Hostname: page-component-8448b6f56d-tj2md Total loading time: 0 Render date: 2024-04-18T15:40:19.969Z Has data issue: false hasContentIssue false
  • English
  • Français

BAYESIAN ECONOMETRICS: The First Twenty Years

Published online by Cambridge University Press:  11 February 2009

Duo QIN
Duo QIN
Affiliation:
Queen Mary and Westfield College
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper sketches the history of how Bayesian inference was adopted and utilized in econometrics during its first 20 years. It focuses on the causes of the Bayesian movement, the ways in which Bayesian inference was applied, the problems that the application was intended to solve, and the results achieved. It shows that Bayesian research has largely followed mainstream econometric development as far as the major econometric ideas and methods are concerned and that Bayesian reformulation of mainstream econometrics has nevertheless helped in deepening econometricians' understanding of many modeling problems by presenting them from a different angle.

Type
Research Article
Information
Econometric Theory , Volume 12 , Issue 3 , August 1996 , pp. 500 - 516
Copyright
Copyright © Cambridge University Press 1996

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Chetty, V.K. (1968) Bayesian analysis of Haavelmo's models. Econometrica 36, 582–602.CrossRefGoogle Scholar
Cochrane, D. & Orcutt, G. (1949) Application of least squares regression to relationships containing autocorrelated error terms. Journal of the American Statistical Association 44, 32–61.Google Scholar
Doan, T., Litterman, R., & Sims, C. (1984) Forecasting and conditional projection using realistic prior distribution. Econometric Reviews 3, 1–100.CrossRefGoogle Scholar
Dreze, J. (1962) The Bayesian Approach, to Simultaneous Equations Estimation. O.N.R. Research Memorandum 67, Northwestern University.Google Scholar
Dreze, J. (1968) Limited Information Estimation from a Bayesian Viewpoint. CORE discussion paper 6816, University of Louvain.Google Scholar
Dreze, J. (1972) Econometrics and decision theory. Econometrica 40, 1–17.CrossRefGoogle Scholar
Dreze, J. & Morales, J.-A. (1976) Bayesian full information analysis of simultaneous equations. Journal of the American Statistical Association 71, 919–923.Google Scholar
Epstein, R.J. (1987) A History of Econometrics. Amsterdam: North-Holland.Google Scholar
Fisher, F.M. (1966) The Identification Problem in Econometrics. New York: McGraw-Hill.Google Scholar
Fisher, W.D. (1962) Estimation in the linear decision model. International Economic Review 3, 1–29.CrossRefGoogle Scholar
Florens, J.-P., Mouchart, M., & Rolin, J.-M. (1990) Elements of Bayesian Statistics. New York: Marcel Oekker.Google Scholar
Goldberger, A.S. (1964) Econometric Theory. New York: Wiley.Google Scholar
Haavelmo, T. (1944) The Probability Approach in Econometrics, Supplement to Econometrica, vol. 12. Chicago: The Econometric Society, University of Chicago Press.Google Scholar
Haavelmo, T. (1947) Methods of measuring the marginal propensity to consume. Journal of the American Statistical Association 42, 105–122.CrossRefGoogle Scholar
Hamouda, O. & Rowley, R. (1988) Expectation, Equilibrium and Dynamics. Brighton: Wheat-sheaf Books.Google Scholar
Harkema, R. (1971) Simultaneous Equations: A Bayesian Approach. Ph.D. Thesis, University of Rotterdam.Google Scholar
Hendry, D.F., Learner, E.E., & Poirier, D.J. (1990) A conversation on econometric methodology. Econometric Theory 6, 171–261.CrossRefGoogle Scholar
Hildreth, C. (1963) Bayesian statisticians and remote clients. Econometrica 31, 422–438.CrossRefGoogle Scholar
Howson, C. & Urbach, P. (1989) Scientific Reasoning: The Bayesian Approach. La Salle, IL: Open Court.Google Scholar
