DOCSLIB.ORG

Selected Readings

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Selected Readings SELECTED READINGS Focus on: Arnold Zellner October 2012 1 Selected Readings –October 2012 INDEX INTRODUCTION............................................................................................................. 8 1. WORKING PAPERS AND ARTICLES .............................................................. 10 1.1. A. Zellner, “Models, Prior Information, and Bayesian Analysis,” Journal of Econometrics, 75, 1, 1996, 51-68. ........................................................... 10 1.2. A. Zellner, “Past, Present and Future of Econometrics,” Journal of Statistical Planning and Inference, 49, 1996, 3-8, reprinted with commentary in Medium Econometrische Toepassingen (MET), 14, 2, 2006, 2-9. ..................... 10 1.3. A. Zellner, “The Bayesian Method of Moments (BMOM): Theory and Applications,” Advances in Econometrics, 12, 1997, 85-105.................................. 11 1.4. A. Zellner, J. Tobias and H. Ryu, “Bayesian Method of Moments (BMOM) Analysis of Parametric and Semiparametric Regression Models”. ..... 11 1.5. A. Zellner and J. Tobias, “Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model,” April 1997. Paper presented at the Econometric Society Meeting, Caltech, June 1997 and published in the International Economic Review, 42, No. 1, February, 2001, 121-140. ....................................................................................................................... 11 1.6. A. Zellner, “Remarks on a ‘Critique’ of the Bayesian Method of Moments (BMOM),” June 1997, published in Journal of Applied Statistics, 28, No. 6, 2001, 775-778. ............................................................................................ 12 1.7. A. Zellner, J. Tobias and H. Ryu, “Bayesian Method of Moments Analysis of Time Series Models with an Application to Forecasting Turning Points in Output Growth,” October 1998. ............................................................... 12 1.8. A. Zellner, “The Finite Sample Properties of Simultaneous Equations’ Estimates and Estimators: Bayesian and Non-Bayesian Approaches,” invited paper presented at conference honouring Carl F. Christ and published in L.R. Klein (ed.), Annals Issue, Journal of Econometrics, 83, 1998, 185-212. ............... 13 1.9. A. Zellner, “Past and Recent Results on Maximal Data Information Priors,” Journal of Statistical Research, 32, No.1, 1998, 1-22. .............................. 13 1.10. A. Zellner and H. Ryu, “Alternative Functional Forms for Production, Cost and Returns to Scale Functions," Journal of Applied Econometrics, 13, 1998, 101-127. ............................................................................................................. 14 1.11. A. Zellner, “Keep It Sophisticatedly Simple,” 1998, Invited paper presented to the Tilburg Conference on Simplicity and published in A. Zellner, H. Kuezenkamp and M. McAleer (eds.), Simplicity, Inference and Econometric Modeling, Cambridge University Press, 2001, 242-262. .................. 15 2 Selected Readings –October 2012 1.12. A. Zellner, “New Information-Based Econometric Methods in Agricultural Economics: Discussion,” American Journal of Agricultural Economics, 81, 1999, 742-746. ................................................................................... 15 1.13. A. Zellner, “Bayesian Analysis of Golf,” May 1999, presented at Research Conference honouring George J. Judge, U. of Illinois, Champaign- Urbana. ....................................................................................................................... 16 1.14. A. Zellner and C. Min, “Forecasting Turning Points in Countries’ Output Growth Rates: A Response to Milton Friedman,” Journal of Econometrics, 88, 1999, 203-206. .............................................................................. 16 1.15. A. Zellner and F.C. Palm, “Correction to Cointegration and Dynamic Simultaneous Equations Model by Cheng Hsiao.” 1999, and Econometrica, 68, Sept., 2000, 1293. ........................................................................................................ 16 1.16. A. Zellner and J. Tobias, “A Note on Aggregation, Disaggregation and Forecasting Performance,” June 1999, published in the Journal of Forecasting, 19 (2000), 457-469................................................................................. 