Vision and Influence in Econometrics: John Denis Sargan
Peter C. B. Phillips
Yale University - Cowles Foundation; University of Auckland; University of Southampton; Singapore Management University - School of Economics
Cowles Foundation Discussion Paper No. 1393
Denis Sargan's intellectual influence in econometrics is discussed and some of his visions for the future of econometrics are considered in this memorial article. One of Sargan's favorite topics in econometric theory was finite sample theory, including both exact theory and various types of asymptotic expansions. We provide some summary discussion of asymptotic expansions of the type that Sargan developed in this field and give explicit representations of Sargan's formula for the Edgeworth expansion in the case of an econometric estimator that can be written as a smooth function of sample moments whose distributions themselves have Edgeworth expansions.
Number of Pages in PDF File: 20
Keywords: Academic Bodhisattva, Asymptotic Expansion, Bodhicitta, Edgeworth, Finite Sample Theory, Intellectual Influence, Vision
JEL Classification: B23, C22, C30working papers series
Date posted: January 24, 2003
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