Vision and Influence in Econometrics: John Denis Sargan
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.
Phillips, Peter C.B., "Vision and Influence in Econometrics: John Denis Sargan" (2003). Cowles Foundation Discussion Papers. 1658.