Curriculum Vitae

February, 2016
John Geweke
Present Positions
Distinguished Research Professor and Chief Investigator,
ARC COE for Mathematical and Statistical Models
Faculty of Business
University of Technology Sydney
Sydney, NSW, Australia
Phone: (+61) 02 9514 9797
Email: John.Geweke@uts.edu.au
Consultant, Amazon
Affiliate Professor
Department of Economics
University of Washington
Seattle, Washington
Education
B.S., Social Science
Ph.D., Economics

Michigan State University, 1970

University of Minnesota, 1975

Awards and Recognition

Fellow of the Econometric Society, since 1982
Fellow of the American Statistical Association, since 1990
Fellow of the Society for Financial Econometrics, since 2012
Alfred P. Sloan Research Fellow, 1982-1984
H.I. Romnes Faculty Fellow, University of Wisconsin, 1982-1983
Dayton-Hudson Fellowship, 1970-1974
National Merit Scholar, 1966-1970
Member, Phi Beta Kappa and Phi Kappa Phi
Listed in Marquis Whos Who in America, similar publications
Previous Academic Positions
Harlan McGregor Chair in Economic Theory, University of Iowa
Professor of Economics and Professor of Statistics, University of Iowa
Professor of Economics, University of Minnesota
Director, Institute of Statistics and Decision Sciences, Duke University
Professor of Statistics and Decision Sciences, Duke University

1999-2010
1999-2010
1990-2001
1987-1990
1987-1990

William R. Kenan, Jr., Professor of Economics, Duke University

Professor of Economics, Duke University
Visiting Professor of Economics, Carnegie-Mellon University
Visiting Professor of Statistics, Carnegie-Mellon University
Professor of Economics, University of Wisconsin-Madison
Associate Professor of Economics, University of Wisconsin-Madison
Visiting Fellow, Warwick University
Assistant Professor of Economics, University of Wisconsin-Madison

1986-1990
1983-1986
1982-1983
1982-1983
1982-1983
1979-1982
1979
1975-1979

Editorial Service
Executive Council, Journal of Econometrics
Co-Editor, Journal of Econometrics
Advisory Board, Journal of Applied Econometrics
Advisory Board, Journal of Financial Econometrics
Board of Editors, Kluwer Advances in Computational Economics
Associate Editor, Journal of the American Statistical Association
Co-Editor, Journal of Applied Econometrics
Associate Editor, Econometrica
Advisory Editor, Macroeconomic Dynamics
Associate Editor, Computational Economics
Editor, Journal of Business and Economic Statistics
Editor-Elect, Journal of Business and Economic Statistics
Board of Editors, Springer Series in Statistics
Associate Editor, Econometric Reviews
Associate Editor, Journal of Econometrics
Advisory Editor, Economics Letters
Referee: American Economic Review
American Journal of Agricultural Economics
The American Statistician
Annals of Applied Econometrics
Annals of the Institute of Statistical Mathematics
Annals of Statistics
Bulletin of Economic Research
Canadian Journal of Economics
Canadian Journal of Statistics
Communications in Statistics
Communications in Statistics, Simulation and Computation
Computational Statistics
Decision Sciences
Demography
Econometrica
Economic Development and Cultural Change
Economic Inquiry

20122003-2011
200320021992-1999
1983-1988;
2000-2003
1993-2002
1984-1988;
1995-2001
1997-2000
1992-1999
1990-1992
1989
1990-1992
1987-1992
1983-1988
1980-1984

The Economic Journal

Empirica
Empirical Economics
Federal Reserve Bank of Minneapolis Quarterly Review
Gntique Slection Evolution
History of Political Economy
IEEE Transactions on Information Theory
International Economic Journal
International Economic Review
International Journal of Adaptive Control and Signal Processing
International Journal of Forecasting
International Journal of Industrial Organization
International Journal of Money and Finance
International Journal of Supercomputing
International Statistical Review
Journal of the American Statistical Association
Journal of Business and Economic Statistics
Journal of Computational and Graphical Statistics
Journal of Development Economics
Journal of Econometrics
Journal of Economic Dynamics and Control
Journal of Economic Perspectives
Journal of Economic Surveys
Journal of Economic Theory
Journal of Futures Markets
Journal of Human Resources
Journal of International Money and Finance
Journal of Land Economics
Journal of Monetary Economics
Journal of Money, Credit and Banking
Journal of Official Statistics
Journal of Political Economy
Journal of Postkeynesian Economics
Journal of Statistical Computation and Simulation
Management Science
Marketing Science
Mathematical and Computer Modelling
Metrika
Naval Research Logistics
Policy Sciences
Proceedings of the National Academy of Sciences
Psychometrika
Review of Economics and Statistics
Review of Economic Studies
Ricerche Economiche
Science

Statistica Sinica
Statistical Science
The Statistician
Statistics
Statistics and Probability Letters
Statistics in Medicine
Socio-Economic Planning Systems
TIMS Applied Stochastic Models
Transportation Research
Editorial Consultant:
Academic Press
American Economic Review
Cambridge University Press
Dryden Press
Holt, Rhinehart, and Winston
Kluwer Academic Publishers
Little, Brown and Co.
North-Holland Publishing Co.
Princeton University Press
Springer-Verlag
University of Chicago Press
University of Minnesota Press
Project Reviewer:
National Science Foundation
National Institutes of Health
Economic and Social Research Council
Natural Sciences and Engineering Research Council of Canada
National Security Council
Professional Service
Meetings Organized:
North American Summer Meeting of the Econometric
Society, Duke University
Thirty-Fourth NBER-NSF Seminar on Bayesian Inference
in Econometrics, Duke University (with Arnold Zellner)
Fourth International Symposium in Economic Theory
and Econometrics, University of Texas
(with William Barnett and Carl Shell)
Fifth International Conference on the Foundation and
Applications of Utility, Risk, and Decision Theories,
Duke University
Midwest Econometrics Group, Federal Reserve Bank of
Minneapolis

June 1986
April 1987
May 1987

June 1990

September 1992

Conference on Research and Training in Computational

Economics, Federal Reserve Bank of Minneapolis
Conference on Simulation-Based Methods in
Econometrics, Federal Reserve Bank of Minneapolis
Second Renewed Seminar on Bayesian Inference in
Econometrics and Statistics, University of Iowa
NBER/NSF Time Series Conference, University of Iowa
(with Kung-Sik Chan and Johannes Ledolter)
Other Professional Service:
Econometric Society Program Committee

