Econometric Theory


Peter C.B.  Phillips  a1 c1
a1 Cowles Foundation, Yale University; University of Auckland; University of York

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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. a

A student is like green grass and a great teacher is like the spring sun. The benefit from the sun is infinite, and little grass can hardly pay it back, although it tries its best.

—Chinese saying

c1 Address correspondence to: Peter C.B. Phillips, Yale University/Cowles Foundation, 30 Hillhouse Ave., New Haven, CT 06511, USA; e-mail:


a Parts of Section 1 were presented in March 2002 in the author's Sargan Lecture at the Royal Economics Society Conference, Warwick, UK. My thanks go to John Chao, David Hendry, Essie Maasoumi, Peter Robinson, and Katsumi Shimotsu for helpful comments on the original version of this paper. I learned the Chinese saying that heads this article from Sainan Jin. Thanks also go to the NSF for research support under grant SES 00-92509.