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John Denis Sargan
John Denis Sargan, FBA (23 August 1924 – 13 April 1996) was a British econometrician who specialized in the analysis of economic time-series. Sargan was born in Doncaster, Yorkshire in 1924, and was educated at Doncaster Grammar School and St John's College, Cambridge. He 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. At the LSE, Sargan was Professor of Econometrics from 1964–1984.https://www.independent.co.uk/news/people/obituary--professor-denis-sargan-1305657.html Obituary: Professor Denis Sargan Friday, 19 April 1996 Sargan was President of the Econometric Society, a Fellow of the British Academy and an (honorary foreign) member of the American Academy of Arts ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Doncaster
Doncaster (, ) is a city in South Yorkshire, England. Named after the River Don, it is the administrative centre of the larger City of Doncaster. It is the second largest settlement in South Yorkshire after Sheffield. Doncaster is situated in the Don Valley on the western edge of the Humberhead Levels and east of the Pennines. At the 2021 census, the city had a population of 308,100, while its built-up area had a population of 158,141 at the 2011 census. Sheffield lies south-west, Leeds north-west, York to the north, Hull north-east, and Lincoln south-east. Doncaster's suburbs include Armthorpe, Bessacarr and Sprotbrough. The towns of Bawtry, Mexborough, Conisbrough, Hatfield and Stainforth, among others, are only a short distance away within the metropolitan borough. The towns of Epworth and Haxey are a short distance to the east in Lincolnshire, and directly south is the town of Harworth Bircotes in Nottinghamshire. Also, within the city's vicinity are Barnsley, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Edgeworth Expansion
The Gram–Charlier A series (named in honor of Jørgen Pedersen Gram and Carl Charlier), and the Edgeworth series (named in honor of Francis Ysidro Edgeworth) are series that approximate a probability distribution in terms of its cumulants. The series are the same; but, the arrangement of terms (and thus the accuracy of truncating the series) differ. The key idea of these expansions is to write the characteristic function of the distribution whose probability density function is to be approximated in terms of the characteristic function of a distribution with known and suitable properties, and to recover through the inverse Fourier transform. Gram–Charlier A series We examine a continuous random variable. Let \hat be the characteristic function of its distribution whose density function is , and \kappa_r its cumulants. We expand in terms of a known distribution with probability density function , characteristic function \hat, and cumulants \gamma_r. The density is generally ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
American Academy Of Arts And Sciences
The American Academy of Arts and Sciences (abbreviation: AAA&S) is one of the oldest learned societies in the United States. It was founded in 1780 during the American Revolution by John Adams, John Hancock, James Bowdoin, Andrew Oliver, and other Founding Fathers of the United States. It is headquartered in Cambridge, Massachusetts. Membership in the academy is achieved through a thorough petition, review, and election process. The academy's quarterly journal, ''Dædalus'', is published by MIT Press on behalf of the academy. The academy also conducts multidisciplinary public policy research. History The Academy was established by the Massachusetts legislature on May 4, 1780, charted in order "to cultivate every art and science which may tend to advance the interest, honor, dignity, and happiness of a free, independent, and virtuous people." The sixty-two incorporating fellows represented varying interests and high standing in the political, professional, and commercial secto ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
British Academy
The British Academy is the United Kingdom's national academy for the humanities and the social sciences. It was established in 1902 and received its royal charter in the same year. It is now a fellowship of more than 1,000 leading scholars spanning all disciplines across the humanities and social sciences and a funding body for research projects across the United Kingdom. The academy is a self-governing and independent registered charity, based at 10–11 Carlton House Terrace in London. The British Academy is funded with an annual grant from the Department for Business, Innovation and Skills (BIS). In 2014–15, the British Academy's total income was £33,100,000, including £27,000,000 from BIS. £32,900,000 was distributed during the year in research grants, awards and charitable activities. Purposes The academy states that it has five fundamental purposes: * To speak up for the humanities and the social sciences * To invest in the very best researchers and research * To i ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometric Society
The Econometric Society is an international society of academic economists interested in applying statistical tools to their field. It is an independent organization with no connections to societies of professional mathematicians or statisticians. It was founded on December 29, 1930, at the Statler Hotel in Cleveland, Ohio. Its first president was Irving Fisher. As of 2014, there are about 700 Elected Fellows of the Econometric Society, making it one of the most prevalent research affiliations. New fellows are elected each year by the current fellows. The sixteen founding members were Ragnar Frisch, Charles F. Roos, Joseph A. Schumpeter, Harold Hotelling, Henry Schultz, Karl Menger, Edwin B. Wilson, Frederick C. Mills, William F. Ogburn, J. Harvey Rogers, Malcolm C. Rorty, Carl Snyder, Walter A. Shewhart, Øystein Ore, Ingvar Wedervang and Norbert Wiener. The first president was Irving Fisher. The Econometric Society sponsors the Economics academic journal ''Economet ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Moving Average
