J. denis sargan and the origins of lse econometric methodology

Econometric Theory

Volumn 19, Issue 3, 2003, Pages 457-480

  Hendry, David F ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3342993652     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466603193061     Document Type: Article

References (121)

1. Akaike, H. (1969) Fitting autoregressive models for prediction. Annals of the Institute of Statistical Mathematics 21, 243–247.
2. Allen, R.G.D. (1963) Mathematical Economics, 2nd ed. London: Macmillan.
3. Anderson, T.W. (1962) The choice of the degree of a polynomial regression as a multiple-decision problem. Annals of Mathematical Statistics 33, 255–265.
4. Anderson, T.W. (1971) The Statistical Analysis of Time Series. New York: Wiley.
5. Archibald, G.C. (1959) The state of economic science. British Journal for the Philosophy of Science 10, 58–69.
6. Atkinson, A.C. (1981) Likelihood ratios, posterior odds, and information criteria. Journal of Econometrics 16, 15–20.
7. Banerjee, A., J.J. Dolado, J.W. Galbraith, & D.F. Hendry (1993) Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press.
8. Bergstrom, A.R. (1962)A model of technical progress: The production function and cyclical growth. Economica 29, 357–370. Reprinted in A.R. Bergstrom, Continuous Time Modelling, pp.23–37 (Oxford: Oxford University Press, 1990).
9. Bergstrom, A.R. (1967) The Construction and Use of Economic Models. London: English Universities Press.
10. Bergstrom, A.R. & C.R. Wymer (1976)A model of disequilibrium neoclassical growth and its application to the United Kingdom. In A.R. Bergstrom (ed.), Statistical Inference in Continuous Time Econometric Models, pp.267–327. Amsterdam: North-Holland.
11. Blaug, M. (1980) The Methodology of Economics. Cambridge: Cambridge University Press.
12. Caldwell, B. (1982) Beyond Positivism: Economic Methodology in the Twentieth Century. London: Allen and Unwin.
13. Chow, G.C. (1960) Tests of equality between sets of coefficients in two linear regressions. Econometrica 28, 591–605.
14. Clements, M.P. & D.F. Hendry (1999) Forecasting Non-stationary Economic Time Series. Cambridge, Massachusetts: MIT Press.
15. Cochrane, D. & G.H. Orcutt (1949) Application of least squares regression to relationships containing auto-correlated error terms. Journal of the American Statistical Association 44, 32–61.
16. Coen, P.G., E.D. Gomme, & M.G. Kendall (1969) Lagged relationships in economic forecasting. Journal of the Royal Statistical Society, Series A 132, 133–163. Reprinted in T.C. Mills (ed.), Economic Forecasting(Edward Elgar, 1999).
17. Davidson, J.E.H., D.F. Hendry, F. Srba, & J.S. Yeo (1978) Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom. Economic Journal 88, 661–692. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
18. Desai, M.J., D.F. Hendry, & G.E. Mizon (1997) John Denis Sargan: An obituary. Economic Journal 107, 1121–1125.
19. Doornik, J.A. & H. Hansen (1994)A Practical Test for Univariate and Multivariate Normality. Discussion paper, Nuffield College.
20. Dunn, O.J. (1959) Confidence intervals for the means of dependent, normally distributed variables. Journal of the American Statistical Association 54, 613–621.
21. Durbin, J. & G.S. Watson (1950) Testing for serial correlation in least squares regression, part I. Biometrika 37, 409–428.
22. Durbin, J. & G.S. Watson (1951) Testing for serial correlation in least squares regression, part II. Biometrika 38, 159–178.
23. Engle, R.F. (1982) Autoregressive conditional heteroscedasticity, with estimates of the variance of United Kingdom inflation. Econometrica 50, 987–1007.
24. Engle, R.F. & C.W.J. Granger (1987) Cointegration and error correction: Representation, estimation, and testing. Econometrica 55, 251–276.
25. Engle, R.F., D.F. Hendry, & J.-F. Richard (1983) Exogeneity. Econometrica 51, 277–304. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press, 2000);and in N.R. Ericsson & J.S. Irons (eds.), Testing Exogeneity(Oxford: Oxford University Press, 1994).
