The waiting is over - the 2013 Nobel in Economics was announced this morning! Most deservedly, it has been awarded to Eugene F. Fama (U. Chicago), Lars Peter Hansen (U. Chicago), and Robert J. Shiller (Yale U.). The citation says: "For their empirical analysis of asset prices".
For more details, see here.
It's really nice to see the recognition of empirical research.
And let's not forget that Hansen gave us GMM estimation; and do you recall Shiller distributed lag models?
© 2013, David E. Giles
According to Tom Sargent, Shiller's thesis on the term structure of interest rates was also the first time the law of iterated expectations was introduced in applied econometrics--a tool that proved invaluable for estimating and testing rational expectations models.
ReplyDeleteAngelo - nice point!
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