In statistics, a moving average (rolling average or running average) is a calculation to analyze data points by creating a series of averages of different subsets of the full data set. It is also called a moving mean (MM) or rolling mean and is a type of finite impulse response filter. Variations include: simple, cumulative, or weighted forms (described below). Given a series of numbers and a fixed subset size, the first element of the moving average is obtained by taking the average of the initial fixed subset of the number series. Then the subset is modified by "shifting forward"; that is, excluding the first number of the series and including the next value in the subset. A moving average is commonly used with time series data to smooth out short-term fluctuations and highlight longer-term trends or cycles. The threshold between short-term and long-term depends on the application, and the parameters of the moving average will be set accordingly. It is also used in economics ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Autoregressive
In statistics, econometrics and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it is used to describe certain time-varying processes in nature, economics, etc. The autoregressive model specifies that the output variable depends linearly on its own previous values and on a stochastic term (an imperfectly predictable term); thus the model is in the form of a stochastic difference equation (or recurrence relation which should not be confused with differential equation). Together with the moving-average (MA) model, it is a special case and key component of the more general autoregressive–moving-average (ARMA) and autoregressive integrated moving average (ARIMA) models of time series, which have a more complicated stochastic structure; it is also a special case of the vector autoregressive model (VAR), which consists of a system of more than one interlocking stochastic difference equation in more than one evolving random vari ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Unit Root
In probability theory and statistics, a unit root is a feature of some stochastic processes (such as random walks) that can cause problems in statistical inference involving time series models. A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. Such a process is non-stationary but does not always have a trend. If the other roots of the characteristic equation lie inside the unit circle—that is, have a modulus (absolute value) less than one—then the first difference of the process will be stationary; otherwise, the process will need to be differenced multiple times to become stationary. If there are ''d'' unit roots, the process will have to be differenced ''d'' times in order to make it stationary. Due to this characteristic, unit root processes are also called difference stationary. Unit root processes may sometimes be confused with trend-stationary processes; while they share many properties, they are different in many asp ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Exact Test
In statistics, an exact (significance) test is a test such that if the null hypothesis is true, then all assumptions made during the derivation of the distribution of the test statistic are met. Using an exact test provides a significance test that maintains the type I error rate of the test (\alpha) at the desired significance level of the test. For example, an exact test at a significance level of \alpha = 5\%, when repeated over many samples where the null hypothesis is true, will reject at most 5\% of the time. This is in contrast to an ''approximate test'' in which the desired type I error rate is only approximately maintained (i.e.: the test might reject > 5% of the time), while this approximation may be made as close to \alpha as desired by making the sample size sufficiently large. Exact tests that are based on discrete test statistics may be conservative, indicating that the actual rejection rate lies below the nominal significance level \alpha. As an example, this is t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Homoskedastic
In statistics, a sequence (or a vector) of random variables is homoscedastic () if all its random variables have the same finite variance. This is also known as homogeneity of variance. The complementary notion is called heteroscedasticity. The spellings ''homoskedasticity'' and ''heteroskedasticity'' are also frequently used. Assuming a variable is homoscedastic when in reality it is heteroscedastic () results in unbiased but inefficient point estimates and in biased estimates of standard errors, and may result in overestimating the goodness of fit as measured by the Pearson coefficient. The existence of heteroscedasticity is a major concern in regression analysis and the analysis of variance, as it invalidates statistical tests of significance that assume that the modelling errors all have the same variance. While the ordinary least squares estimator is still unbiased in the presence of heteroscedasticity, it is inefficient and generalized least squares should be used i ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