16 1.17. A. Zellner, “Bayesian and Non-Bayesian Approaches to Scientific Modeling and Inference in Economics and Econometrics,” invited keynote address, presented at Research Conference in Honour of Professor Tong Hun Lee, Korea, August 1999 and published in Special Issue of the Korean Journal of Money and Finance, 2000, 11-56. ......................................................................... 17 1.18. A. Zellner and B. Chen, "Bayesian Modeling of Economies and Data Requirements," May 2000, paper presented as an invited keynote address at the June 2000 meeting of the International Institute of Forecasters and the International Journal of Forecasting, Lisbon, Portugal and as the Third Soumitra Kumar Chakravarti Lecture, Calcutta, India, December 2000 and published in Macroeconomic Dynamics, 5, 2001, 673-700. [See "A Report on Third Soumitra Kumar Chakravarti Memorial Lecture," with discussion by K. Das in Calcutta Statistical Association Bulletin, 51, 2001, 1-10.] ..................... 18 1.19. A. Zellner, "Information Processing and Bayesian Analysis," August 2000, presented to the ASA August 2001 meeting and published in Annals Issue of the Journal of Econometrics, edited by A. Golan, 107 (2002), 41-50. ..... 19 1.20. A. Zellner, "The Marshallian Macroeconomic Model," September 2000, published in T. Nagishi, R.V. Ramachandran and K. Mino (eds.), Economic Theory, Dynamics and Markets: Essays in Honour of Ryuzo Sato, Kluwer Academic Publishers, 19-29. ....................................................................... 19 1.21. A. Zellner, "Comments on 'The State of Macroeconomic Forecasting' by Robert Fildes and H.O. Stekler "November 2000 and published in Journal of Macroeconomics 24, 4 (December 2002), 499-502. ............................................. 20 1.22. A. Zellner, "ISBA History and Meetings," November 2000, invited contribution for the International Society for Bayesian Analysis (ISBA) Bulletin, and included on ISBA website. .................................................................. 20 3 Selected Readings –October 2012 1.23. A. Zellner, “Some Recent Developments in Econometric Inference,” November 20011, invited paper for volume honouring Robert L. Basmann, published in Econometric Reviews, 22 (2003), 203-215. ......................................... 20 1.24. A. Zellner, "Comments on Papers by Engle, Geweke and Granger," Journal of Econometrics, 100 1 (2001), 93-94.......................................................... 21 1.25. A. Zellner, "Foreword for Frontier Session, 'Markov Chain Monte Carlo Methods: A User's Guide for Agricultural Economics,’ “Canadian Journal of Agricultural Economics, 49 (2001), 1-2. ................................................ 21 1.26. A.J. van der Merwe, A.L. Pretorius, J. Hugo and A. Zellner, "Traditional Bayes and the Bayesian Method of Moment Analysis for the Mixed Linear Model with an Application to Animal Breeding," South African Statistical Journal, (2001), 35, 19-68. ....................................................................... 21 1.27. A. Zellner, “My Experiences with Nonlinear Dynamic Models in Economics,” invited keynote address to the Society for Nonlinear Dynamics in Economics meeting, Atlanta, Georgia, March 2001, published in Studies in Nonlinear Dynamics and Econometrics, vol. 6, No. 2 (2002), 1-16. ....................... 22 1.28. A. Zellner, “Econometric and Statistical Data Mining, Prediction and Policy-Making,” invited paper presented at University of Tennessee, C. Warren Neel Conference on Statistical Data Mining and Knowledge Discovery, June 2002, and published in H. Bozdogan (ed.), Statistical Data Mining and Knowledge Discovery, New York: CRC Press, 2004, 57-78. ............. 22 1.29. A. Zellner, “Bayesian Shrinkage Estimates and Forecasts of Individual and Total or Aggregate Outcomes,” paper presented at American Statistical Association Meeting, New York, August 2002. ....................................................... 23 1.30. A. Zellner, “Welcoming Message to the JIRSS,” Journal of the Iranian Statistical Society, Vol. 1, No. 1, 2002, 1-5. .............................................................. 23 1.31. A. Zellner and G. Israilevich, “The Marshallian Macroeconomic Model: A Progress Report,” May 2003, invited paper presented at the Conference in Honour of Victor Zarnowitz, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Essen, Germany, June 27-28, 2003, published in Macroeconomic Dynamics, Vol. 9, 2005, 220-243 and reprinted in International Journal of Forecasting, 21 2005, 627-645, with discussion by A. Espasa.......................................................................................................................... 24 1.32. A. Zellner, “Some Aspects of the History of Bayesian Information Processing,” July 2003, presented at the American Statistical Association’s meeting, San Francisco, August 2003, to appear in Annals Issue of Journal of Econometrics, “Information and Entropy Econometrics – A Volume in Honour of Arnold Zellner.” ...................................................................................... 24 1.33. R.A.L. Carter and A. Zellner, “The ARAR Error Model for Univariate Time Series