26. Epstein, R. (1987)A History of Econometrics. Amsterdam: North-Holland.
27. Ericsson, N.R., J. Campos, & H.-A. Tran (1990)PC-GIVE and David Hendry's econometric methodology. Revista de Econometria 10, 7–117.
28. Ericsson, N.R., E. Maasoumi, & G.E. Mizon (2001)A retrospective on J. Denis Sargan. Econometric Reviews 20, 133–157.
29. 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.
30. Fisher, M.R. (1956) Exploration in saving behaviour. Oxford Bulletin of Economics and Statistics 18, 201–278.
31. Florens, J.-P. & M. Mouchart (1980) Initial and Sequential Reduction of Bayesian Experiments. Discussion paper 8015, CORE, Louvain-La-Neuve, Belgium.
32. Florens, J.-P. & M. Mouchart (1985) Conditioning in dynamic models. Journal of Time Series Analysis 6, 15–34.
33. Florens, J.-P., M. Mouchart, & J.-F. Richard (1974) Bayesian inference in errors-in-variables models. Journal of Multivariate Analysis 4, 419–452.
34. Florens, J.-P., M. Mouchart, & J.-F. Richard (1976) Likelihood Analysis of Linear Models. Discussion paper 7619, CORE, Louvain-La-Neuve, Belgium.
35. Florens, J.-P., M. Mouchart, & J.-M. Rolin (1990) Elements of Bayesian Statistics. New York: Marcel Dekker.
36. Gilbert, C.L. (1986) Professor Hendry's econometric methodology. Oxford Bulletin of Economics and Statistics 48, 283–307. Reprinted in C.W.J. Granger (ed.), Modelling Economic Series(Oxford: Clarendon Press, 1990).
37. Godfrey, L.G. (1978) Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica 46, 1303–1313.
38. Granger, C.W.J. (1981) Some properties of time series data and their use in econometric model specification. Journal of Econometrics 16, 121–130.
39. Granger, C.W.J. (1986) Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics 48, 213–228.
40. Granger, C.W.J. & P. Newbold (1977) The time series approach to econometric model building. In C.A. Sims (ed.), New Methods in Business Cycle Research, pp.7–21. Minneapolis: Federal Reserve Bank of Minneapolis.
41. Hannan, E.J. & B.G. Quinn (1979) The determination of the order of an autoregression. Journal of the Royal Statistical Society, Series B 41, 190–195.
42. Hayek, F.A. (1963) Studies in Philosophy, Politics, and Economics. London: Routledge and Kegan Paul.
43. Hendry, D.F. (1970) The Estimation of Economic Models with Autoregressive Errors. Ph.D. Thesis, London University.
44. Hendry, D.F. (1974) Stochastic specification in an aggregate demand model of the United Kingdom. Econometrica 42, 559–578. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
45. Hendry, D.F. (1977) On the time series approach to econometric model building. In C.A. Sims (ed.), New Methods in Business Cycle Research, pp.183–202. Minneapolis: Federal Reserve Bank of Minneapolis. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
46. Hendry, D.F. (1987) Econometric methodology: A personal perspective. In T.F. Bewley (ed.), Advances in Econometrics, Ch. 10. Cambridge: Cambridge University Press.
47. Hendry, D.F. [1993](2000) Econometrics: Alchemy or Science? Oxford: Blackwell Publishers. Reprint, Oxford: Oxford University Press.
48. Hendry, D.F. (1995a)Econometrics and business cycle empirics. Economic Journal 105, 1622–1636.
49. Hendry, D.F. (1995b)On the interactions of unit roots and exogeneity. Econometric Reviews 14, 383–419.
50. Hendry, D.F. (2001) Modelling UK inflation, 1875–1991. Journal of Applied Econometrics 16, 255–275.
51. Hendry, D.F. & G.J. Anderson (1977) Testing dynamic specification in small simultaneous systems: An application to a model of building society behaviour in the United Kingdom. In M.D. Intriligator (ed.), Frontiers in Quantitative Economics, vol. 3, pp.361–383. Amsterdam: North-Holland. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
52. Hendry, D.F. & H.-M. Krolzig (1999) Improving on “Data mining reconsidered” by K.D. Hoover & S.J. Perez. Econometrics Journal 2, 202–219.
