John Denis Sargan (1924–1996) was a British econometrician who specialized in the analysis of economic time-series. Sargan made many contributions, notably in instrumental variables estimation, Edgeworth expansions for the distributions of econometric estimators, identification conditions in simultaneous equations models, asymptotic tests for overidentifying restrictions in homoskedastic equations and exact tests for unit roots in autoregressive and moving average models (co-authored with Alok Bhargava). At the LSE, Sargan was Professor of Econometrics from 1964-84. Sargan was President of the Econometric Society, a Fellow of the British Academy and an (honorary foreign) member of the American Academy of Arts and Sciences.
Sargan is known for having been doctoral advisor to several renowned econometricians. These include Alok Bhargava, David Forbes Hendry, Esfandiar Maasoumi, and Peter C.B. Phillips. His influence on econometric methodology is evident in several fields including in the development of Generalized Method of Moments estimators.
- Sargan, J. D. (1958). The estimation of economic relationships using instrumental variables. Econometrica, 393-415.
- 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
- Sargan, J. D. (1980). "Some Tests of Dynamic Specification for a Single Equation." Econometrica 48(4): 879-897.
- 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.
- http://www.independent.co.uk/news/people/obituary--professor-denis-sargan-1305657.html Obituary: Professor Denis Sargan Friday, 19 April 1996
- Hendry, David; Phillips, Peter (2003). "John Denis Sargan 1924-1996". Proceedings of the British Academy. Biographical Memoirs of Fellows II 120: 385–409.
- Phillips, P. C. (2003). "Vision and influence in econometrics: John Denis Sargan". Econometric Theory 19 (3): 495–512. doi:10.1017/S0266466603193085.
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