The editors of The Econometrics Journal decided that the 2019 Denis Sargan Econometrics Prize will be awarded to Art?ras Juodis (University of Amsterdam) for his article “Optimal panel unit root testing with covariates” with Joakim Westerlund in the January 2019 issue of The Econometrics Journal (https://doi.org/10.1111/ectj.12118).
Art?ras and Joakim’s prize winning article derives asymptotic power envelopes for panel root tests with covariates. It demonstrates that the power of panel unit root tests improves considerably if covariates correlated with the tested series are included. One key and novel result is that, even in the presence of incidental trends, these tests can have non-neglible power in N -1/2T -1-neighborhoods of the unit root null, as in the case without such trends. So, covariates solve the important “incidental trends problem” that, without covariates, N -1/4T -1-neighborhoods are required. The article aids empirical researchers who wish to leverage these results by proposing a simple, feasible test and showing how this test can be adapted to incorporate various features of the data in a typical application, testing for purchasing power parity. It demonstrates its applied relevance by showing that, in this application, the additional precision from using covariates substantially affects the conclusions.
The 2019 Denis Sargan Econometrics Prize will be presented to Art?ras Juodis at the start of Guido Imbens’s Sargan lecture at the online 2021 Royal Economic Society Conference, on Tuesday 13 April 2021 at 17:15 GMT. We will also take that opportunity to celebrate that Matt Goldman and David Kaplan won the 2018 Denis Sargan Econometrics Prize, which was supposed to be awarded at the cancelled 2020 Conference.
The Denis Sargan Econometrics Prize was introduced in 2011 by The Econometrics Journal on behalf of the Royal Economic Society. It is awarded for the best (unsolicited) article published in The Econometrics Journal in a given year by anyone who is within five years of receiving their doctorate. An honorarium of £1000 is awarded to the winning author.
Note: The Denis Sargan Econometrics Prize may be awarded for articles coauthored with senior researchers, provided that the junior author(s) contributed at least equally. In those cases, the Prize is only given to the eligible, junior author(s).
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