Econometric Reviews, 33(1–4):424–427, 2014Copyright © Taylor & Francis Group, LLCISSN: 0747-4938 print/1532-4168 onlineDOI: 10.1080/07474938.2013.807657

MEMORIAL STATEMENTS BY ANDERSON, JUDGE, PRESS, AIGNER,ALLENBY, AND PALM

Ehsan S. Soofi

Sheldon B. Lubar School of Business and Center for Research on International Economics,University of Wisconsin–Milwaukee, Milwaukee, Wisconsin, USA

� This collection presents memorial statements by Theodore W. Anderson, George G. Judge,S. James Press, Dennis J. Aigner, Greg M. Allenby, and Franz C. Palm.

THEODORE W. ANDERSON, STANFORD UNIVERSITY

Arnold Zellner was a special friend. He made the trip from Chicagoto Stanford to help me celebrate my 80th birthday and again to help mecelebrate my 90th birthday. On the last occasion, it was obvious that hishealth was failing. Every winter, Dorothy and I looked forward to the visitof Agnes and Arnold to the Bay Area—in part to escape some of the winterin Chicago. Arnold made many significant contributions to econometricsand multivariate analysis. I appreciated the opportunities to discuss themwith him.

GEORGE G. JUDGE, UNIVERSITY OF CALIFORNIA, BERKELEY

I am happy to contribute a recollection paragraph to this wonderfulvolume in honor of Arnold. Arnold and I started a friendship when wewere both at the Cowles Foundation at Yale in 1958–1959. We had desksthat backed up to each other, and this made it easy to discuss what we wereboth up to and the state of econometrics in general. Having an intellectualand social relationship with Arnold was very easy, and when we left Cowles,the relationship continued to grow and lasted until his death—in somesense it still continues with a close relationship with Agnes. Having Arnoldas a friend, I had the feeling that he always had my back. It also meantbeing included in many of his activities. In this respect, I remember so

Address correspondence to Ehsan Soofi, Sheldon B. Lubar School of Business, University ofWisconsin-Milwaukee, P.O. Box 742, Milwaukee, WI 53201-0742, USA; E-mail: esoofi@uwm.edu

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clearly the snowy December day in 1970, the meeting of a small group atthe University of Chicago that launched the National Science Foundation(NSF) Bayes conferences—conferences that exist in one form or anotherto this day. At meetings all over the world, I seemed to end up roomingwith Arnold. A troop of visitors and continuing lights out conversationmeant little sleep, something that did not seem to bother Arnold. Havinga dinner date with Arnold at a conference meant that as you started to therestaurant, many were added along the way. Settling the bill in terms ofwho had broccoli and who had the chocolate mousse (it was Arnold), wasan exercise in persuasion. So many memories, so many great times, and somany ways he enriched my life and that of others that he touched.

S. JAMES PRESS, UNIVERSITY OF CALIFORNIA, RIVERSIDE

I’ve known Arnold since 1966. He became a close friend as well asa colleague. We met when we both appeared at the School of Businessat the University of Chicago to work as professors. Arnold, with aPh.D. in economics, taught econometrics courses, and I, with a Ph.D. instatistics, taught statistics courses. Arnold believed in Bayesian approachesto econometrics, having just completed a study of Harold Jeffreys’ book,Theory of Probability, at the Department of Economics of the University ofWisconsin. Harry Roberts had been a professor of statistics in the BusinessSchool at the University of Chicago for many years. He was very interestedin the theory of statistics from a Bayesian point of view, and had studiedwith Leonard J. Savage. I worked with both Arnold and Harry Robertsto develop my own theory of statistics and econometrics as a Bayesian. Iworked with Arnold for many years on his NSF Grant, and in his Seminaron Econometrics and Statistics. I was always impressed by how welcomeArnold made beginners to the fields of Bayesian statistics and econometricsfeel. He was warm and friendly and anxious to spread the field as widely aspossible. I will miss him greatly as both a friend and a colleague; the fieldswill miss him as well.

DENNIS J. AIGNER, UNIVERSITY OF CALIFORNIA, IRVINE

The first professional meeting I ever attended was the AmericanStatistical Association annual meeting in Cleveland in 1963. One ofthe speakers was Arnold. He was presenting his now famous paper onSeemingly Unrelated Regressions.

When I went up afterward to introduce myself and to compliment himon the work, I was surprised to learn that he knew of me. Very puzzling,since I had just arrived the year before at the University of Illinois andhad only just finished my Ph.D. at U.C. Berkeley. I knew that Arnold had

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done his Ph.D. at Berkeley in the same department, but it turned out thatwasn’t the connection. Much later I found out that Arnold had been areferee on the first paper I ever submitted to Econometrica. It went throughseveral revisions, but ultimately it was published. What was remarkable wasthe empathy and constructive criticism I received from Arnold, helping anew member of the profession develop and present a good idea ratherthan rejecting the paper out-of-hand because it was so amateurishly done.