Johnston, J. (1963) Econometric Methods. New York: McGraw-Hill.Google Scholar
Kaufman, G.M. (1967) Some Bayesian Moment Formulae. CORE discussion paper 6710, University of Louvain.Google Scholar
Kaufman, G.M. (1971) Comments. In Intriligator, M.D. (ed.), Frontiers of Quantitative Economics, pp. 208–210. Amsterdam: North-Holland.Google Scholar
Kloek, T. & van Dijk, H.K. (1978) Bayesian estimates of equation system parameters: An application of integration by Monte Carlo. Econometrica 46, 1–19.CrossRefGoogle Scholar
Koop, G. (1994) Recent progress in applied Bayesian econometrics. Journal of Economic Survey 8, 1–34.CrossRefGoogle Scholar
Koopmans, T.C. (1949) Reply to Rutledge Vining. Review of Economics and Statistics 31, 86–91.CrossRefGoogle Scholar
Koopmans, T.C. (ed.) (1950) Statistical Inference in Dynamic Economic Models. Cowles Commission Monograph 10. New York: Wiley.Google Scholar
Koyek, L.M. (1954) Distributed Lags and Investment Analysis. Amsterdam: North-Holland.Google Scholar
Learner, E.E. (1972a) Book review: An introduction to Bayesian inference in econometrics by Arnold Zellner (1971). Journal of Economic Literature 10, 1232–1234.Google Scholar
Learner, E.E. (1972b) A class of informative priors and distributed lag analysis. Econometrica 40, 1059–1081.Google Scholar
Learner, E.E. (1973) Multicollinearity: A Bayesian interpretation. Review of Economics and Statistics 55, 371–380.Google Scholar
Learner, E.E. (1974) False models and post-data model construction. Journal of the American Statistical Association 69, 122–131.Google Scholar
Learner, E.E. (1975) "Explaining your results" as access-biased memory. Journal of the American Statistical Association 70, 88–93.Google Scholar
Learner, E.E. (1978a) Regression selection strategies and revealed priors. Journal of the American Statistical Association 73, 580–587.Google Scholar
Learner, E.E. (1978b) Specification Searches. New York: Wiley.Google Scholar
Learner, E.E. & Leonard, H. (1983) Reporting the fragility of regression estimates. Review of Economics and Statistics 65, 306–317.Google Scholar
Lempers, F.B. (1971) Posterior Probabilities of Alternative Linear Models. Ph.D. Thesis, University of Rotterdam.Google Scholar
Liu, T.C. (1960) Underidentification, structural estimation, and forecasting. Econometrica 28, 855–865.CrossRefGoogle Scholar
Marschak, J. (1953) Economic measurements for policy and prediction. In Hood, W.C. & Koopmans, T.C. (eds.), Studies in Econometric Method, pp. 1–26. Cowles Commission Monograph 14. New York: Wiley.Google Scholar
Marschak, J. (1954) Probability in the Social Sciences. Cowles Commission Papers, New Series 82.Google Scholar
Morales, J.A. (1971) Bayesian Full Information Structural Analysis. Berlin: Springer-Verlag.CrossRefGoogle Scholar
Morgan, M. (1990) The History of Econometric Ideas. Cambridge: Cambridge University Press.CrossRefGoogle Scholar
Pagan, A. (1987) Three econometric methodologies: A critical appraisal. Journal of Economic Surveys 1, 3–24.CrossRefGoogle Scholar
Pagan, A. (1995) Three econometric methodologies: An update. In Oxley, L., George, D.A.R., Roberts, C.L. & Sayer, S. (eds.), Surveys in Econometrics, pp. 30–41. Oxford: Blackwell.Google Scholar
Phillips, P.C.B. & Ploberger, W. (1992) Time Series Modelling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics. Discussion paper 1038, Cowles Foundation.Google Scholar
Poirier, D.J. (1988) Frequentist and subjectivist perspectives on the problems of model building in economics. Journal of Economic Perspective 2, 121–144.CrossRefGoogle Scholar
