Editors select winner of 2022 Denis Sargan Econometrics Prize

The editors of The Econometrics Journal decided that the 2022 Denis Sargan Econometrics Prize will be awarded to Chiara Casoli (Fondazione Eni Enrico Mattei, Milan) for her article “Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices” with Riccardo (Jack) Lucchetti in the May 2022 issue of The Econometrics Journal (https://doi.org/10.1093/ectj/utab034).

Chiara and Jack’s prize winning article develops a cointegration-based Permanent-Transitory decomposition for nonstationary dynamic factor models. Its novel idea is to first leverage the cointegration properties of the observed series in their Permanent-Transitory decomposition and then apply dynamic factor analysis to the resulting stationary series. The paper shows by simulation that this method extracts the factor structure better than a common alternative that does not use the cointegration properties of the observed series, but applies dynamic factor analysis to their first differences. It then demonstrates the empirical usefulness of the proposed method with an empirical analysis of the comovement of commodity prices.

The 2022 Denis Sargan Econometrics Prize will be presented to Chiara Casoli on 4 April 2023, at the gala dinner of the 2023 Royal Economic Society Conference in Glasgow.

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. 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).

The May 2022 editorial of The Econometrics Journal reports on the first ten years of Denis Sargan Econometrics Prizes (https://doi.org/10.1093/ectj/utac014).