COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1393

Vision and Influence in Econometrics: John Denis Sargan

Peter C. B. Phillips
Cowles Foundation, Yale University, University of Auckland & University of York

January 2003

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.

Key words and Phrases: Academic bodhisattva, asymptotic expansion, bodhicitta, Edgeworth, finite sample theory, intellectual influence, vision

JEL Classification: B23, C22, C30