Saturday, March 24, 2018

An excerpt from "Inside the Economist's Mind: Conversations with Eminent Economists," Edited by Paul A. Samuelson and William A. Barnett


Lars Peter Hansen: How were these papers originally received? They must have looked technically intimidating to many economists at the time.

Christopher A. Sims: Well I think at the time a lot of people didn’t read them. So they didn’t get intimidated. The paper [Sims (1971c)] on continuous and discrete approximation was submitted to Econometica for consideration. The less sympathetic referee report claimed that everything done in the paper had already been done before. While Dale Jorgenson had previously discussed the rational approximation of lag distributions, the implied sense of approximation was too weak for statistical approximation. This issue had nothing to do with continuous- and discrete-time approximation, however. So, the referee hadn’t even realized that there was a difference between approximation of a lag distribution and approximation of a continuous-time model by the estimated discrete- time model.

Since the work on infinite-dimensional spaces was technically beyond what was appearing in economics journals, I sent Sims (1971d) to the Annals of Mathematical Statistics. After what, for an economics journal, was a relatively short time, the editor wrote: “Sorry it’s taken so long. I had a hard time finding any referees. Here’s a referee report.” The referee report said, “I really don’t understand what this paper is about, but I’ve checked some of the theorems and they seem to be correct, so I guess we should publish it.”

At the time I don’t think that many econometricans [sic] or economists read it. Tom Sargent was an exception. He read my papers on approximating continuous-time models and my Journal of the American Statistical Association paper [Sims (1974e)] on approximation of discrete-time distributed-lag models that use frequency-domain methods, and he became a promoter of them. Tom was, of course, an important reader, and his influence got the work some attention, but it’s true that most economists found these methods hard to follow.

Hansen: Your first job was as an assistant professor at Harvard. What was it like being a junior faculty member there?

Sims: It was probably not that much different from being a junior faculty member almost anywhere. Harvard was certainly different from Minnesota where I moved to later, though. I actually contemplated leaving Harvard immediately for Minnesota, when I finished my Ph.D. The reason I didn’t was that they announced, during the time when I was finishing my degree, that they were hiring Griliches and Jorgenson. I thought it would be interesting to overlap with them for a little while, and it was. But after two years there, I decided to move to Minnesota, which was a much livelier place. There was a sense of intellectual excitement at Minnesota that I didn’t have at Harvard at that time.

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