John M. Abowd Curriculum Vitae
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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. -
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. -
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. -
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. -
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. -
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. -
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 -
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. -
MARIANNE BERTRAND Booth School of Business University Of
MARIANNE BERTRAND Booth School of Business University of Chicago 5807 South Woodlawn Avenue Chicago, IL 60637 Tel:773-834-5943 E-mail:[email protected] EMPLOYMENT Booth School of Business, University of Chicago, Chicago, IL, July 2009 - present: Chris P. Dialynas Professor of Economics and Neubauer Family Faculty Fellow Booth School of Business, University of Chicago, Chicago, IL, July 2006 - June 2009: Fred G. Steingraber-A.T. Kearney Professor of Economics Booth School of Business, University of Chicago, Chicago, IL, July 2003 - June 2006: Professor of Economics Booth School of Business, University of Chicago, Chicago, IL, July 2002 - June 2003: Associate Professor of Economics Booth School of Business, University of Chicago, Chicago, IL, July 2000 - June 2002: Assistant Professor of Economics Department of Economics and Woodrow Wilson School of Public and International Affairs, Princeton University, Princeton, NJ, July 1998 - June 2000: Assistant Professor of Economics and Public Affairs EDUCATION Harvard University, Cambridge. MA, 1993 - 1998: Ph.D. in Economics Universit´eLibre de Bruxelles, Brussels, Belgium, 1991 - 1992: Maˆıtrise en Econometrie (M.Sc. in Econometrics) Universit´eLibre de Bruxelles, Brussels, Belgium, 1987 - 1991: Licence en Economie (B.A. in Economics) 1 PUBLISHED AND FORTHCOMING PAPERS • “Do Judges Vary in their Treatment of Race?” (joint with David Abrams and Sendhil Mullainathan) forthcoming, Journal of Legal Studies. • “Information Disclosure, Cognitive Biases and Payday Borrowing” (joint with Adair Morse) forthcoming, Journal of Finance. • “New Perspectives on Gender,” in Orley Ashenfelter and David Card eds, Handbook of Labor Economics Volume 4, Elsevier, forthcoming. • “Improving the Design of Conditional Transfer Programs: Evidence from a Random- ized Education Experiment in Colombia” (joint with Felipe Barrera-Osorio, Leigh Lin- den and Francisco Perez) forthcoming, forthcoming, American Economic Journal: Ap- plied Economics. -
MARIANNE BERTRAND Graduate School of Business University of Chicago 5807 South Woodlawn Avenue Chicago, IL 60637 Tel:773-834-594
MARIANNE BERTRAND Graduate School of Business University of Chicago 5807 South Woodlawn Avenue Chicago, IL 60637 Tel:773-834-5943 E-mail:[email protected] EMPLOYMENT Graduate School of Business, University of Chicago, Chicago, IL, July 2003 - Present: Professor of Economics Graduate School of Business, University of Chicago, Chicago, IL, July 2002 - June 2003: Associate Professor of Economics Graduate School of Business, University of Chicago, Chicago, IL, July 2000 - June 2002: Assistant Professor of Economics Department of Economics and Woodrow Wilson School of Public and International Affairs, Princeton University, Princeton, NJ, July 1998 - June 2000: Assistant Professor of Economics and Public Affairs EDUCATION Harvard University, Cambridge. MA, 1993 - 1998: Ph.D. in Economics Universit´eLibre de Bruxelles, Brussels, Belgium, 1991 - 1992: Maˆıtrise en Econometrie (M.Sc. in Econometrics) Universit´eLibre de Bruxelles, Brussels, Belgium, 1987 - 1991: Licence en Economie (B.A. in Economics) PUBLISHED AND FORTHCOMING PAPERS • “The Role of Family in Family Firms,” (joint with Antoinette Schoar), Journal of Economic Perspectives (forthcoming). • “Behavioral Economics and Marketing in Aid of Decision-Making among the Poor,” (joint with Sendhil Mullainathan and Eldar Shafir) Journal of Public Policy and Mar- keting (forthcoming). 1 • “Banking Deregulation and Industry Structure: Evidence from the French Banking Reforms of 1985,” (joint with Antoinette Schoar and David Thesmar) The Journal of Finance (forthcoming). • “Credit and Product Market Effects of Banking Deregulation: Evidence from the French Experience,” (joint with Antoinette Schoar and David Thesmar), DICE Report- Journal for Institutional Comparisons, vol 3, 2005 (3). • “Implicit Discrimination,” (joint with Dolly Chugh and Sendhil Mullainathan), The American Economic Review, May 2005. -
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. -
David Thesmar
DAVID THESMAR PERSONAL DATA Born 07/03/1972 in France French Citizen MAIN POSITIONS HELD 2016- MIT Sloan school of Management • Franco Modigliani Professor of Financial Economics • Professor of Finance 2015-2016 Haas School of Business, UC Berkeley. • Visiting Professor of Finance and Baxter Fellow. 2005-2016 HEC Paris • Professor of Finance (2009-) • Associate Professor of Finance (2005-2009) 2003 – 2005 INSEE (French statistical office) • Lecturer & researcher at ENSAE (2002-2005) • Eurozone Economy, Macroeconomic Forecasting Division (1999-2002) • Researcher at CREST (1997-1999) EDUCATION 2000 - PhD in Economics, EHESS (Committee: P. Cahuc, C. Chamley, D. Cohen, P. Rey, F. Kramarz) 1997 - MPhil in Economics, LSE 1996 - MSc Economics, ENSAE and PSE 1995 - BSc Economics and Physics, Ecole Polytechnique OTHER POSITIONS HELD 2014 - 2017 Member of the scientific board of ESRB (European Systemic Risk Board) 2012 - 2016 Member of the scientific board of APCR (French Banking & Insurance Supervisor) 2012 - 2016 Senior Research Consultant, CFM, Paris 2008 - 2013 Member of the council of economic advisers (with the French Prime Minister) PUBLICATIONS Asset management & financial markets 1. "Sticky Expectations and the Profitability Anomaly", with Bouchaud, Krüger and Landier, Journal of Finance, 2019 2. "Wholesale Funding Dry-Ups", with Pérignon and Vuillemey, Journal of Finance, 2018 3. "Sovereign Crises and Bank Financing: Evidence from the European Repo Market", with Boissel, Derrien, Ors, Journal of Financial Economics, 2017 4. "Banking Integration and House Price Comovement", with Landier and Sraer, Journal of Financial Economics, 2017 5. “The Sovereign-Bank Diabolic Loop and ESBies", with Brunnermeier, Garicano, Lane, Pagano, Reis, Santos, Van Nieuwerburgh and Vayanos, AER P&P, 2016 6.