Phỏng vấn với Robert J. Shiller 235 mịn qua thời gian. Vì vậy, tôi bắt đầu đọc Bayesian kinh tế, và đưa ra dự toán nonparametric, bằng cách sử dụng những gì tôi gọi là priors êm ái. Sau này tôi phát hiện ra rằng Grace Wahba, Cục Thống kê tại Wisconsin,Thiên Chúa không thực tế biết bạn-những gì có thể chỉ trích nó trên một triệu căn cứ. Một ví dụ điển hình là chi tiêu | An Interview with Robert J. Shiller 235 smooth through time. So I started reading Bayesian econometrics and launched off on nonparametric estimation using what I called smoothness priors. I later found out that Grace Wahba in the Statistics Department at Wisconsin was onto a similar smoothness idea and her approach was more thoroughgoing than mine though not applied to the estimation of distributed lags. Also later the same idea of smoothness was embodied in what is now called the Hodrick-Prescott filter. Anyway the distributed-lag estimator I developed at the time had a good application in my dissertation to my study of the term structure of interest rates. Since then a lot of others have developed nonparametric estimation into a significant field and there has been a lot of activity in Bayesian econometrics as well. Unfortunately even today the economics profession at large has not adopted any such methods on a substantial scale for applied work. As far as I recall no one had ever mentioned Bayesian methods at MIT though I found Ed Leamer an assistant professor at Harvard who was deeply involved in using Bayesian foundations to adapt the scientific method to economics Leamer 1978 . Campbell Who taught econometrics Shiller Franklin Fisher had written a book on the identification problem in econometrics Fisher 1966 . We went through that whole book an elegant treatise but perhaps too much on that topic. The econometrics course I had with Edwin Kuh doesn t stand out in my memory but I can say that he impressed me about the importance of regression diagnostics and of isolating influential observations practices that not enough people implement even today Belsley Kuh and Welsch 1980 . I learned the essential lesson to be skeptical of econometric results. I remember when Leonall Anderson and Jerry Jordan came to MIT in 1968 to present the St. Louis Model of the . economy Anderson and Jordan 1968 . The results were impressive but not really received well at MIT. .