March 1994
November 1995
April 2006
September 2007

1981, 1983,
1996, 2001,
2007
1980
1984-1985

American Statistical Association Nominations Committee

Econometric Society Fifth World Congress Program
Committee
Econometric Society Program Committee (Chair)
1986
Fisher-Taussig Award Committee
1987-1989
L. J. Savage Award Committee
1988-1992
American Statistical Association Publications Committee
1989-1992
Charter committee, Section on Bayesian Statistical Science, 1991-1992
American Statistical Association
ASA Council of Sections (elected)
1991-1993
Member, Board on Mathematical Sciences (NAS)
1991-1994
Member, Committee on National Statistics (NAS)
1992-1998
Publications Chair, Section on Bayesian Statistical Science 1994-1995
American Statistical Association
Econometric Society Seventh World Congress Program
1994-1995
Committee
Trustee, National Institute of Statistical Sciences
1994-2003
Advisory Board, Seminar on Bayesian Inference in
1994Econometrics and Statistics
Member, NRC Panel on Demographic and Economic Impacts
of Immigration
1995-1997
Panel member, Methodology, Measurement and Statistics
1995-1997
Program, National Science Foundation
Program Committee Chair, International Society for
1996
Bayesian Analysis North American Meeting
Member, External Review Committee for The Wharton
School Department of Statistics
1996
Chair-Elect, Business and Economic Statistics Section,
1996
American Statistical Association
Program Committee, 8th International Conference on the
1996-97
Foundations and Applications of Utility, Risk and
Decision Theory
Chair, Business and Economic Statistics Section,
1997

American Statistical Association

Zellner Prize Committee
Chair, NRC Panel to Evaluate the Economic Research
Service of the U.S. Department of Agriculture
President-Elect, International Society for Bayesian Analysis
President, International Society for Bayesian Analysis
Member, National Academy of Sciences Commission on
Behavioral and Social Sciences and Education
American Statistical Association Fellows Committee
Member, National Science Foundation Advisory Committee
for Social, Behavioral and Economic Sciences
Member, NRC Panel to Evaluate USDAs Methodology for
Estimating Eligibility and Participation for the WIC
Program
Member of the Founding Council and Founding Member,
Society for Financial Econometrics

1997
1997-98
1998
1999
1998-2004
1999-2001
2000-2003

2000-2003
2007

Consultant:
Amazon
Economists, Inc.
Microeconomic Consulting and Research Associates
Federal Trade Commission
Glassman-Oliver Economic Consultants, Inc.
Congressional Budget Office
Federal Reserve Bank of Minneapolis
Research Triangle Institute
Florida Power and Light Company
Niagara-Mohawk Power Company
Environmental Protection Agency
The World Bank
U.S. Department of Labor
Pracon, Inc.

201120032004-2006
2001-2006
1998-2004
1999-2000
1990-1999
1983-1990

1986-1989
1977-1979
1977-1982

Professional Affiliations:
Member, Econometric Society
1972Member, American Statistical Association
1972Member, American Economic Association
1973Member, Institute of Mathematical Statistics
1989Fellow, Royal Statistical Society
1991Charter member, International Society for Bayesian Analysis 1992Founding Member, Society for Financial Econometrics
2007Research Grants (Principal or Co-Principal Investigator)
Manpower Administration Doctoral Dissertation Grant

1974-1975

U.S. Department of Labor, $11,400

The Dynamics of the International and Intersectoral Transmission
of Inflation (with E. Feige)
National Science Foundation SOC 76-21439, $69,600

1976-1978

Economic Modeling with Latent Variables (with D. Aigner and

A. Goldberger)
National Science Foundation SOC 76-24428, $312,848

1977-1980

An Efficient Method for Revising Seasonally Adjusted Time Series

U.S. Bureau of the Census JSA 77-151, $23,192

1977-1978

Inference and Model Selection with Economic Time Series

National Science Foundation SES 80-05606, $100,991

1980-1982

The Measurement and Characterization of Relationships Between

Economic Time Series
National Science Foundation SES 82-07639, $35,847

1982-1983

Measurement and Interpretation of Macroeconomic Time Series

National Science Foundation SES 83-18778, $68,541

1984-1985

Exact Inference in Dynamic Econometric Models

National Science Foundation SES 86-05867, $116,035

1986-1989

Mathematical Sciences Research Equipment

National Science Foundation DMS 88-04572, $53,850

1988

The Practice of Bayesian Inference (with M. West and R. Wolpert)

National Science Foundation DMS 89-03842, $140,500

1989-1992

Computational Approaches to Econometrics and Economic Modeling

National Science Foundation SES 89-08365, $186,276

1989-1992

Fifth International Conference on the Foundations and Applications of

Utility, Risk and Decision Theory
National Science Foundation SES 89-21398, $25,000

1990-1991

Labor Market Transitions of Older Workers (with G. Zarkin)

National Institute on Aging R01 AG08319, $313,980

1990-1992

Sampling-Based Approaches to Bayesian Inference in Econometrics

National Science Foundation SES 92-10070, $189,591

1992-1995

Posterior Simulators in Econometrics

1996-1999

National Science Foundation SBR-9514865, $192,842

Bayesian Communication in the Social Sciences (with S. Chib)
National Science Foundation SBR-9600040, $154,170

1996-1998

Bayesian Analysis, Computation and Communication

in the Social Sciences (with S. Chib)
National Science Foundation SBR-9731037, $239,933

1998-2001

Flexible Bayesian Econometric Modeling

National Science Foundation SBR-9819444, $206,297

1999-2002

Analysis of Earnings Inequality and Earnings Mobility (with M. Keane) 1999-2002

National Institutes of Health R01-HD37060-01, $280,243
Bayesian Analysis, Computation and Communication
in the Social Sciences
National Science Foundation SBR-0214303, $180,516

2002-2005

Smoothly Mixing Regressions

National Science Foundation SBR-0720547, $209,887

2007-2010

Pooling Econometric Models for Prediction and Decision Making

Australian Research Council DP110104732, $556,541
(Head and Chief Investigator)

2011-2013

Massively Parallel Algorithms for Bayesian Inference and

Decision Making
Australian Research Council DP130103356, $800,000
(Head and Chief Investigator)

2013-2015

ARC Centre of Excellence for Mathematical and Statistical Frontiers

of Big Data
Australian Research Council CD140100049, $20,000,000
(Chief Investigator)

2014-2020

Published Research
1.

