Details about J. Denis Sargan

This author is deceased (1996-04-13).

Access statistics for papers by J. Denis Sargan.

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Short-id: psa394

Working Papers

1992

1. A comparison of different methods of estimating and testing the especification of rational expectation models with one endogeneus and one exogenus variable
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

1974

2. The Moments of the 3SLS Estimates of the Structural Coefficients of a Simultaneous Equation Model
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

Journal Articles

2003

1. CURRENT PROBLEMS IN ECONOMETRICS— A PERSONAL VIEW: Address on the Occasion of the Investiture of Professor John Denis Sargan with the Degree of Doctor Honoris Causa of the University Carlos III, 2 February 1993
   Econometric Theory, 2003, 19, (3), 423-428
2. THE DEVELOPMENT OF ECONOMETRICS AT LSE IN THE LAST 30 YEARS
   Econometric Theory, 2003, 19, (3), 429-438

2001

3. MODEL BUILDING AND DATA MINING
   Econometric Reviews, 2001, 20, (2), 159-170 View citations (1)
4. THE CHOICE BETWEEN SETS OF REGRESSORS
   Econometric Reviews, 2001, 20, (2), 171-186 View citations (3)

1990

5. Imhof Approximations to Econometric Estimators
   The Review of Economic Studies, 1990, 57, (4), 627-646 View citations (1)

1986

6. A Theorem of Validity for Edgeworth Expansions
   Econometrica, 1986, 54, (1), 189-213 View citations (2)

1983

7. A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification
   Econometrica, 1983, 51, (5), 1551-67 View citations (4)
8. Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
   Econometrica, 1983, 51, (6), 1635-59 View citations (166)
   See also Chapter ESTIMATING DYNAMIC RANDOM EFFECTS MODELS FROM PANEL DATA COVERING SHORT TIME PERIODS, World Scientific Book Chapters, 2006, 3-27 (2006) (2006)
9. Identification and Lack of Identification
   Econometrica, 1983, 51, (6), 1605-33 View citations (80)
10. Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle
    Econometrica, 1983, 51, (3), 799-820 View citations (50)
11. Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
    Econometrica, 1983, 51, (1), 153-74 View citations (254)

1981

12. Identification in models with autoregressive errors
    Journal of Econometrics, 1981, 16, (1), 160-161 View citations (2)

1980

13. A Model of Wage-Price Inflation
    The Review of Economic Studies, 1980, 47, (1), 97-112 View citations (24)
14. Some Approximations to the Distribution of Econometric Criteria Which are Asymptotically Distributed as Chi-Squared
    Econometrica, 1980, 48, (5), 1107-38 View citations (14)
15. Some Tests of Dynamic Specification for a Single Equation
    Econometrica, 1980, 48, (4), 879-97 View citations (56)
16. The Consumer Price Equation in the Post War British Economy: An Exercise in Equation Specification Testing
    The Review of Economic Studies, 1980, 47, (1), 113-135 View citations (15)

1978

17. On the Existence of the Moments of 3SLS Estimators
    Econometrica, 1978, 46, (6), 1329-50 View citations (4)

1977

18. The Spectral Estimation of Simultaneous Equation Systems with Lagged Endogenous Variables
    International Economic Review, 1977, 18, (3), 583-605 View citations (13)

1976

19. Econometric Estimators and the Edgeworth Approximation
    Econometrica, 1976, 44, (3), 421-48 View citations (46)

1975

20. Asymptotic Theory and Large Models
    International Economic Review, 1975, 16, (1), 75-91 View citations (10)
21. Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators
    Econometrica, 1975, 43, (2), 327-46 View citations (17)

1974

22. Missing Data in an Autoregressive Model
    International Economic Review, 1974, 15, (1), 39-58 View citations (16)
23. The Validity of Nagar's Expansion for the Moments of Econometric Estimators
    Econometrica, 1974, 42, (1), 169-76 View citations (14)

1971

24. A General Approximation to the Distribution of Instrumental Variables Estimates
    Econometrica, 1971, 39, (1), 131-69 View citations (19)

Chapters

2006

1. ESTIMATING DYNAMIC RANDOM EFFECTS MODELS FROM PANEL DATA COVERING SHORT TIME PERIODS
   Chapter 1 in Econometrics, Statistics And Computational Approaches In Food And Health Sciences, 2006, pp 3-27
   See also Journal Article Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods, Econometric Society (1983) View citations (166) (1983)

1984

2. Dynamic specification
   Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 View citations (151)