Load more

Recommended publications
  • September 2010
    THE ISBA BULLETIN Vol. 17 No. 3 September 2010 The official bulletin of the International Society for Bayesian Analysis AMESSAGE FROM THE membership renewal (there will be special provi- PRESIDENT sions for members who hold multi-year member- ships). Peter Muller¨ The Bayesian Nonparametrics Section (IS- ISBA President, 2010 BA/BNP) is already up and running, and plan- [email protected] ning the 2011 BNP workshop. Please see the News from the World section in this Bulletin First some sad news. In August we lost two and our homepage (select “business” and “mee- big Bayesians. Julian Besag passed away on Au- tings”). gust 6, and Arnold Zellner passed away on Au- gust 11. Arnold was one of the founding ISBA ISBA/SBSS Educational Initiative. Jointly presidents and was instrumental to get Bayesian with ASA/SBSS (American Statistical Associa- started. Obituaries on this issue of the Analysis tion, Section on Bayesian Statistical Science) we Bulletin and on our homepage acknowledge Juli- launched a new joint educational initiative. The an and Arnold’s pathbreaking contributions and initiative formalized a long standing history of their impact on the lives of many people in our collaboration of ISBA and ASA/SBSS in related research community. They will be missed dearly! matters. Continued on page 2. ISBA Elections 2010. Please check out the elec- tion statements of the candidates for the upco- In this issue ming ISBA elections. We have an amazing slate ‰ A MESSAGE FROM THE BA EDITOR of candidates. Thanks to the nominating commit- *Page 2 tee, Mike West (chair), Renato Martins Assuncao,˜ Jennifer Hill, Beatrix Jones, Jaeyong Lee, Yasuhi- ‰ 2010 ISBA ELECTION *Page 3 ro Omori and Gareth Robert! ‰ SAVAGE AWARD AND MITCHELL PRIZE 2010 *Page 8 Sections.
    [Show full text]
  • Significance Redux
    The Journal of Socio-Economics 33 (2004) 665–675 Significance redux Stephen T. Ziliaka,∗, Deirdre N. McCloskeyb,1 a School of Policy Studies, College of Arts and Sciences, Roosevelt University, Chicago, 430 S. Michigan Avenue, Chicago, IL 60605, USA b College of Arts and Science (m/c 198), University of Illinois at Chicago, 601 South Morgan, Chicago, IL 60607-7104, USA Abstract Leading theorists and econometricians agree with our two main points: first, that economic sig- nificance usually has nothing to do with statistical significance and, second, that a supermajority of economists do not explore economic significance in their research. The agreement from Arrow to Zellner on the two main points should by itself change research practice. This paper replies to our critics, showing again that economic significance is what science and citizens want and need. © 2004 Elsevier Inc. All rights reserved. JEL CODES: C12; C10; B23; A20 Keywords: Hypothesis testing; Statistical significance; Economic significance Science depends on entrepreneurship, and we thank Morris Altman for his. The sympo- sium he has sparked can be important for the future of economics, in showing that the best economists and econometricians seek, after all, economic significance. Kenneth Arrow as early as 1959 dismissed mechanical tests of statistical significance in his search for eco- nomic significance. It took courage: Arrow’s teacher, the amazing Harold Hotelling, had been one of Fisher’s sharpest disciples. Now Arrow is joined by Clive Granger, Graham ∗ Corresponding author. E-mail addresses: [email protected] (S.T. Ziliak), [email protected] (D.N. McCloskey). 1 For comments early and late we thank Ted Anderson, Danny Boston, Robert Chirinko, Ronald Coase, Stephen Cullenberg, Marc Gaudry, John Harvey, David Hendry, Stefan Hersh, Robert Higgs, Jack Hirshleifer, Daniel Klein, June Lapidus, David Ruccio, Jeff Simonoff, Gary Solon, John Smutniak, Diana Strassman, Andrew Trigg, and Jim Ziliak.