The Dynamic Factor Analysis of Economic Time Series Models, in D. Aigner and
A. Goldberger (eds.), Latent Variables in Socioeconomic Models, 365-383.
Amsterdam: North-Holland, 1977.

2.

Wage and Price Dynamics in U.S. Manufacturing, in New Methods in Business

Cycle Research, 111-158. Minneapolis: Federal Reserve Bank of Minneapolis,
1977.

3.

Testing the Exogeneity Specification in the Complete Dynamic Simultaneous

Equation Model, Journal of Econometrics, 1978, 7, 163-185. Reprinted in Mills, T.
(ed.), Time Series Econometrics: Critical Concepts (London: Routledge, 2015)

4.

Temporal Aggregation in the Multiple Regression Model, Econometrica, 1978, 46,

643-662.

5.

The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series, in A.

Zellner (ed.), Seasonal Analysis of Economic Time Series, 411-432. Washington:
U.S. Government Printing Office, 1978.

6.

The Revision of Seasonally Adjusted Time Series, 1978 Proceedings of the

Business and Economic Statistics Section - American Statistical Association, 320325.

7.

Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange,
Review of Economics and Statistics, 1979, 61, 334-341. (E. Feige, coauthor)

8.

On Specification in Simultaneous Equation Models, in J. Kmenta and J. Ramsey

(eds.), Evaluation of Econometric Models, 169-196. New York: Academic Press,
1980. (W. Dent, coauthor)

9.

Interpreting the Likelihood Ratio Statistic in Factor Models When Sample Size is
Small, Journal of the American Statistical Association, 1980, 75, 133-137. (K.
Singleton, coauthor)

10. Some Economic Consequences of Technological Advance in Medical Care: The

Case of a New Drug, in R. Helms (ed.), Drugs and Health, 235-271. Washington:
American Enterprise Institute, 1980. (B. Weisbrod, coauthor)
11. Maximum Likelihood Confirmatory Factor Analysis of Economic Time Series,
International Economic Review, 1981, 22, 37-54. (K. Singleton, coauthor)
12. Estimating Regression Models of Finite but Unknown Order, International
Economic Review, 1981, 22, 55-70. (R. Meese, second author)
13. Latent Variable Models for Time Series: A Frequency Domain Approach with an
Application to the Permanent Income Hypothesis, Journal of Econometrics, 1981,
17, 287-304. (K. Singleton, coauthor)
14. A Comparison of Tests of the Independence of Two Covariance Stationary Time
Series, Journal of the American Statistical Association, 1981, 76, 363-373.
15. The Approximate Slopes of Econometric Tests, Econometrica, 1981, 49, 14271442.

16. Measurement of Linear Dependence and Feedback Between Multiple Time Series,
Journal of the American Statistical Association, 1982, 77, 304-324. (With
comments by E. Parzen, D. A. Pierce, W. Wei, and A. Zellner, and rejoinder.)
Reprinted in Mills, T. (ed.), Time Series Econometrics: Critical Concepts (London:
Routledge, 2015)
17. Feedback Between Monetary Policy, Labor Market Activity, and Wage Inflation in
the United States, 1955-1978, in M. Baily (ed.), Workers, Jobs and Inflation, 159198. Washington: The Brookings Institution, 1982.
18. Clinical Evaluation vs. Economic Evaluation: The Case of a New Drug, Medical
Care, 1982, 20, 821-830. (B. Weisbrod, coauthor)
19. Inference and Causality in Economic Time Series Models, in Z. Grilliches and M.
Intriligator (eds.), Handbook of Econometrics, 1101-1144. Amsterdam: NorthHolland, 1984.
20. Comparing Alternative Tests of Causality in Temporal Systems: Analytic Results
and Experimental Evidence, Journal of Econometrics, 1983, 21, 161-194. (R.
Meese and W. Dent, second authors)
21. Causality, Exogeneity, and Inference, invited paper, Fourth World Congress of the
Econometric Society, in D. Hildenbrand (ed.), Advances in Econometrics, 209-236.
Cambridge: Cambridge University Press, 1983.
22. Does Technological Change Affect Health Care Expenditures? The Case of a New
Drug, Evaluation Review, 1984, 8, 75-91. (B. Weisbrod, coauthor)
23. Measures of Conditional Linear Dependence and Feedback, Journal of the
American Statistical Association, 1984, 79, 907-915.
24. The Estimation and Application of Long Memory Time Series Models, Journal of
Time Series Analysis 4, 1984, 221-238. (S. Porter-Hudak, coauthor) Reprinted in A.
Harvey (ed.), Time Series, Edward Elgar Publishing, 1994.
25. A Comparison of Autoregressive Univariate Forecasting Procedures for
Macroeconomic Time Series, Journal of Business and Economic Statistics, 1984, 2,
191-200. (R. Meese, first author)
26. Macroeconomic Modeling and the Theory of the Representative Agent, American
Economic Review, 1985, 75, 206-210.
27. Inferring Household Demand for Durable Goods, with Heterogeneous Preferences;
A Case Study, Duke University manuscript and report to Research Triangle
Institute, 1985.

