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- W1552649467 abstract "Lars Peter Hansen (L.P.H.): As a graduate student at the University of Minnesota, I had the opportunity to take classes from Chris Sims and Tom Sargent. Both emphasized the idea that dynamic econometric models should be viewed as restrictions on stochastic processes. Sims’s classroom development of largesample econometrics broke with the more conventional view of the time of focusing on models with exogenous regressors or instrumental variables (IVs). His work on causality had emphasized the testable restrictions on stochastic processes of the notion of strict exogeneity. The idea of embedding estimation and testing problems with a stochastic process framework proved to be a very useful starting point. Although this is common in econometrics today, it was not at the time I was a graduate student. I was exposed to nonlinear estimation and testing problems in Sims’s graduate course. Sims loved to experiment with new material and proofs in class, and I learned much from lling in details and some holes in lecture notes. His nonconventional teaching style was valuable for me. While I was working on my dissertation on exhaustible resources, I became interested in central limit theory for temporally dependent processes. This interest predated the excellent book by Hall and Heyde (1980). Sims had made reference to work by Scott (1973), but the central paper for me was that of Gordin (1969). (Scott indeed cites Gordin, which is how I became familiar with that work.) Gordin showed how to construct a martingale approximation to a wide class of stationary ergodic processes. It thus extended the applicability of earlier martingale central limit theory by Billingsley (1961) and others to processes with a rich temporal dependence structure." @default.
- W1552649467 created "2016-06-24" @default.
- W1552649467 date "2002-10-01" @default.
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- W1552649467 title "Interview With Lars Peter Hansen" @default.
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- W1552649467 doi "https://doi.org/10.1198/073500102288618577" @default.
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