google Scholar 

  • Hendry, D.F. and F. Srba (1980). ‘AUTOREG: A Computer Program Library for Dynamic Econometric Models with Autoregressive Errors’. Journal of Econometrics, 12(1): 85–102.

    Article  Google Scholar 

  • Hendry, D.F. and P.K. Trivedi (1972). ‘Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study’. Review of Economic Studies, 39(2): 117–145.

    Article  Google Scholar 

  • Hendry, D.F. and K.F. Wallis (eds) (1984). Econometrics and Quantitative Economics. Oxford: Basil Blackwell.

    Google Scholar 

  • Hood, W.C. and T.C. Koopmans (eds) (1953). Studies in Econometric Method. Cowles Commission for Research in Economics, Monograph No. 14. New York: Wiley.

    Google Scholar 

  • Hooker, R.H. (1901). ‘Correlation of the Marriage-Rate with Trade’. Journal of the Royal Statistical Society, 64(3): 485–492.

    Google Scholar 

  • Hortala-Arau, J. (1966). ‘Capital Needs in a Developing Economy: Spain as a Case Study’. PhD thesis, London School of Economics.

    Google Scholar 

  • Hunter, J. (1989). ‘Dynamic Modelling of Expectations with Particular Reference to the UK Labour Market’. PhD thesis, London School of Economics.

    Google Scholar 

  • Koopmans, T.C. (ed.) (1950). Statistical Inference in Dynamic Economic Models. Cowles Commission for Research in Economics, Monograph No. 10. New York: Wiley.

    Google Scholar 

  • LeCam, L. (1986). Asymptotic Methods in Statistical Decision Theory. New York: Springer.

    Google Scholar 

  • LeCam, L. and G.L. Yang (1990). Asymptotics in Statistics: Some Basic Concepts. New York: Springer-Verlag.

    Google Scholar 

  • Maasoumi, E. (1977). ‘A Study of Improved Methods of Estimating Reduced Form Coefficients Based Upon 3SLS Estimators’. PhD thesis, London School of Economics.

    Google Scholar 

  • Maasoumi, E. (ed.) (1988). Contributions to Econometrics: John Denis Sargan. Two volumes. Cambridge, UK: Cambridge University Press.

    Google Scholar 

  • Mauleón Torres, I. (1983). ‘Approximations to the Finite Sample Distribution of Econometric Chi-Squared Criteria’. PhD thesis, London School of Economics.

    Google Scholar 

  • Mehta, K.B.J. (1979). ‘Maximum Likelihood Estimation of Economic Relationships Involving Unobservable Indicators’. PhD thesis, London School of Economics.

    Google Scholar 

  • Mikhail, W.M. (1969). ‘A Study of the Finite-Sample Properties of Some Econometric Estimators’. PhD thesis, London School of Economics.

    Google Scholar 

  • Mizon, G.E. (1972). ‘The Estimation of Vintage Capital Production Relations’. PhD thesis, London School of Economics.

    Google Scholar 

  • Mizon, G.E. (1977). ‘Model Selection Procedures’. Chapter 4 in M.J. Artis and A.R. Nobay (eds) Studies in Modern Economic Analysis. Oxford: Basil Blackwell: 97–120.

    Google Scholar 

  • Mizon, G.E. (1984). ‘The Encompassing Approach in Econometrics’. Chapter 6 in D.F. Hendry and K.F. Wallis (eds) Econometrics and Quantitative Economics. Oxford: Basil Blackwell: 135–172.

    Google Scholar 

  • Mizon, G.E. (1995). ‘A Simple Message for Autocorrelation Correctors: Don’t’. Journal of Econometrics, 69(1): 267–288.

    Article  Google Scholar 

  • Mizon, G.E. and D.F. Hendry (1980). ‘An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification’. Review of Economic Studies, 47(1): 21–45.

    Article  Google Scholar 

  • Mizon, G.E. and J.-F. Richard (1986). ‘The Encompassing Principle and Its Application to Testing Non-Nested Hypotheses’. Econometrica, 54(3): 657–678.