10

28. The Superneutrality of Money in the United States: An Interpretation of the

Evidence, Econometrica, 1986, 54, 1-22.
29. Exact Inference in the Inequality Constrained Normal Linear Regression Model,
Journal of Applied Econometrics, 1986, 1, 127-142.
30. Exact Inference for Continuous Time Markov Chains, Review of Economic
Studies, 1986, 53, 653-669. (R. C. Marshall and G. Zarkin, second authors)
31. Mobility Indices in Continuous Time Markov Chains, Econometrica, 1986, 54,
1407-1424. (R. C. Marshall and G. Zarkin, second authors)
32. Endogeneity and Exogeneity, in J. Eatwell, M. Milgate, and P. Newman (eds.),
The New Palgrave: A Dictionary of Economic Theory and Doctrine. London: The
Macmillan Press.
33. Long Run Competition in the U.S. Aluminum Industry, International Journal of
Industrial Organization,1987, 5, 67-78. (L. Froeb, coauthor)
34. Exact Inference in Models with Autogregressive Conditional Heteroskedasticity,
in E. Berndt, H. White, and W. Barnett (eds.), Dynamic Econometric Modeling, 73103. Cambridge: Cambridge University Press, 1988.
35. The Secular and Cyclical Behavior of Real GDP in Nineteen OECD Countries,
1957-1983, Journal of Business and Economic Statistics, October 1988, 6, 479-486.
36. Antithetic Acceleration of Monte Carlo Integration in Bayesian Inference, Journal
of Econometrics, 1988, 38, 73-90.
37. Exact Predictive Densities in Linear Models with ARCH Disturbances, Journal of
Econometrics, 1989, 40, 63-86.
38. Modeling with Normal Polynomial Expansions, in J. Geweke, K. Shell, and W.
Barnett (eds.), Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity,
337-360. Cambridge: Cambridge University Press, 1989.
39. Acceleration Methods for Monte Carlo Integration in Bayesian Inference, in E. J.
Wegman, D. T. Gantz, and J. J. Miller (eds.), Proceedings of the 20th Symposium on
the Interface: Computationally Intensive Methods in Computing Science and
Statistics, 587-592. Alexandria: American Statistical Association, 1989.
40. Semiparametric Bayesian Estimation of the Asymptotically Ideal Model: The AIM
Demand System, in W. Barnett, J. Powell, and G. Tauchen (eds.), Nonparametric
and Seminonparametric Methods in Econometrics and Statistics, 127-174.
Cambridge: Cambridge University Press, 1991. (W. Barnett and P. Yue, coauthors)

11

41. Bayesian Inference in Econometric Models Using Monte Carlo Integration,

Econometrica, 1989, 57, 1317-1340. Reprinted in G.C. Box and N. Polson (eds.),
Bayesian Inference, Edward Elgar Publishing, 1994.
42. The Posterior Distribution of Roots in Multivariate Autoregressions, American
Statistical Association 1989 Proceedings of the Business and Economic Statistics
Section.
43. A Bayesian Method for Evaluating Medical Test Operating Characteristics When
Some Patients Fail to be Diagnosed by the Reference Standard, Medical Decision
Making, 1990, 10, 102-115. (D. B. Matchar, D. C. Simel, and J. R. Feussner,
coauthors) (With Commentary by F R. Nease, Jr., and D. K. Owens, and Response)
44. Generic, Algorithmic Approaches to Monte Carlo Integration in Bayesian
Inference, Contemporary Mathematics, 1991, 115, 117-135.
45. Seminonparametric Bayesian Estimation of Consumer Demand and Factor Demand
Functions, in W. Barnett, B. Cornet, C. dAspremont, J. Gabszewicz, and A. MasColell (eds.), Equilibrium Theory and Applications, 425-480. Cambridge:
Cambridge University Press, 1991. (W. Barnett and M. Wolfe, coauthors)
46. Seminonparametric Bayesian Estimation of the Asymptotically Ideal Production
Model, Journal of Econometrics, 1991, 49, 5-50. (W. Barnett and M. Wolfe,
coauthors)
47. Efficient Simulation from the Multivariate Normal and Student-t Distributions
Subject to Linear Constraints, in E. M. Keramidas (ed.), Computing Science and
Statistics: Proceedings of the Twenty-Third Symposium on the Interface, 571-578.
Fairfax: Interface Foundation of North America, Inc., 1991.
48. Threshold Autoregressive Models for Macroeconomic Time Series: A Bayesian
Approach, American Statistical Association 1991 Proceedings of the Business and
Economic Statistics Section, 42-50. (N. Terui, coauthor)
49. Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of
Posterior Moments, in J.O. Berger, J.M. Bernardo, A.P. Dawid, and A.F.M. Smith
(eds.), Bayesian Statistics 4, 169-194. Oxford: Oxford University Press, 1992.
50. Bayesian Threshold Autoregressive Models for Nonlinear Time Series, Journal of
Time Series Analysis, 1993, 14, 441-455. (N. Terui, coauthor)
51. Inference and Forecasting for Chaotic Nonlinear Time Series, in P. Chen and R.
Day (eds.), Nonlinear Dynamics and Evolutionary Economics. Oxford: Oxford
University Press, 1993.

12

52. Bayesian Treatment of the Independent Student-t Linear Model, Journal of

Applied Econometrics, 1993, 8, S19-S40. Also published in H.K. van Dijk, A.
Monfort, and B.W. Brown (eds.), Econometric Inference using Simulation
Techniques. Chichester: John Wiley & Sons, 1995, 35-56.
53. Priors for Macroeconomic Time Series and Their Application, Econometric
Theory, 1994, 10, 609-632.
54. Advances in Random Utility Models, Marketing Letters , 1994, 5, 311-322. (J.L.
Horowitz, M. Keane, et al., coauthors)
55. Alternative Computational Approaches to Inference in the Multinomial Probit
Model, Review of Economics and Statistics, 1994, 76, 609-632. (M. Keane and D.
Runkle, coauthors)
56. Recursively Simulating Multinomial Multiperiod Probit Probabilities, American
Statistical Association 1994 Proceedings of the Business and Economic Statistics
Section. (M. Keane and D. Runkle, coauthors)
57. A Fine Time for Monetary Policy?, Federal Reserve Bank of Minneapolis
Quarterly Review, 1995, 19:(1) 18-31. (D. Runkle, coauthor)
58. Variable Selection and Model Comparison in Regression, in J.O. Berger, J.M.
Bernardo, A.P. Dawid, and A.F.M. Smith (eds.), Bayesian Statistics 5. Oxford:
Oxford University Press, 1996, 609-620.
59. Monte Carlo Simulation and Numerical Integration, in H. Amman, D. Kendrick
and J. Rust (eds.), Handbook of Computational Economics. Amsterdam: NorthHolland, 1996, 731-800.
60. Bayesian Reduced Rank Regression in Econometrics, Journal of Econometrics,
1996, 75, 121-146.
61. Bayesian Inference for Linear Models Subject to Linear Inequality Constraints, in
W.O. Johnson, J.C. Lee and A. Zellner (eds.), Modeling and Prediction: Honoring
Seymour Geisser. New York: Springer-Verlag, 1996, 248-263.
62. Measuring the Pricing Error of the Arbitrage Price Theory, Review of Financial
Studies, 1996, 9, 557-587. (G. Zhou, coauthor)
63. Posterior Simulators in Econometrics, in D. Kreps and K.F Wallis (eds.),
Advances in Economics and Econometrics: Theory and Applications, vol. III.
Cambridge: Cambridge University Press, 1997, 128-165. (Invited symposium paper,
Econometric Society Seventh World Congress)