    [Show full text]
  • December 2000
    THE ISBA BULLETIN Vol. 7 No. 4 December 2000 The o±cial bulletin of the International Society for Bayesian Analysis A WORD FROM already lays out all the elements mere statisticians might have THE PRESIDENT of the philosophical position anything to say to them that by Philip Dawid that he was to continue to could possibly be worth ISBA President develop and promote (to a listening to. I recently acted as [email protected] largely uncomprehending an expert witness for the audience) for the rest of his life. defence in a murder appeal, Radical Probabilism He is utterly uncompromising which revolved around a Modern Bayesianism is doing in his rejection of the realist variant of the “Prosecutor’s a wonderful job in an enormous conception that Probability is Fallacy” (the confusion of range of applied activities, somehow “out there in the world”, P (innocencejevidence) with supplying modelling, data and in his pragmatist emphasis P ('evidencejinnocence)). $ analysis and inference on Subjective Probability as Contents procedures to nourish parts that something that can be measured other techniques cannot reach. and regulated by suitable ➤ ISBA Elections and Logo But Bayesianism is far more instruments (betting behaviour, ☛ Page 2 than a bag of tricks for helping or proper scoring rules). other specialists out with their What de Finetti constructed ➤ Interview with Lindley tricky problems – it is a totally was, essentially, a whole new ☛ Page 3 original way of thinking about theory of logic – in the broad ➤ New prizes the world we live in. I was sense of principles for thinking ☛ Page 5 forcibly struck by this when I and learning about how the had to deliver some brief world behaves.
    [Show full text]
  • Balanced Versus Randomized Field Experiments in Economics: Why W
    Balanced versus Randomized Field Experiments in Economics: Why W. S. Gosset aka “Student” Matters By Stephen T. Ziliak1 Abstract: Over the past decade randomized field experiments have gained prominence in the toolkit of empirical economics and policy making. In an article titled "Field Experiments in Economics: The Past, the Present, and the Future," Levitt and List (2009) make three main claims about the history, philosophy, and future of field experiments in economics. They claim that field experiments in economics began in the 1920s and 1930s in agricultural work by Neyman and Fisher. Second, they claim that artificial randomization is essential for good experimental design because, they claim, randomization is the only valid justification for Student's test of significance. Finally, they claim that decision-making in private sector firms will be advanced by partnering with economists doing randomized experiments. Several areas of research have been influenced by the article despite the absence of historical and methodological review. This paper seeks to fill that gap in the literature. The power and efficiency of balanced over random designs - discovered by William S. Gosset aka Student, and confirmed by Pearson, Neyman, Jeffreys, and others adopting a balanced, decision-theoretic and/or Bayesian approach to experiments, is not mentioned in the Levitt and List article. Neglect of Student is regrettable. A body of evidence descending from Student (1911) and extending to Heckman and Vytlacil (2007) suggests that artificial randomization is neither necessary nor sufficient for improving efficiency, identifying causal relationships, and discovering economically significant differences. Three easy ways to improve field experiments are proposed and briefly illustrated.
    [Show full text]
  • Curriculum Vitae for James J. Heckman
    September 13, 2021 James Joseph Heckman Department of Economics University of Chicago 1126 East 59th Street Chicago, Illinois 60637 Telephone: (773) 702-0634 Fax: (773) 702-8490 Email: [email protected] Personal Date of Birth: April 19, 1944 Place of Birth: Chicago, Illinois Education B.A. 1965 (Math) Colorado College (summa cum laude) M.A. 1968 (Econ) Princeton University Ph.D. 1971 (Econ) Princeton University Dissertation “Three Essays on Household Labor Supply and the Demand for Market Goods.” Sponsors: S. Black, H. Kelejian, A. Rees Graduate and Undergraduate Academic Honors Phi Beta Kappa Woodrow Wilson Fellow NDEA Fellow NIH Fellow Harold Willis Dodds Fellow Post-Graduate Honors Honorary Degrees and Professorships Doctor Honoris Causa, Vienna University of Economics and Business, Vienna, Austria. Jan- uary, 2017. Doctor of Social Sciences Honoris Causa, Lignan University, Hong Kong, China. November, 2015. Honorary Doctorate of Science (Economics), University College London. September, 2013. Doctor Honoris Causis, Pontifical University, Santiago, Chile. August, 2009. Doctor Honoris Causis, University of Montreal.´ May 2004. 1 September 13, 2021 Doctor Honoris Causis, Bard College, May 2004. Doctor Honoris Causis, UAEM, Mexico. January 2003. Doctor Honoris Causis, University of Chile, Fall 2002. Honorary Doctor of Laws, Colorado College, 2001. Honorary Professor, Jinan University, Guangzhou, China, June, 2014. Honorary Professor, Renmin University, P. R. China, June, 2010. Honorary Professor, Beijing Normal University, P. R. China, June, 2010. Honorary Professor, Harbin Institute of Technology, P. R. China, October, 2007. Honorary Professor, Wuhan University, Wuhan, China, 2003. Honorary Professor, Huazhong University of Science and Technology, Wuhan, China, 2001. Honorary Professor, University of Tucuman, October, 1998.