    Article  Google Scholar 

  • Nagar, A.L. (1959). ‘The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations’. Econometrica, 27(4): 575–595.

    Article  Google Scholar 

  • Pesaran, B. (1977). ‘Estimation of Dynamic Economic Models when Variables are Subject to Measurement Errors’. PhD thesis, London School of Economics.

    Google Scholar 

  • Phillips, A.W.H. (1958). ‘The Relation between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957’. Economica, New Series, 25(100): 283–299.

    Google Scholar 

  • Phillips, A.W.H. (1959). ‘The Estimation of Parameters in Systems of Stochastic Differential Equations’. Biometrika, 46(1/2): 67–76.

    Article  Google Scholar 

  • Phillips, A.W.H. (1966). ‘Estimation of Systems of Difference Equations with Moving Average Disturbances’. Walras-Bowley Lecture, Econometric Society, San Francisco. Reprinted as Chapter 45 in R. Leeson (ed.) A.W.H. Phillips: Collected Works in Contemporary Perspective (2000). Cambridge: Cambridge University Press: 423–444.

    Google Scholar 

  • Phillips, A.W.H. and M.H. Quenouille (1960). ‘Estimation, Regulation and Prediction in Interdependent Dynamic Systems’. Bulletin de l’Institute de Statistique, 37(2): 335–343.

    Google Scholar 

  • Phillips, P.C.B. (1972). ‘The Structural Estimation of a Stochastic Differential Equation System’. Econometrica, 40(6): 1021–1041.

    Article  Google Scholar 

  • Phillips, P.C.B. (1973). ‘The Problem of Identification in Finite Parameter Continuous Time Models’. Journal of Econometrics, 1(4): 351–362.

    Article  Google Scholar 

  • Phillips, P.C.B. (1974). ‘Problems in the Estimation of Continuous Time Models’. PhD thesis, London School of Economics.

    Google Scholar 

  • Phillips, P.C.B. (1977a). ‘Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation’. Econometrica, 45(2): 463–485.

    Article  Google Scholar 

  • Phillips, P.C.B. (1977b). ‘A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators’. Econometrica, 45(6): 1517–1534.

    Article  Google Scholar 

  • Phillips, P.C.B. (1980). ‘The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables’. Econometrica, 48(4): 861–878.

    Article  Google Scholar 

  • Phillips, P.C.B. (1985a). ‘The ET Interview: Professor J.D. Sargan’. Econometric Theory, 1(1): 119–139.

    Article  Google Scholar 

  • Phillips, P.C.B. (1985b). ‘The Exact Distribution of LIML: II’. International Economic Review, 26(1): 21–36.

    Article  Google Scholar 

  • Phillips, P.C.B. (1986). ‘Understanding Spurious Regressions in Econometrics’. Journal of Econometrics, 33(3): 311–340.

    Article  Google Scholar 

  • Phillips, P.C.B. (1987). ‘Time Series Regression with a Unit Root’. Econometrica, 55(2): 277–301.

    Article  Google Scholar 

  • Phillips, P.C.B. (1989). ‘Partially Identified Econometric Models’. Econometric Theory, 5(2): 181–240.

    Article  Google Scholar 

  • Phillips, P.C.B. (2003). ‘Vision and Influence in Econometrics: John Denis Sargan’. Econometric Theory, 19(3): 495–511.

    Google Scholar 

  • Ray, R. (1977). ‘Utility Maximisation and Consumer Demand with an Application to the United Kingdom, 1900–1970’. PhD thesis, London School of Economics.

    Google Scholar 

  • Reiersøl, O. (1941). ‘Confluence Analysis by Means of Lag Moments and Other Methods of Confluence Analysis’. Econometrica, 9(1): 1–24.

    Article  Google Scholar 

  • Robinson, P.M. (2003). ‘Denis Sargan: Some Perspectives’. Econometric Theory, 19(3): 481–494.

    Google Scholar 

  • Rothenberg, T.J. (1971). ‘Identification in Parametric Models’. Econometrica, 39(3): 577–591.