13

64. Simulation-Based Bayesian Inference for Economic Time Series, in R.S. Mariano,
T. Schuermann and M. Weeks (eds.), Simulation-Based Inference in Econometrics:
Methods and Applications. Cambridge: Cambridge University Press, 2000, 255-299.
65. Bayesian Inference for Dynamic Discrete Choice Models Without the Need for
Dynamic Programming, in R.S. Mariano, T. Schuermann and M. Weeks (eds.),
Simulation-Based Inference in Econometrics: Methods and Applications.
Cambridge: Cambridge University Press, 2000, 100-131. (M. Keane, coauthor)
66. Statistical Inference in the Multinomial Multiperiod Probit Model, Journal of
Econometrics, 1997, 80, 125-166. (M. Keane and D. Runkle, coauthors)
67. Mixture of Normals Probit Models, in C. Hsiao, K. Lahiri, L-F Lee and M. H.
Pesaran (eds.), Analysis of Panels and Limited Dependent Variables: In Honor of G.
S. Maddala, 49-78. Cambridge: Cambridge University Press, 1999. (M. Keane,
coauthor)
68. Prior Density Ratio Class Robustness in Econometrics, Journal of Business and
Economic Statistics, 1998, 16, 469-478. (L. Petrella, coauthor)
69. Using Simulation Methods for Bayesian Econometric Models: Inference,
Development and Communication (with discussion and rejoinder), Econometric
Reviews , 1999, 18, 1-126
70. Simulation Methods for Model Criticism and Robustness Analysis (with
discussion and reply), in J.O. Berger, J.M. Bernardo, A.P. Dawid, and A.F.M. Smith
(eds.), Bayesian Statistics 6, 275-299. Oxford: Oxford University Press, 1999.
71. Simulation Based Inference for Dynamic Multinomial Choice Models, in B.H.
Baltagi (ed.), Companion for Theoretical Econometrics, 466-493. London: Basil
Blackwell, 2001. (D. Houser and M. Keane, coauthors)
72. An Empirical Analysis of Income Dynamics among Men in the PSID: 1968-1989,
Journal of Econometrics, 2000, 96, 293-356. (M. Keane, coauthor)
73. On Markov Chain Monte Carlo Methods for Nonlinear and Non-Gaussian StateSpace Models, Communications in Statistics , 1999, 28, 867-894. (H. Tanizaki,
coauthor)
74. Bayesian Econometrics and Forecasting, Journal of Econometrics. 2001, 100, 1115.
75. Bayesian Communication: The BACC System, 2000 Proceedings of the Section
on Bayesian Statistical Sciences - American Statistical Association., 40-49.

14

76. Using Simulation Methods for Bayesian Econometric Models, in D. Giles (ed.),
Computer Aided Econometrics. New York: Marcel Dekker, 2003, 209-261. (W.
McCausland and J. Stevens, coauthors)
77. Computationally Intensive Methods for Integration in Econometrics, in J.
Heckman and E.E. Leamer (eds.), Handbook of Econometrics volume 5.
Amsterdam: North-Holland, 2001, 3463-3568. (M. Keane, coauthor)
78. A Note on Some Limitations of CRRA Utility,Economics Letters., 2001, 71, 341346.
79. Embedding Bayesian Tools in Mathematical Software, in E. I. George (ed.),
Bayesian Methods with Applications to Science, Policy, and Official Statistics.
Brussels: Eurostat., 2001, 165-174.
80. Bayesian Estimation of Nonlinear State-Space Models Using Metropolis-Hastings
Algorithm with Gibbs Sampling, Computational Statistics and Data Analysis, 2001,
37, 151-170. (H. Tanizaki, senior author)
81. Bayesian Specification Analysis in Econometrics, American Journal of
Agricultural Economics, 2001, 83, 1181-1186. (W. McCausland, coauthor)
82. Pitfalls in Drawing Policy Conclusions from Retrospective Survey Data: The Case
of Advertising and Underage Smoking, Journal of Risk and Uncertainty, 2002, 25,
111-131. (D. L. Martin, coauthor)
83. Bayesian Inference and Posterior Simulators, Canadian Journal of Agricultural
Economics, 2001, 49, 313-325
84. Bayesian Inference for Hospital Quality in a Selection Model, Econometrica,
2003, 71, 1215-1238. (G. Gowrisankaran and R.J. Town, coauthors)
85. Note on the Sampling Distribution for the Metropolis-Hastings Algorithm,
Communications in Statistics, 2003, 32, 775-789. (H. Tanizaki, coauthor)
86. Getting it Right: Joint Distribution Tests of Posterior Simulators, Journal of the
American Statistical Association, 2004, 99, 799-804.
87. Bayesian Forecasting, in G. Elliott, C.W.J. Granger and A. Timmermann (eds.),
Handbook of Economic Forecasting. Amsterdam: Elsevier, Chapter 1, 3-80, 2006.
(C. Whiteman, coauthor)
88. Contemporary Bayesian Econometrics and Statistics. New York: Wiley, 2005.
89. Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of
Men in the United States, 1967-1996, in S.K. Upadhyay, U. Singh and Dipak K.