    [Show full text]
  • Time Series Analysis and Simultaneous Equation Econometric Models*
    Journal of Econometrics 2 (1974) 17-54. 0 North-Holland Publishing Company TIME SERIES ANALYSIS AND SIMULTANEOUS EQUATION ECONOMETRIC MODELS* Arnold ZELLNER and Franz PALM Graduate School of Business, University of Chicago, Chicago, III. 60637, U.S.A. Received July 1973, revised version received November 1973 1. Introduction In this paper we take up the analysis of dynamic simultaneous equation models (SEM’s) within the context of general linear multiple time series processes such as studied by Quenouille (1957). As noted by Quenouille, if a set of variables is generated by a multiple time series process, it is often possible to solve for the processes generating individual variables, namely the ‘final equations’ of Tin- bergen (1940), and these are in the autoregressive-moving average (ARMA) form. ARMA processes have been studied intensively by Box and Jenkins (1970). Further, if a general multiple time series process is appropriately specialized, we obtain a usual dynamic SEM in structural form. By algebraic manipulations, the associated reduced form and transfer function equation systems can be derived. In what follows, these equation systems are presented and their properties and uses are indicated. It will be shown that assumptions about variables being exogenous, about lags in structural equations of SEM’s, and about serial correlation properties of structural disturbance terms have strong implications for the properties of trans- fer functions and final equations that can be tested. Further, we show how large sample posterior odds and likelihood ratios can be used to appraise alternative hypotheses. In agreement with Pierce and Mason (1971), we believe that testing the implications of structural assumptions for transfer functions and, we add, final equations is an important element in the process of iterating in on a model that is reasonably in accord with the information in a sample of data.
    [Show full text]
  • Some Thoughts About S. James Press and Bayesian Analysis∗ by Arnold
    Some Thoughts about S. James Press and Bayesian Analysis∗ By Arnold Zellner University of Chicago I. Introduction It is indeed an honor and a pleasure to have this opportunity to address a Conference honoring Professor S. James Press on the occasion of his formal retirement. I say “formal” retirement because from my knowledge of Jim’s amazing productivity and very inquisitive nature over the many years that I have known him, it is impossible for me to imagine him in a state of full retirement in the usual sense of the word. I believe, with probability 0.99 (subjective or objective; see Press (2003) and Press and Tanur (2001) for clarification) that he will continue to pursue his research and other interests vigorously and make additional important contributions in the years ahead. As prior information for this assessment, note from his University of California at Riverside web page, he lists “only” the following as his Research Areas: “Image classification and reconstruction (The project involves developing multivariate Bayesian statistical methods for reconstructing scenes on the ground based on noisy signals received by sensors in the satellite.), Statistical analysis of microarrays, Cognitive modeling in sample surveys, Bayesian factor analysis, and Data mining: Bayesian analysis in data mining.” With a research agenda like this, who can imagine him spending much time playing golf on the course alongside his home in Riverside? As you all know, Jim has had a very productive career in lecturing, mentoring students, research, service to the universities with which he has been associated and to the Statistics profession and creating a wonderful family.