This was the beginning of a professional and personal relationshipthat lasted almost 50 years, until Arnold’s death. It characterizes Arnold’sgenerous spirit, enthusiasm, and commitment to research, his own and thatof others, especially Ph.D. students and younger members of the profession,something that was echoed by many speakers at Arnold’s memorial serviceat the University of Chicago. He was a truly special person.

GREG M. ALLENBY, OHIO STATE UNIVERSITY

Arnold was an infectiously enthusiastic teacher. He sought out thebest in a person, and was very encouraging in helping students see thecomplexity and beauty in their questions. Arnold had an open-door policyfor doctoral students, and was always ready to talk to us about our research.His office was stacked with books and papers, and next to his desk he hada chalkboard that was always filled with equations. The first time I wentto see Arnold I introduced myself and told him that I was interesting instudying marketing. His eyes lit up, and he began to rattle off what he sawas unsolved problems in the field. As he spoke, he wrote equations on hischalkboard (without getting up from his chair) after first erasing a smallpart of the board that he wanted to use. He was so excited about this thatI decided to write down as much of our conversation as possible so that Iwon’t forget anything. I was a new doctoral student and was having troublekeeping up with the conversation, and as he spoke, he erased other partsof his board and filled it with equations about what he was saying. As Iglanced from the board to the paper I was writing on, Arnold would erasea new part of the board and continue with his equation writing. It wasn’tlong before I was totally lost, not knowing which equations were for meand which were there before. I can’t remember what we talked about, butI clearly remember his kindness and sincerity. He was a great teacher anda good man.

FRANZ C. PALM, MAASTRICHT UNIVERSITY

In 1972, I visited the University of Chicago to work with ArnoldZellner on Bayesian methods for dynamic models. As a student at theUniversity of Louvain, my first econometrics course had been a courseon Bayesian methods taught by Jacques Drèze who used the draft version

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of Arnold’s famous forthcoming book Introduction to Bayesian Inference inEconometrics (1971). Jacques mentioned that he would transmit commentsfrom this experience to Arnold. Through Jacques Drèze’s econometricscourse I became familiar with some of Arnold’s fine contributions toeconometrics and his views on research methodology. In those days, theLouvain economics students were familiar with Bayesian analysis as themain statistics course, also taught by Jacques, was entirely devoted toBayesian statistics. Soon after that I started working on Bayesian methodsfor distributed lag models with Jacques Drèze. Jacques suggested to me tovisit Arnold.

At one of my first meetings Arnold started outlining his ideas for aproject on what we later called the Structural Econometric Modeling andTime Series Analysis (SEMTSA) approach and suggested, “Why don’t we workon that?” How could I let forgo such a great opportunity? I decided toaccept his invitation and joined him on this project. With enthusiasm andclarity, Arnold outlined his vision on the objectives of this project. He hadbrilliant ideas on how to proceed with this project. It was an overwhelmingexperience for me. We had one or two meetings a week. Those who knowArnold, know well how effective he was. In roughly two months’ time we hada draft version of our Journal of Econometrics (1974) paper that we presentedat the Econometrics Colloquium. And we continued to work at this rhythm.

At some point, I began to consider extending my visit at the Universityof Chicago. I went to Arnold’s secretary to make an appointment withhim to discuss possibilities for an extension of my stay. Much later Arnoldrevealed to me: “When I saw that you had made an appointment, I worried thatyou would come to tell me that you would leave earlier than planned.” By purecoincidence, a few days before making the appointment, I had mentionedto Arnold that I had witnessed a shooting incident on East 59th Street. AsArnold was always caring a lot for the people around him, he had worriedthat I might have felt unsecure in Hyde Park.

I extended my stay and continued to work with him. I finished myPh.D. dissertation, with Arnold and Jacques being my thesis advisors. Irevisited the University of Chicago on several occasions, and I enjoyed theproverbial hospitality of Arnold and Agnes. In 1991, I returned to Chicagoto work with Arnold on a joint Bayesian paper on model uncertainty whenthe set of models entertained is incomplete.

Arnold has been for me an inspiring mentor, a great scholar andteacher, and a marvelous and generous friend.

REFERENCES

Zellner, A. (1971). An Introduction to Bayesian Inference in Econometrics. New York: Wiley.Zellner, A., Palm, F. C. (1974). Time series analysis and simultaneous equation models. Journal of

Econometrics 2:17–54.