15

Dey (eds.), Bayesian Statistics and its Applications. New Delhi: Anamaya
Publishers 2006, 161-197. (M. Keane, coauthor)
90. A Variance Screen for Collusion, International Journal of Industrial
Organization, 2006, 24, 467-486. (R.M. Abrantes-Metz, L.M. Froeb and C.T.
Taylor, coauthors)
91. Smoothly Mixing Regressions, Journal of Econometrics, 2007, 138, 252-291. (M.
Keane, coauthor)
92. Modeling Asset Returns with Smoothly Mixing Regressions, Medium for
Econometric Applications, 2006, 14, 60-66.
93. Interpretation and Inference in Mixture Models: Simple MCMC Works,
Computational Statistics and Data Analysis, 2007, 51, 3529-3550.
94. Econometrics, in L. Blume and S. Durlauf (eds.), The New Palgrave Dictionary of
Economics. Hampshire (UK): Palgrave Macmillan 2008. (J. Horowitz and M. H.
Pesaran, coauthors)
95. Bayesian Model Comparison and Validation, American Economic Review Papers
and Proceedings, 2007, 97, 60-64.
96. Hierarchical Markov Normal Mixture Models with Applications to Financial Asset
Returns, Journal of Applied Econometrics, 2011, 26, 1-29. (G. Amisano, coauthor)
97. Evaluating the Predictive Distributions of Bayesian Models of Asset Returns,
International Journal of Forecasting, 2010, 26, 216-230. (G. Amisano, coauthor)
98. Complete and Incomplete Econometric Models. Princeton: Princeton University
Press, 2010 (The Econometric Institute Lectures series).
99. Memoirs of an Indifferent Trade: Estimating Forecast Distributions from Prediction
Markets, Quantitative Economics, 2010, 1, 163-186. (J. E. Berg and T. A. Rietz,
coauthors)
100. Optimal Prediction Pools, Journal of Econometrics, 2011, 164, 130-141. (G.
Amisano, coauthor)
101. Complete and Incomplete Bayesian Models for Financial Time Series, in JSM
2010 Proceedings, Section on Bayesian Statistical Science, 65-79. Alexandria, VA:
American Statistical Association.
102. Inference and Prediction in a Multiple Structural Break Model, Journal of
Econometrics, 2011, 163, 172-185. (Y. Jiang, coauthor)

16

103. Prediction with Misspecified Models, American Economic Review, 2011, 102,3:
482-486. (G. Amisano, coauthor)
104. Financial Competence and Expectations Formation: Evidence from Australia,
Economic Record, 2012, 88, 39-63 (H. Bateman, C. Eckert, J. Louviere, S. Satchell,
S. Thorp, coauthors)
105. Nonparametric Bayesian Modeling of Monotone Preferences for Discrete Choice
Experiments, Journal of Econometrics, 2012, 171, 185-204.
106. Financial Competence, Risk Presentation and Retirement Portfolio Preferences,
Journal of Pension Economics and Finance, 2014, 13, 27-61. (H. Bateman, C.
Eckert, J. Louviere, S. Satchll, S. Thorp, coauthors)
107. Analysis of Variance for Bayesian Inference, Econometric Reviews, 2014, 33,
270-288. (G. Amisano, coauthor)
108. Likelihood-based Inference for Regular Functions with Fractional Polynomial
Approximations, Journal of Econometrics, 2014, 183, 22-30. (Lea Petrella,
coauthor)
109. Improving Asset Price Prediction when All Models are False, Journal of
Financial Econometrics, 2014, 12, 278-306. (G. Durham, coauthor)
110.Bayesian Inference for Logistic Regression Models using Sequential Posterior
Simulation, in: S.K. Upadhyay, U. Singh, D. K. Dey and A. Loganathan (eds.),
Current Trends in Bayesian Methodology with Applications, Chapter 14, 289-312.
CRC Press, 2015. (G. Durham and H. Xu, coauthors)
111.Adaptive Sequential Posterior Simulators for Massively Parallel Computing
Environments, Advances in Econometrics, in: Ivan Jeliazkov , Dale J. Poirier (eds.)
Bayesian Model Comparison (Advances in Econometrics, Volume 34) Emerald
Group Publishing Limited, Chapter 1, 1-44. (G. Durham, coauthor)
112. Review Essay on Charles F. Manskis Public Policy in an Uncertain World:
Analysis and Decisions, Journal of Economic Literature, 34, 799-805.
113.A Simple Method for Estimating Preference Parameters for Individuals,
International Journal of Research in Marketing, 2014, 31, 35-48. (B.D.
Frischknecht, C. Eckert, J. Louviere, coauthors)
114. Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and
Cyclical Behavior of US Real GDP, Econometrics, 2016, 4, forthcoming.

17

Published Discussion
1.

Comments on On the Synthesis of Time Series and Econometric Models (C. W. J.

Granger), Directions in Time Series, Institute of Mathematical Statistics, 1978.

2.

Comments on Some Recent Developments in Seasonal Adjustment (D. A. Pierce),

Directions in Time Series, Institute of Mathematical Statistics, 1978.

3.

Discussion of New Divisia Indices of the Money Supply (W. Barnett), 1982
Proceedings of the Business and Economics Section - American Statistical
Association.

4.

Rejoinder to comments on Measurement of Linear Dependence and Feedback

Between Multiple Time Series (E. Parzen, D. A. Pierce, W. Wei, A. Zellner),
Journal of the American Statistical Association, 1982.

5.

Discussion of Semi-Nonparametric and Nonparametric Regression: Consumer

Demand Applications (R. Gallant and M. K. Wohlgenant), 1983 Proceedings of the
Business and Economics Section - American Statistical Association.

6.

Discussion of Models of X-11 and X-11 Forecast Procedures (K. F. Wallis),

Applied Time Series Analysis of Economic Data, 12-13. Washington: U.S. Bureau of
the Census, 1983.

7.

The Indispensable Art of Econometrics, Journal of the American Statistical

Association (Comment on J. W. Pratt and R. Schlaifer, On the Nature and
Discovery of Structure), 1984, 79, 25-26.

8.

Discussion of Forecasting and Conditional Projection Using Realistic Prior

Distributions (T. Doan, R. Litterman and C. A. Sims), Econometric Reviews, 1984,
5(1), 105-112.

9.

Discussion of Fixed Investment in the American Business Cycle, 1919-83 (R. J.

Gordon and J. M. Veitch), in R. J. Gordon (ed.), The American Business Cycle:
Continuity and Change, 336-340. New York: National Bureau of Economic
Research, 1986.