    [Show full text]
  • APPLICATIONS in BAYESIAN ANALYSIS Arnold Zellner University
    APPLICATIONS IN BAYESIAN ANALYSIS Arnold Zellner university of Chicago 1. Introduction The rapid growth of Bayesian econometrics ment and consumption data. Production function and statistics since the 1950s has involved many models have been analyzed from the Bayesian applications of Bayesian inference and decision point of view by Sankar (1969), Sankar and techniques to a wide range of problems and the Chetty (1969), Zellner and Richard (1973), and development of Bayesian computer programs--see, Rossi (1980, 1984). Tsurumi (1976) and Tsurumi e.g., Press (1980). This experience in applying and Tsurumi (1981) used Bayesian techniques to Bayesian techniques has indicated that Bayesian analyze structural change problems. Reynolds solutions to applied problems are as good or bet­ (1980) developed and applied Bayesian estimation ter than non-Bayesian solutions. Indeed, it has and testing procedures in an analysis of survey been shown that many non-Bayesian results can be data relating to health status, income and other obtained by Bayesian methods under special as­ variables. Harrison and Stevens (1976), Harri­ sumptions. However, these special assumptions son, West and Migon (1984), Litterman (1980), are often unsatisfactory and thus full Bayesian Doan, Litterman and Sims (1984), and Highfield solutions, which relax them, are preferable. (1984) have developed and applied Bayesian fore­ Further, as is well known, the Bayesian approach casting models. Merton (1980), used Bayesian permits the flexible and formal use of prior in­ estimation procedures in a study of stock market formation in obtaining solutions to applied in­ data. Akaike and Ishiguro (1983) have developed ference and decision problems, a feature of the a Bayesian approach and a computer program, BAYSEA, Bayesian approach which is particularly valuable for seasonal analysis and adjustment.
    [Show full text]
  • KEEP IT SOPHISTICATEDLY SIMPLE Library R6lcs by Waite F\Pp1\Eci Econo Dept
    378.794 G43455 WP-865 • WORKING PAPER NO. 865 KEEP IT SOPHISTICATEDLY SIMPLE Library r6lcs by Waite f\pp1\eci Econo Dept. Minnesota ot Un\versAy 232 ClaOff Arnold Zellner Nie - USP, 1994 BUWI'd 55108-6040 MN St. Paul 477: 57 9'Y' cet 3 (55 DEPARTMENT OF AGRICULTURAL AND RESOURCE ECONOMICS AND POLICY DIVISION OF AGRICULTURE AND NATURAL RESOURCES UNIVERSITY OF CALIFORNIA AT BERKELEY WORKING PAPER No. 865 KEEP IT SOPHISTICATEDLY SIMPLE by Arnold Zellner California Agricultural Experiment Station Giannini Foundation of Agricultural Economics January 1999 Keep It Sophisticatedly Simple by Arnold Zenner* U. of Chicago 1. Introduction Some years ago, I came upon the phrase used in industry, "Keep It Simple Stupid," that is KISS and thought about it in relation to scientific model-building. Since some simple models are stupid, I decided to reinterpret KISS to mean "Keep It Sophisticatedly Simple." In any event, KISS is very popular in many scientific and non-scientific areas. For example, the slogan of the Honda Motor Company is, "We make it simple." The Dutch Schipol airport in its advertising claims that, "It excels because it is simple and convenient." And it is well known that Einstein advised in connection with theorizing in the natural sciences, "Make it as simple as possible but no simpler." Also, the famous physicist Jaynes (1985, p.344) wrote, "We keep our model as simple as possible so as not to obscure the point to be made and also to heed Arnold Zellner's wise advice about 'sophisticatedly simple' models." Many, including myself, have for long advocated that workers in econometrics and statistics follow the advice of natural scientists and others to keep analyses and models sophisticatedly simple.
    [Show full text]
  • Modelling Research Group
    1 MODELLING RESEARCH GROUP GIANNINI FOUNDATION Ow AGRICULTURAL ECONOMICS LIB .-R 93 1987 DEPARTMENT OF ECONOMICS,1 !UNIVERSITY OF SOUTHERN CALIFORNIA UNIVERSITY PARK LOS ANGELES, CALIFORNIA 90089-0152 \\? /Oka MODELLING RESEARCH GROUP BIASED PREDICTORS, RATIONALITY AND THE EVALUATION OF FORECASTS ARNOLD ZELLNER* MRG WORKING PAPER #M8612 GIANNINI FOUNDATION 00 AGRICULTURAL ECONOMICS LIB se"93 1987 DEPARTMENT OF ECONOMICS,! UNIVERSITY OF SOUTHERN CALIFORNIA UNIVERSITY PARK LOS ANGELES, CALIFORNIA 90089-0152 BIASED PREDICTORS, RATIONALITY AND THE EVALUATION OF FORECASTS ARNOLD ZELLNER* MRG WORKING PAPER #M8612 March 1986 ABSTRACT Optimal, rational forecasts are often biased and thus the empirical finding that actual forecasts are biased is not necessarily evidence of irrational behavior. Using an asymmetric loss function and a regression forecasting problem,these points are explicitly demonstrated. ••-• *H.G.B. Alexander Research Foundation, Graduate School of Business, University of Chicago, visiting the University of Southern California. ,t Biased Predictors, Rationality and the Evaluation of Forecasts by * Arnold Zellner University of Chicago Abstract Optimal, rational forecasts are often biased and thus the empir- ical finding that actual forecasts are biased is not necessarily evidence of irrational behavior. Using an asymmetric loss function and a regres- sion forecasting problem, these points are explicitly demonstrated. It has long been recognized that biased predictors and estimators may be better than unbiased predictors and estimators in terms of expected loss or risk relative to various loss functions--see e.g. Stein (1955), Efron and Morris (1973), Judge et al. (1985, Chs. 3,4), and Zellner (1963, 1985). Indeed, Bayesian estimators and predictors, based on proper infor- mative priors, are generally biased but are known to be admissible and to minimize average or Bayes risk.
