The Nobel Memorial Prize for Robert F. Engle

Francis Diebold

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship to causality, and his later stunningly influential work on common trend modeling (cointegration) and volatility modeling (ARCH, short for AutoRegressive Conditional Heteroskedasticity). More generally, Engle’s cumulative work is a fine example of best-practice applied time-series econometrics: he identifies important dynamic economic phenomena, formulates precise and interesting questions about those phenomena, constructs sophisticated yet simple econometric models for measurement and testing, and consistently obtains results of widespread substantive interest in the scientific, policy, and financial communities.

Keywords: Econometric Theory; Finance (search for similar items in EconPapers)
JEL-codes: B31 C10 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2004-02-01
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin, nep-his and nep-hpe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Related works:
Journal Article: The Nobel Memorial Prize for Robert F. Engle (2004)
Working Paper: The Nobel Memorial Prize for Robert F. Engle (2004)
Working Paper: The Nobel Memorial Prize for Robert F. Engle (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:04-010

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