53. Hendry, D.F. & H.-M. Krolzig (2001) Automatic Econometric Model Selection. London: Timberlake Consultants Press.
54. Hendry, D.F. & H.-M. Krolzig (2002) New developments in automatic general-to-specific modelling. In B.P. Stigum (ed.), Econometrics and the Philosophy of Economics. Princeton: Princeton University Press, forthcoming.
55. Hendry, D.F. & 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, 549–563. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
56. Hendry, D.F. & M.S. Morgan (1995) The Foundations of Econometric Analysis. Cambridge: Cambridge University Press.
57. Hendry, D.F., A.R. Pagan, & J.D. Sargan (1984) Dynamic specification. In Z. Griliches and M.D. Intriligator (eds.), Handbook of Econometrics, vol. 2, Ch. 18. Amsterdam: North-Holland. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
58. Hendry, D.F. & M.H. Pesaran (2001) Editors' introduction. Journal of Applied Econometrics 16, 197–202.
59. Hendry, D.F. & J.-F. Richard (1982) On the formulation of empirical models in dynamic econometrics. Journal of Econometrics 20, 3–33. Reprinted in C.W.J. Granger (ed.), Modelling Economic Series(Oxford: Clarendon Press, 1990); and in D.F. Hendry, Econometrics:Alchemy or Science? (Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press, 2000).
60. Hendry, D.F. & J.-F. Richard (1983) The econometric analysis of economic time series (with discussion). International Statistical Review 51, 111–163. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
61. Hendry, D.F. & P.K. Trivedi (1972) Maximum likelihood estimation of difference equations with moving-average errors: A simulation study. Review of Economic Studies 32, 117–145.
62. Hendry, D.F. & T. von Ungern-Sternberg (1981) Liquidity and inflation effects on consumers' expenditure. In A.S. Deaton (ed.), Essays in the Theory and Measurement of Consumers' Behaviour,pp.237–261. Cambridge: Cambridge University Press. Reprinted in D.F. Hendry, Econometrics: Alchemy or Science?(Oxford: Blackwell Publishers, 1993; Oxford: Oxford University Press,2000).
63. Hendry, D.F. & K.F. Wallis (eds.)(1984) Econometrics and Quantitative Economics. Oxford: Basil Blackwell.
64. Holt, C.C. (1969) Interactions with a fellow research engineer-economist. Reprinted in R. Leeson (ed.), A.W.H. Phillips: Collected Works in Contemporary Perspective, pp. 308–314 (Cambridge: Cambridge University Press, 2000).
65. Hoover, K.D. & S.J. Perez (1999) Data mining reconsidered: Encompassing and the general-to-specific approach to specification search. Econometrics Journal 2, 167–191.
66. Hoover, K.D. & S.J. Perez (2000) Truth and Robustness in Cross-Country Growth Regressions. Working paper, Economics Department, University of California, Davis.
67. Hutchison, T.W. (1938) The Significance and Basic Postulates of Economic Theory. London: Macmillan.
68. Johansen, S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231–254. Reprinted in R.F. Engle & C.W.J. Granger (eds.), Long-Run Economic Relationships, pp. 131–152 (Oxford: Oxford University Press, 1991).
69. Kiviet, J.F. (1986) On the rigor of some mis-specification tests for modelling dynamic relationships. Review of Economic Studies 53, 241–261.
70. Klappholz, K. & J. Agassi (1959) Methodological prescriptions in economics. Economica 26, 23–39.
71. Klein, L.R. (1953)A Textbook of Econometrics. Evanston, Illinois: Row, Peterson.
72. Klein, L.R., R.J. Ball, A. Hazlewood, & P. Vandome (1961) An Econometric Model of the UK. Oxford: Oxford University Press.
73. Kydland, F.E. & E.C. Prescott (1991) The econometrics of the general equilibrium approach to business cycles. Scandinavian Journal of Economics 93, 161–178.
