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