10. Discussion of Modeling Conditional Variance (T. Bollerslev and R. Engle),

Econometric Reviews 5(1), 1986, 57-61.
11. Discussion of An Application of Operational-Subjective Statistical Methods to
Rational Expectations (G. Blattenberger and F. Ladd), Journal of Business and
Economic Statistics, 1988, 6, 465-466.

18

12. Operational Bayesian Methods in Econometrics (Comment on D. Poirier,

Frequentist and Subjectivist Perspectives on the Problems of Model Building in
Econometrics), Journal of Economic Perspectives, 1988, 2, 159-166.
13. Discussion of Employment Discrimination and Statistical Science (A. P.
Dempster), Statistical Science, 1988, 3, 188-189.
14. Discussion of Checks of Model Adequacy for Univariate Time Series Models and
Their Application to Econometric Relationships (L. G. Godfrey and A. R.
Tremayne), Econometric Reviews, 1988, 7(1), 59-62.
15. Discussion of Sensitivity Analysis of Seasonal Adjustments: Empirical Case
Studies (J. B. Carlin and A. P. Dempster), Journal of the American Statistical
Association, 1989, 84, 28-30.
16. Response to Commentary on A Bayesian Method for Evaluating Medical Test
Operating Characteristics When Some Patients Fail to be Diagnosed by the
Reference Standard, (F R. Nease, Jr., and D. K. Owens) Medical Decision Making,
1990, 10, 114-115. (D. B. Matchar, D. C. Simel, and J. R. Feussner, coauthors)
17. Inference and Prediction in the Presence of Uncertainty and Determinism
(Comment on L. M. Berliner, "Statistics, Probability, and Chaos," and S. Chatterjee
and M. Yilmax, "Chaos, Fractals and Statistics), Statistical Science, 1992, 7, 94101.
18. Discussion of Forecasting Time Series with Common Seasonal Patterns (F.
Canova), Journal of Econometrics, 1993, 55, 201-202.
19. Discussion on the Gibbs Sampler and Other Markov Chain Monte Carlo Methods,
Journal of the Royal Statistical Society - Series B, 1993, 55, 74.
20. Discussion of A Dynamic Index Model for Large Cross Sections, (D. Quah and T.
Sargent), in J. Stock and M. Watson (eds.), New Research on Business Cycles,
Indicators and Forecasting. New York: National Bureau of Economic Research,
1993.
21. Discussion of Bayesian Analysis of Stochastic Volatility Models (E. Jacquier,
N.G. Polson, and P.E. Rossi), Journal of Business and Economic Statistics, 1994, 12,
397-399.
22. Discussion of Variable Selection Tests of Asset Pricing Models (R. L. Stevens), in
C. Gatsonis, et al. (eds.), Case Studies in Bayesian Statistics (Volume 3). New York:
Springer-Verlag, 1996.

19

23. Discussion of Real and Spurious Long Memory Properties of Stock Market Data
(I. N. Lobato and N. E. Savin), Journal of Business and Economic Statistics, 1998,
16, 269-271.
24. Power of Tests in Binary Response Models: Comment, Econometrica , 1999, 67,
423-425.
25. Some Experiments in Constructing A Hybrid Model for Macroeconomic Analysis:
A Comment, in B. McCallum (ed.), Carnegie-Rochester Conference Series on
Public Policy, 1999, 49: 143-147.
26. Commentary: Econometric issues in using the AHEAD Panel, Journal of
Econometrics, 2002, 112, 115-120.
27. Discussion of Iterative and Recursive Estimation in Structured Non-Adaptive
Models, (S. Pastorello, V. Patilea and E. Renault), Journal of Business and
Economic Statistics, 2003, 21, 490-492. (Garland Durham, coauthor)
28. Discussion of Bayesian Analysis of DSGE Models (S. An and F. Schorfheide),
Econometric Reviews, 2007, 26, 193-200.
29. The SETAR Model of Tong and Lim and Advances in Computation, in K.S. Chan
(ed.), Exploration of a Nonlinear World: An Appreciation of Howell Tong's
Contributions to Statistics, 85-94. Singapore: World Scientific Publishing Co.,
2009.
30. Comments on Convergence Properties of the Likelihood of Computed Dynamic
Models, Econometrica, 2009, 77, 2010-2017. (Dan Ackerberg and Jinyong Hahn,
coauthors)
31. Bayesian and Non-Bayesian Analysis of the Seemingly Unrelated Regression
Model with Student-t Errors and Its Application to Forecasting: Comment,
International Journal of Forecasting, 2010, 26, 435-438.
32. A Comment on Christoffersen, Jacobs and Ornthanalai (2012), Dynamic Jump
Intensities and Risk Premiums: Evidence from S&P 500 Returns and Options,
Journal of Financial Econometrics, 2015, 115, 210-214. (Garland Durham and Pulak
Ghosh, coauthors)
Edited Volumes
Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity. Cambridge:
Cambridge University Press, 1989. (W. Barnett and K. Shell, co-editors)
Decision Making under Risk and Uncertainty: New Models and Empirical Findings.
Dordrecht: Kluwer Academic Publishers, 1992.

20

New Directions in Time Series Analysis, Parts I and II. New York: SpringerVerlag, 1993. (P. Caines, M. Parzen, and M. Taqqu, co-editors)
Bayesian Statistics and Econometrics: Essays in Honor of Arnold Zellner. New
York: Wiley, 1996. (Associate editor with K. Chaloner; D. Berry, editor).
Sowing the Seeds: Informing Public Policy in the Economic Research Service of
USDA. Washington: National Academy Press, 1999. (James Bonnen, Jeffrey
Koshel and Andrew White, associate editors).
Handbook of Bayesian Econometrics. Oxford: Oxford University Press, 2011
(Japanese edition 2013) (Gary Koop and Herman van Dijk, co-editors)
Book Reviews
A Monetarist Model of Inflationary Expectations, Journal of Monetary
Economics, October 1975.
Public Policy in an Uncertain World, Journal of Economic Literature,
forthcoming.
Major Invited Addresses
Fourth World Congress of the Econometric Society, Aix-en-Provence, August 1980:
Causality, Exogeneity, and Inference
American Statistical Association, Detroit, August 1981: The Measurement of
Linear Dependence and Feedback Between Multiple Time Series
Australasian Meeting of the Econometric Society, Melbourne, August 1986: Exact
Inference in Dynamic Econometric Models
Australasian Meeting of the Econometric Society, Armidale, July 1994: Bayesian
Comparison of Econometric Models (Colin Clark lecture)
Seventh World Congress of the Econometric Society, Tokyo, Japan, August 1995:
Posterior Simulators in Econometrics
Australasian Meeting of the Econometric Society, Melbourne, July 1997: Bayesian
Econometric Models: Inference, Development and Communication
Journal of Applied Econometrics Annual Invited Lectures, Venice, June 2005:
Compound Markov Normal Mixture Models:

