John Denis Sargan, FBA (23 August 1924 – 13 April 1996) was a British econometrician who specialized in the analysis of economic

time-series In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. E ...

. Sargan was born in

Doncaster Doncaster ( ) is a city status in the United Kingdom, city in South Yorkshire, England. Named after the River Don, Yorkshire, River Don, it is the administrative centre of the City of Doncaster metropolitan borough, and is the second largest se ...

Yorkshire Yorkshire ( ) is an area of Northern England which was History of Yorkshire, historically a county. Despite no longer being used for administration, Yorkshire retains a strong regional identity. The county was named after its county town, the ...

in 1924, and was educated at Doncaster Grammar School and

St John's College, Cambridge St John's College, formally the College of St John the Evangelist in the University of Cambridge, is a Colleges of the University of Cambridge, constituent college of the University of Cambridge, founded by the House of Tudor, Tudor matriarch L ...

. He made many contributions, notably in

instrumental variables In statistics, econometrics, epidemiology and related disciplines, the method of instrumental variables (IV) is used to estimate causal relationships when controlled experiments are not feasible or when a treatment is not successfully delivered to ...

estimation Estimation (or estimating) is the process of finding an estimate or approximation, which is a value that is usable for some purpose even if input data may be incomplete, uncertain, or unstable. The value is nonetheless usable because it is d ...

, Edgeworth expansions for the distributions of econometric estimators, identification conditions in

simultaneous equations In mathematics, a set of simultaneous equations, also known as a system of equations or an equation system, is a finite set of equations for which common solutions are sought. An equation system is usually classified in the same manner as single e ...

models, asymptotic tests for overidentifying restrictions in

homoskedastic In statistics, a sequence of random variables is homoscedastic () if all its random variables have the same finite variance; this is also known as homogeneity of variance. The complementary notion is called heteroscedasticity, also known as hete ...

equations and

exact test An exact (significance) test is a statistical test such that if the null hypothesis is true, then all assumptions made during the derivation of the distribution of the test statistic are met. Using an exact test provides a significance test that ...

s for

unit root In probability theory and statistics, a unit root is a feature of some stochastic processes (such as random walks) that can cause problems in statistical inference involving time series models. A linear stochastic process has a unit root if ...

s in

autoregressive In statistics, econometrics, and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it can be used to describe certain time-varying processes in nature, economics, behavior, etc. The autoregre ...

and

moving average In statistics, a moving average (rolling average or running average or moving mean or rolling mean) is a calculation to analyze data points by creating a series of averages of different selections of the full data set. Variations include: #Simpl ...

models. At the LSE, Sargan was Professor of Econometrics from 1964–1984. Sargan was

President President most commonly refers to: *President (corporate title) * President (education), a leader of a college or university *President (government title) President may also refer to: Arts and entertainment Film and television *'' Præsident ...

of the

Econometric Society The Econometric Society is an international society of academic economists interested in applying statistical tools in the practice of econometrics. It is an independent organization with no connections to societies of professional mathematicians o ...

, a Fellow of the

British Academy The British Academy for the Promotion of Historical, Philosophical and Philological Studies is the United Kingdom's national academy for the humanities and the social sciences. It was established in 1902 and received its royal charter in the sa ...

and an (honorary foreign) member of the

American Academy of Arts and Sciences The American Academy of Arts and Sciences (The Academy) is one of the oldest learned societies in the United States. It was founded in 1780 during the American Revolution by John Adams, John Hancock, James Bowdoin, Andrew Oliver, and other ...

. His influence on econometric methodology is evident in several fields including in the development of Generalized Method of Moments estimators.

Selected publications

* * Sargan, J. D. (1964). "Wages and Prices in the United Kingdom: A Study in Econometric Methodology", 16, 25–54. in ''Econometric Analysis for National Economic Planning'', ed. by P. E. Hart, G. Mills, and J. N. Whittaker. London: Butterworths * Published posthumously * Sargan, J. D. (2001). "The Choice Between Sets of Regressors." Econometric Reviews 20(2). * Sargan, J. D. (2001). "Model Building and Data Mining." Econometric Reviews 20(2): 159-170. * Sargan, J. D. (2003). "The Development of Econometrics at LSE in the Last 30 Years." Econometric Theory 19(3): 429-438.

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External links

* 1924 births 1996 deaths Alumni of St John's College, Cambridge Fellows of the Econometric Society Presidents of the Econometric Society Fellows of the British Academy Academics of the London School of Economics English statisticians 20th-century English mathematicians 20th-century British economists People from Doncaster {{UK-economist-stub

Selected publications

References

Further reading

External links