Arnold Zellner

Via Andrew Gelman:

Arnold Zellner, by Andrew Gelman: Steve Ziliak reports:

I [Ziliak] am sorry to share this sad news about Arnold Zellner (AEA Distinguished Fellow, 2002, ASA President, 1991, ISBA co-founding president, all around genius and sweet fellow), who died yesterday morning (August 11, 2010). He was a truly great statistician and to me and to many others a generous and wonderful friend, colleague, and hero. I will miss him. ...

Andrew Gelman adds:

Zellner was an old-school Bayesian, focusing on statistical models rather than philosophy. He also straddled the fields of statistics and econometrics, which makes me think of some similarities and differences between these sister disciplines.

To a statistician such as myself, econometrics seems to have two different, nearly opposing, personalities. On one side, econometrics is the study of physics-like laws--supply and demand, utility theory, simultaneous equation models, all sorts of attempts to capture economic behavior with mathematical laws. More recently, some of this focus has moved to agent-based modeling, but it's still the same basic idea to me: serious mathematical modeling. The data are there to understand the fundamental underlying economic processes.

But there's another side to economics, a side that I think has become much more prominent, and that's the anti-modeling approach, the distribution-free methods that try to assume as little as possible (replacing distributional assumptions by second-order stationarity, etc.) to be able to make forecasting or causal claims as robustly as possible.

To the extent that economics is a model-centered field, I think it's naturally Bayesian, and Zellner's methods fit in well. To the extent that economists are interested in robust, non-model-based population inference, I think Bayesian methods are also important--nonparametric methods get complicated quickly, and Bayesian inference is a good way to structure that complexity.

Unfortunately, Bayesian methods have a bad name in some quarters of econometrics because they are associated with subjectivity, which goes against both mainstream threads in econometrics. Whether you're doing physics-influenced modeling or statistics-influenced nonparametrics, you want your inferences to be objective as possible. So both kinds of econometricians can agree to disdain Bayes.

What Zellner showed in his work was how Bayesian methods could be objective, and statistically efficient, and solve problems in econometrics. This was, and is, important.

P.S. I only met Zellner a few times and did not know him personally. My only Zellner story comes from the famous conference at Ohio State University in 1991 on Bayesian Computation via Stochastic Simulation. At one point near the end of the meeting, Zellner stood up and said: Hearing all this important work makes me (Zellner) realize we need to start a crash research program on these methods. And you know what they say about crash research programs. It's like trying to create a baby by getting nine women pregnant and waiting one month. (pause) It might not work, but you'll have a hell of a time trying. (followed by complete stunned silence)

The other thing I remember about Zellner was his statistics seminar at the business school, which I attended a few times during my semester visiting the University of Chigago. No matter who the speaker was, Zeller was always interrupting, asking questions, giving his own views. Not in that aggressive econ-seminar style that we all know and hate; rather Zeller always gave the impression of being a participant in his seminar, one among many who just had the privilege of being able to speak whenever he had a thought--which was often. He was lucky to have the chance to express his statistical thoughts in many venues, and we as a field were lucky to be there to hear him.

I don't think there's as much resistance to Bayesian methods as Andrew implies, my experience is just the opposite -- quite a bit or resistance to classical methods -- but the degree that Bayesian methods are embraced is partly field and even topic dependent.

Andrew also links to the official announcement from the University of Chicago. I had this in the links scheduled for tomorrow, but it deserves more prominence:

Arnold Zellner, 1927-2010, a pioneer of modern econometrics, University of Chicago News: Arnold Zellner, a leading economist at the University of Chicago Booth School of Business who pioneered the field of Bayesian econometrics, died August 11....... He was 83...

Zellner was known for the breadth of his contributions to many different areas of econometrics. His pioneering work in systems of equations, Bayesian statistics and econometrics, or time series analysis would each have earned him worldwide recognition.

In addition to his prodigious theoretical work, Zellner fostered applications in fisheries conservation, production theory, forecasting, and many other fields. In both his theoretical and applied research, Zellner believed that complicated problems can be solved by the application of a few powerful, simplifying concepts, what he called “sophisticated simplicity.” ...

Beyond his strong commitment to teaching and research, Zellner was also known for his work to solve social and economic problems such as famine, unemployment, and economic stagnation. ...