Press, S.J. (1980) Bayesian computer programs. In Zellner, A. (ed.), Bayesian Analysis in Econometrics and Statistics, pp. 429–442. Amsterdam: North-Holland.Google Scholar
Qin, D. (1993) The Formation of Econometrics: A Historical Perspective. Oxford: Oxford University Press.Google Scholar
Qin, D. (1994) Has Bayesian Estimation Principle Ever Used Bayes' Rule? Economics discussion paper 318, Queen Mary and Westfield College.Google Scholar
Raiffa, H. & Schlaifer, R. (1961) Applied Statistical Decision Theory. Cambridge: Harvard University Press.Google Scholar
Rothenberg, T.J. (1963) A Bayesian Analysis of Simultaneous Equations Systems. Econometric Institute report 6315, Netherlands School of Economics.Google Scholar
Rothenberg, T.J. (1971) The Bayesian approach and alternatives in econometrics-II. In Intriligator, M.D. (ed.), Frontiers of Quantitative Economics, pp. 194–207. Amsterdam: North-Holland.Google Scholar
Rothenberg, T.J. (1973) Efficient Estimation with a Priori Information. Cowles Foundation Monograph 23, Yale University Press.Google Scholar
Rothcnberg, T.J. (1973) Bayesian analysis of simultaneous equations models. In Fienberg, S.E. & Zellner, A. (eds.), Studies in Bayesian Econometrics and Statistics, pp. 405–424. Amsterdam: North-Holland.Google Scholar
Rowley, R. & Hamouda, O. (1987) Troublesome probability and economics. Journal of Post Keynesian Economics 10, 44–64.CrossRefGoogle Scholar
Shiller, R.J. (1973) A distributed lag estimator derived from smoothness priors. Econometrica 41, 775–788.CrossRefGoogle Scholar
Sims, C.A. (1980) Macroeconomics and reality. Econometrica 48, 1–48.CrossRefGoogle Scholar
Theil, H. (1958) Economic Forecasts and Policy. Amsterdam: North-Holland.Google Scholar
Theil, H. (1963) On the use of incomplete prior information in regression analysis. Journal of the American Statistical Association 58, 401–414.CrossRefGoogle Scholar
Theil, H. & Goldberger, A.S. (1961) On pure and mixed statistical estimation in economics. International Economic Review 2, 65–78.CrossRefGoogle Scholar
Thornber, H. (1967) Finite sample Monte Carlo studies: An autoregressive illustration. Journal of the American Statistical Association 62, 801–818.CrossRefGoogle Scholar
Tiao, G.C. & Zellner, A. (1964a) Bayes' theorem and the use of prior knowledge in regression equations. Biometrika 51, 219–230.CrossRefGoogle Scholar
Tiao, G.C. & Zellner, A. (1964b) On the Bayesian estimation of multivariate regression. Journal of the Royal Statistical Society 26, 277–285.Google Scholar
Tinbergen, J. (1952) On the Theory of Economic Policy. Amsterdam: North-Holland.Google Scholar
Zellner, A. (1965) Bayesian Inference and Simultaneous Equation Econometric Models. Paper presented at the First World Congress of the Econometric Society, Rome.Google Scholar
Zellner, A. (1971a) The Bayesian approach and alternatives in econometrics -I. In Intrili-gator, M.D. (ed.), Frontiers of Quantitative Economics, pp. 178–193. Amsterdam: North-Holland.Google Scholar
Zellner, A. (1971b) An Introduction to Bayesian Inference in Econometrics. New York: Wiley.Google Scholar
Zellner, A. (1984) Basic Issues in Econometrics. Chicago: University of Chicago Press.Google Scholar
Zellner, A. & Chetty, V.K. (1965) Prediction and decision problems in regression models from the Bayesian point of view. Journal of the American Statistical Association 60, 608–616.CrossRefGoogle Scholar
Zellner, A. & Geisel, M.S. (1970) Analysis of distributed lag models with applications to consumption function estimation. Econometrica 38, 856–888.CrossRefGoogle Scholar
Zellner, A. & Tiao, G.C. (1964) Bayesian analysis of the regression model with autocorrelated errors. Journal of the American Statistical Association 59, 763–778.CrossRefGoogle Scholar