21

Princeton-Rotterdam Lectures, Rotterdam, June 2008: Complete and Incomplete

Econometric Models
Recent Invited Research Presentations
Academic and Professional Meetings:
American Bar Association
American Economic Association
Econometric Society
International Society for Bayesian Analysis
Institute of Mathematical Statistics
Midwest Econometrics Meetings
NBER/NSF Symposium on Bayesian Inference in Econometrics and
Statistics
NBER/NSF Symposium on Economic Time Series
NBER/NSF Symposium on Forecasting
NSF ad hoc research conferences
Royal Statistical Society
Society for Economic Dynamics and Control
Symposia on the Interface
TIMS/ORSA
Valencia International Meetings on Bayesian Statistics
Academic Symposia:
United States
Brown University
California Institute of Technology
Carnegie-Mellon University
Columbia University
Cornell University
Duke University
Federal Reserve Bank of Atlanta
Federal Reserve Bank of Cleveland
Federal Reserve Bank of Kansas City
Federal Reserve Bank of Minneapolis
Federal Reserve Bank of St. Louis
Federal Reserve Board of Governors
Harvard University
Indiana University
Iowa State University
Johns Hopkins University
Kansas State University
Kansas University
Massachusetts Institute of Technology
Michigan State University

22

New York University

North Carolina State University
Northwestern University
Ohio State University
Pennsylvania State University
Princeton University
Rice University
Rutgers University
Singapore Management University
Stanford University
SUNY-Albany
SUNY-Stony Brook
Texas A&M University
Tulane University
University of Arizona
University of California-Berkeley
University of California-San Diego
University of California-Santa Barbara
University of Chicago
University of Colorado
University of Florida
University of Houston
University of Illinois
University of Iowa
University of Maryland
University of Michigan
University of Minnesota
University of Missouri
University of North Carolina
University of Pennsylvania
University of Pittsburgh
University of Rochester
University of Southern California
University of Texas
University of Virginia
University of Wisconsin-Madison
University of Wisconsin-Milwaukee
Vanderbilt University
Virginia Polytechnic Institute
Washington University
Yale University
Europe
Cambridge University
Erasmus University, Rotterdam
European Central Bank

23

European University Institute, Florence

London School of Economics
Norges Bank (Bank of Norway)
Sveriges Riksbank (Bank of Sweden)
Tilburg University
University of Amsterdam
University of Brescia
University of Cambridge
University of Nottingham
University of Oxford
University of Reading
University of Rome
University of Strathclyde
Australia
Monash University
Queensland University of Technology
University of Melbourne
University of New South Wales
University of Queensland
University of Sydney
University of Wollongong
Canada
Bank of Canada
Queens University
University of British Columbia
University of Montreal
University of Toronto
University of Victoria
University of Western Ontario
Asia
Institute of Mathematical Statistics, Tokyo
Seoul National University
Tel Aviv University
Tohoku University, Sendai
University of Tokyo
Courses Taught
Econometrics: all levels (undergraduate, masters, MBA, Ph.D., advanced topics)
Macroeconomics: intermediate undergraduate theory, graduate theory, advanced
graduate theory

24

Mathematical statistics: intermediate and advanced undergraduate mathematical

statistics, graduate linear models, advanced seminars in numerical methods
Financial economics: econometric modeling (graduate level)
Dissertation Supervision
Students supervised (with date of completion and current position):
Kenneth Singleton, 1977, Stanford University
(winner, 1978 Irving Fisher Dissertation Award)
Richard Meese, 1978, University of California-Berkeley (emeritus)
Debra Glassman, 1980, University of Washington-Seattle
Patrick Parkinson, 1981, Federal Reserve Board of Governors
Mostafa Baladi, 1981, Quantitative Risk Management (Chicago)
Susan Porter-Hudak, 1982, Northern Illinois University
David Reifschneider, 1983, Federal Reserve Board of Governors
Luke Froeb, 1983, Vanderbilt University
Fallaw Sowell, 1987, Carnegie-Mellon University
William Evans, 1988, Notre Dame University
Charles Romeo, 1989, U.S. Department of Justice
Anthony Smith, 1990, Yale University
Guofu Zhou, 1990, Washington University (St. Louis)
Milton D. Terrell, 1991, Louisiana State University
E.G. Tsionas, 1994, Athens University of Economics and Business
Zhenyu Wang, 1995, Federal Reserve Bank of New York
Garrett TeSelle, 1996, Freddie Mac
Patrick Bajari, 1997, University of Minnesota
(winner, 1998 Zellner Thesis Award)
John Landon-Lane, 1998, Rutgers University
Tongshu Ma, 1998, Binghamton University
Merrell Hora, 1999, Credit Suisse First Boston
Ming Tui Huang, 2000, National Tsing-Hua University (Taiwan)
Toshi Arimura, 2000, Sophia University (Japan)
Hulya Eraslan, 2000, Johns Hopkins University
William McCausland, 2001, University of Montreal
George Chang, 2002, Bradley University
Necati Tekatli, 2006, Barcelona Autonoma University (Spain)
Peng Sun, 2006, Merck & Co., Inc.
Andriy Norets, 2007, Princeton University
(honorable mention, 2008 Zellner Thesis Award)
Olena Stavrunova, 2007, University of Technology Sydney
Yeonok Lee, 2008, Pennsylvania State University
Yu Jiang, 2009, Nanjing University
Maksym Obrizan, 2010, Kiev School of Economics
Weijie Mao, 2010

25

External Examiner:
1981: Sawyer (Australian National University)
1989: Koop (University of Toronto)
1993: Kamionka (Universit des Sciences Sociales, Toulouse)
1994: Kleibergen (Erasmus University)
2006: Hoogerheide (Erasmus University)

26