74. Kydland, F.E. & E.C. Prescott (1996) The computational experiment: An econometric tool. Journal of Economic Perspectives 69–85.
75. Lakatos, I. (1974) Falsification and the methodology of scientific research programmes. In I. Lakatos & A. Musgrave (eds.), Criticism and the Growth of Knowledge, pp.91–196. Cambridge: Cambridge University Press.
76. Leeson, R. (ed.)(2000)A. W. H. Phillips: Collected Works in Contemporary Perspective. Cambridge: Cambridge University Press.
77. Lipsey, R.G. (1966) An Introduction to Positive Economics, 2nd ed. London: Weidenfeld and Nicholson.
78. Marglin, S.A. (1975) What do bosses do? part II. Review of Radical Political Economics 7, 20–37.
79. Mizon, G.E. (1974) The estimation of non-linear econometric equations: An application to the specification and estimation of an aggregate putty-clay relation for the U.K. Review of Economic Studies 41, 253–270.
80. Mizon, G.E. (1977a) Inferential procedures in nonlinear models: An application in a UK industrial cross section study of factor substitution and returns to scale. Econometrica 45, 1221–1242.
81. Mizon, G.E. (1977b)Model selection procedures. In M.J. Artis & A.R. Nobay (eds.), Studies in Modern Economic Analysis, pp.97–120. Oxford: Basil Blackwell.
82. Mizon, G.E. (1995) Progressive modelling of macroeconomic time series: The LSE methodology. In K.D. Hoover (ed.), Macroeconometrics: Developments, Tensions, and Prospects, pp.107–169. Dordrecht: Kluwer Academic Press.
83. Nerlove, M. & K.F. Wallis (1966) Use of the Durbin-Watson statistic in inappropriate situations. Econometrica 34, 235–238.
84. Pagan, A.R. & D.F. Nicholls (1976) Exact maximum likelihood estimation of regression models with finite order moving average errors. Review of Economic Studies 43, 383–387.
85. Phillips, A.W.H. (1954) Stabilization policy in a closed economy. Economic Journal 64, 290–333. Reprinted in R. Leeson, A.W.H. Phillips: Collected Works in Contemporary Perspective, pp. 133–168 (Cambridge: Cambridge University Press, 2000).
86. Phillips, A.W.H. (1957) Stabilization policy and the time form of lagged response. Economic Journal 67, 265–277. Reprinted in R. Leeson, A.W.H. Phillips: Collected Works in Contemporary Perspective, pp. 169–183 (Cambridge: Cambridge University Press, 2000).
87. 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 25, 283–299. Reprinted in R. Leeson, A.W.H. Phillips: Collected Works in Contemporary Perspective, pp. 243–260 (Cambridge: Cambridge University Press, 2000).
88. Phillips, A.W.H. & M.H. Quenouille (1960) Estimation, regulation, and prediction in interdependent dynamic systems. Bulletin de l'Institute de Statistique 37, 335–343. Reprinted in R. Leeson, A.W.H. Phillips: Collected Works in Contemporary Perspective, pp. 408–417 (Cambridge: Cambridge University Press, 2000).
89. Phillips, P.C.B. (1985) The ET interview: Professor J.D. Sargan. Econometric Theory 2, 119–139.
90. Phillips, P.C.B. (1994) Bayes models and forecasts of Australian macroeconomic time series. In C. Hargreaves (ed.), Non-stationary Time-Series Analyses and Cointegration. Oxford: Oxford University Press.
91. Phillips, P.C.B. (1995) Automated forecasts of Asia-Pacific economic activity. Asia-Pacific Economic Review 1, 92–102.
92. Phillips, P.C.B. (1996) Econometric model determination. Econometrica 64, 763–812.
93. Phillips, P.C.B. (2002) Laws and limits of econometrics. Sargan lecture, Royal Economic Society Conference, Warwick University.
94. Phillips, P.C.B. & M. Loretan (1991) Estimating long-run economic equilibria. Review of Economic Studies 58, 407–436.
