Thursday, August 12, 2010

Arnold Zellner, RIP

The leading Bayesian econometrician in the world died last night, Arnold Zellner. A very feisty and provocative individual, he will be missed. I knew him and always found him to be lots of fun and very interesting to talk to. He was one of the first of the econometricians to be hired at the University of Wisconsin around 1960, to be followed shortly by Arthur Goldberger, moving that department from being a near zero in that area to the top ranks, although Zellner did not stay around all that long, moving on to the University of Chicago. However, he was originally attracted to Wisconsin by Bayesians and good time series people in the Statistics Department, such as George Box, who in turn had been attracted by the strong biometricians in the genetics department, the most prominent of whom was the late Sewall Wright, one of the three founders of the neo-Darwinian synthesis in the 1930s, and who invented path coefficients in the teens while co-discovering the identification problem with his economist father in the 1920s while studying corn-hog cycles and other agricultural economics questions.

Anyway, Zellner was a great econometrician and a great guy, and I think that in the long run, we will all become Bayesians, or at least a lot of us.

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