Thomas Sargent was awarded the Nobel Prize in Economics in 2011 together with Christopher A. Sims "for their empirical research on cause and effect in the macroeconomy"

Fellow laureate Krugman: "S and S played a key role in developing methods that let the data speak instead": http://krugman.blogs.nytimes.com/2011/10/10/go-princeton-and...

The models here however aren't econometric, they are for theoretical economics. The Kalman filter can be used for 10001 different things.