    [Show full text]
  • Stephen T. Ziliak
    Ziliak CV 2018 STEPHEN T. ZILIAK Professor of Economics Roosevelt University College of Arts and Sciences 430 S. Michigan Ave Chicago, IL 60605 USA https://blogs.roosevelt.edu/sziliak email: [email protected] office: (312) 341.3763 BIO Stephen Thomas Ziliak is Full Professor of Economics and Faculty Member of the Social Justice Studies Program at Roosevelt University where as a faculty member he was elected to and served on the Board of Trustees from 2010 to 2013. Concurrently he is Conjoint Professor of Business and Law, University of Newcastle, Australia; Faculty Affiliate in the Graduate Program of Economics, Colorado State University; and Faculty Member of the Angiogenesis Foundation, Cambridge. In 1996 at the University of Iowa he earned the Ph.D. in Economics and at the same time the first-ever awarded Ph.D. Certificate in the Rhetoric of the Human Sciences, also at the University of Iowa. Previous academic appointments include Emory University, Bowling Green State University, and Georgia Institute of Technology where at the latter he was voted “Faculty Member of the Year” (2001-2002, Student Government Association) and “Most Intellectual Professor” (2002-2003, Student Government Association). Ziliak joined Roosevelt in 2003 as Associate Professor of Economics in the School of Policy Studies. He has been a Visiting Professor of Economics, Statistics, Rhetoric, Justice, Law, Social Welfare, and Methodology at leading universities of the United States, Belgium, Denmark, England, France, Ireland, Northern Ireland, Turkey, and the Netherlands. His early work was on econometric methodology and archive-based quantitative economic history, where he established himself as a leading economic historian of welfare and charity in the United States.
    [Show full text]
  • Tomohiro Ando Address
    Curriculum vitae Tomohiro Ando November 2009 CONTACT INFORMATION Name: Tomohiro Ando Address: Graduate School of Business Administration Keio University 4-1-1, Hiyoshi, Kohoku-ku, Yokohama Kanagawa, Japan, 223-8526 Phone: (+81) 45-562-2039 E-mail: [email protected] URL: http://labs.kbs.keio.ac.jp/andotomohiro/ PROFESSIONAL EXPERIENCE • April, 2007 - Present: Associate Professor of Management Science, Graduate School of Business Administration, Keio University. • July, 2007 - December, 2008: Visiting Scholar, Booth School of Business, University of Chicago. • April, 2005 - March, 2007: Assistant Professor of Management Science, Graduate School of Business Administration, Keio University. • April, 2004 - March, 2005: Research Associate, Human Genome Center, Institute of Medical Science, University of Tokyo. EDUCATION • April, 2002 - March, 2004: Ph.D., Mathematics, Graduate School of Mathematics, Kyushu University. • May, 2003 - March, 2004: Visiting Student, Human Genome Center, Institute of Medical Science, University of Tokyo. • April, 2000 - March, 2002: M.A., Mathematics, Graduate School of Mathematics, Kyushu University. • April, 1996 - March, 2000: B.A., Science, Undergraduate School, Kyushu University. RESEARCH INTERESTS • Bayesian Statistics and Econometrics, Boosting, Econometrics, Factor Model, Fi- nancial Econometrics, Markov chain Monte Carlo, Machine Learning, Model Se- lection, Panel Data Analysis, Quantile Regression, Simultaneous Equation Models, State Space Models. 1 Curriculum vitae Tomohiro Ando November 2009 PROFESSIONAL
    [Show full text]