95. Popper, K.R. (1959) The Logic of Scientific Discovery. New York: Basic Books.
96. Popper, K.R. (1963) Conjectures and Refutations. New York: Basic Books.
97. Qin, D. (1993) The Formation of Econometrics: A Historical Perspective. Oxford: Clarendon Press.
98. Ramsey, J.B. (1969) Tests for specification errors in classical linear least squares regression analysis. Journal of the Royal Statistical Society, Series B 31, 350–371.
99. Richard, J.-F. (1980) Models with several regimes and changes in exogeneity. Review of Economic Studies 47, 1–20.
100. Rissanen, J. (1978) Modeling by shortest data description. Automatica 14, 465–471.
101. Robbins, L. (1932) An Essay on the Nature and Significance of Economic Science. London: Macmillan.
102. Salmon, M. (1982) Error correction mechanisms. Economic Journal 92, 615–629.
103. Sargan, J.D. (1957) The danger of over-simplification. Oxford Bulletin of Economics and Statistics 19, 171–178.
104. 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, 91–105. Reprinted in J.D. Sargan, Contributions to Economics, E. Maasoumi (ed.), vol. 1, pp. 87–104 (Cambridge: Cambridge University Press, 1988).
105. Sargan, J.D. (1961) The maximum likelihood estimation of economic relationships with autoregressive residuals. Econometrica 29, 414–426. Reprinted in J.D. Sargan, Contributions to Economics,E. Maasoumi (ed.), vol. 1, pp. 105–117 (Cambridge: Cambridge University Press, 1988).
106. Sargan, J.D. (1964) Wages and prices in the United Kingdom: A study in econometric methodology (with discussion). In P.E. Hart, G. Mills, & J.K. Whitaker (eds.), Econometric Analysis for National Economic Planning, vol. 16 of Colston Papers, pp.25–63. London: Butterworth. Reprinted in D.F. Hendry & K.F. Wallis (eds.), Econometric sand Quantitative Economics, pp. 275–314 (Oxford: Basil Blackwell, 1984); and in J.D. Sargan, Contributions to Econometrics, E. Maasoumi (ed.), vol. 1, pp. 124–169 (Cambridge: Cambridge University Press, 1988).
107. Sargan, J.D. (1973) Model building and data mining. Paper presented to the Association of University Teachers of Economics Meeting, Manchester. Published in Econometric Reviews (2001), 20,159–170.
108. Sargan, J.D. (1975) Asymptotic theory and large models. International Economic Review 16, 75–91.
109. Sargan, J.D. (1980) Some tests of dynamic specification for a single equation. Econometrica 48, 879–897. Reprinted in J.D. Sargan, Contributions to Econometrics,E. Maasoumi (ed.), vol. 1, pp. 191–212.
110. Sargan, J.D. (1981) The choice between sets of regressors. Mimeo, Economics Department, London School of Economics. Published in Econometric Reviews (2001), 20, 171–186.
111. Sargan, J.D. (1988a)Contributions to Econometrics, E. Maasoumi (ed.),vols. 1 and 2. Cambridge: Cambridge University Press.
112. Sargan, J.D. (1988b)Lectures on Advanced Econometric Theory. Oxford: Basil Blackwell.
113. Sargan, J.D. & J.D. Sylwestrowicz (1976)COMFAC: Algorithm for Wald tests of common factors in lag polynomials. Users' manual, London School of Economics.
114. Schiff, A.F. & P.C.B. Phillips (2002) Forecasting New Zealand's real GDP. Zealand Economic Papers 34(2),159–182.
115. Schwarz, G. (1978) Estimating the dimension of a model. Annals of Statistics 6, 461–464.
116. Shibata, R. (1981) An optimal autoregressive spectral estimate. Annals of Statistics 9, 300–306.
117. Student (1908) On the probable error of the mean. Biometrika 6, 1–25.
118. Theil, H. (1961) Economic Forecasts and Policy, 2nd ed. Amsterdam: North-Holland.
119. Trivedi, P.K. (1970) The relation between the order-delivery lag and the rate of capacity utilization in the engineering industry in the United Kingdom, 1958–1967. Economica 37, 54–67.
120. Wald, A. (1947) Sequential Analysis. New York: Wiley.
121. White, H. (1980)A heteroskedastic-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817–838.