This retrospective provides a biographical history of Denis Sargan's career and reviews his contributions to econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography for Denis and a list of PhD theses that he...

a speech at the Annual Meeting of the American Economic Association, Philadelphia, Pennsylvania

a speech at the Massachusetts Institute of Technology 2006 commencement, Cambridge, Massachusetts

Even though pieces of empirical evidence individually may corroborate an economic theory, their joint existence may refute that same theory. We discuss examples concerning testing for omitted variables, simultaneity, and rational expectations in the context of general-to-simple versus...

This paper presents a method for solving a system of first order linear differential equations with constant coefficients when the elements of the forcing vector are step functions. The analysis presented in the text has been programmed for use in the computer simulation of linear continuous...

In this paper I generalize the standard simultaneous equations model by allowing the innovations of the structural equations to exhibit Generalized Autoregressive Conditional Heteroskedasticity (GARCH). I refer to this new specification as the SEM-GARCH model. I develop two estimation...