Tuesday, October 11, 2011

Sims and Sargent Win Economics Nobel

Was quite happy to read that Chris Sims had won it yesterday given that he has always been kind of a rockstar in econometrics. That's especially true when you consider how he provided policy makers in the beginning of the 80s with a simplified tool, the vector autoregression, to carry about their business. That was a huge improvement over the large and messy macro-econometric models like those built by Fair.

Incidentally, I was dragged into an econometrics symposium at the end of the 80s in Montreal by one of my university buddies where many of the discipline's Gods were meeting: Zellner, Pagan, Wallace, Geweke along with Sims, Sargent and more. There seemed to be some rivalry between Sims and Sargent and we got a little proof of that when Chris was running down his presentation. Indeed Sargent asked a question that appeared to me to be in quite an aggressive tone: What's the trace of this matrix? My friend too agreed that was rude but told me that she read in one of Sargent's book that he thanked Sims for teaching him all that he knows. Which is a bit what he said yesterday. He also doesn't seem to have any solution to the current global economic problems. I think we should have him as our next Financial Secretary.

And don't miss listening to Chris Sims talking to someone from the Nobel Foundation. Sounds a bit more down-to-earth.

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