    Article  Google Scholar 

  • Rowley, J.C.R. (1969). ‘An Econometric Study of Fixed Capital Formation in the British Economy, 1956–1965’. PhD thesis, London School of Economics.

    Google Scholar 

  • Satchell, S.E. (1981). ‘Edgeworth Approximations in Linear Dynamic Models’. PhD thesis, London School of Economics.

    Google Scholar 

  • Smith, B.B. (1926). ‘Combining the Advantages of First-Difference and Deviation-from-Trend Methods of Correlating Time Series’. Journal of the American Statistical Association, 21(153): 55–59.

    Article  Google Scholar 

  • Staiger, D. and J.H. Stock (1997). ‘Instrumental Variables Regression with Weak Instruments’. Econometrica, 65(3): 557–586.

    Article  Google Scholar 

  • Sylwestrowicz, J.D. (1975). ‘Numerical Optimization of Non-linear Functions of Several Variables Using Random Search Techniques’. PhD thesis, London School of Economics.

    Google Scholar 

  • Tamer, E. (2010). ‘Partial Identification in Econometrics’. Annual Review of Economics, 2, 167–195.

    Article  Google Scholar 

  • Tinbergen, J. (1930). ‘Bestimmung und Deutung von Angebotskurven: Ein Beispiel’ [Determination and Interpretation of Supply Curves: An Example]. Zeitschrift für Nationalökonomie, Bd. 1(H.5 30): 669–679. Reprinted in English as Chapter 20 in D.F. Hendry and M.S. Morgan (eds) (1995) The Foundations of Econometric Analysis. Cambridge: Cambridge University Press: 233–246.

    Google Scholar 

  • Trivedi, P.K. (1969). ‘An Econometric Study of Inventory Behaviour in the UK Manufacturing Sector, 1956–1967’. PhD thesis, London School of Economics.

    Google Scholar 

  • Tse, Y.K. (1981). ‘Edgeworth Approximation to the Finite Sample Distribution of Econometric Estimators and Test Statistics’. PhD thesis, London School of Economics.

    Google Scholar 

  • Vernon, K. (1970). ‘An Econometric Study of Wage and Price Inflation in the United Kingdom for the Post-War Period’. PhD thesis, London School of Economics.

    Google Scholar 

  • Wegge, L.L. (1965). ‘Identification Criteria for a System of Equations as a Whole’. Australian Journal of Statistics, 7(3): 67–77.

    Article  Google Scholar 

  • Whittle, P. (1951). Hypothesis Testing and Time Series Analysis. Uppsala: Almquist and Wiksell.

    Google Scholar 

  • Williams, R.A. (1969). ‘An Econometric Study of Post-War Demand for Consumer Durables in the United Kingdom’. PhD thesis, London School of Economics.

    Google Scholar 

  • Wymer, C.R. (1970). ‘Econometric Estimation of Stochastic Differential Equation Systems with Applications to Adjustment Models of Financial Markets’. PhD thesis, London School of Economics.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Nuffield College, University of Oxford, Oxford, UK

    David F. Hendry

  2. Cowles Foundation for Research in Economics, Yale University, New Haven, CT, USA

    Peter C. B. Phillips

Authors
  1. David F. Hendry
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Peter C. B. Phillips
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to David F. Hendry .

Editor information

Editors and Affiliations

  1. Researcher in Economics, London, UK

    Robert A. Cord

Copyright information

© 2019 The Author(s)

About this chapter

Check for updates. Verify currency and authenticity via CrossMark

Cite this chapter

Hendry, D.F., Phillips, P.C.B. (2019). John Denis Sargan (1924–1996). In: Cord, R.A. (eds) The Palgrave Companion to LSE Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-58274-4_27

Download citation

  • DOI: https://doi.org/10.1057/978-1-137-58274-4_27

  • Published:

  • Publisher Name: Palgrave Macmillan, London

  • Print ISBN: 978-1-137-58273-7

  • Online ISBN: 978-1-137-58274-4

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

Publish with us

Policies and ethics

Search

Navigation