Info-Metrics Institute
College of Arts and Sciences, American University
Annual Report
2010 - 2011 Table of Contents
Welcome
Message from the Director………………………………………………………………………...4
Message from the Office of the Comptroller of the Currency…………………………………….5
Message from the U.S. Army Research Laboratory’s Army Research Office (ARO)……………6
Notes from the Advisory Board……………………………...……………………………………7
Graduate Students: In Their Own Words…...……………………………………………………..8
Thanks to our Sponsors……………………………………………………………………………9
Who We Are
Photo Album…………………………………………………………………………………..…10
2010 – 2011 Advisory Board…………………………………………………………………….13
2010 – 2011 New Research Associates…………………………...……………………………..15
2010 - 2011 Visiting Fellows ……………………………………………………………………17
Affiliate Profiles…………….……………………………………………………………………19
What We Do
Current Research

















Pieter Adriaans (University of Amsterdam)……………………………………………..21
Rossella Bernardini Papalia (University of Bologna)………………………………......22
James Bono (American University)………………………………………………….......22
Mehmet Caner (North Carolina State University)……………………………………….22
Marine Carrasco (University of Montreal………………………………………………..22
Ariel Caticha (SUNY Albany)…………………………………………………………...22
Duncan Foley (New School for Social Research and Santa Fe Institute)………………..23
A. Bowen Garrett (McKinsey & Co., and Urban Institute)…………………………….23
Ramo Gencay (Simon Fraser University)………………………………………………..23
John Geweke (UTS-Sydney)…………………………………………………………….23
Amos Golan (American University)……………………………………………………..24
Alastair Hall (University of Manchester)………………………………………………..24
Nathan Harshman (American University)……………………………………………….24
Atsushi Inoue ( NC State University)……………………………………………………24
George Judge (University of California-Berkeley)………………………………………24
Nicholas Kiefer (Cornell University)…………………………………………………….25
Robin Lumsdaine (American University)………………………………………………..25
2 











Ilya Nemenman (Emory University)………...…………………………………………..25
Taisuki Otsu (Yale University)……………………..……………………………………25
M. Hashem Pesaran (University of Cambridge)… ……………………………………..26
Jeffrey R. Racine (McMaster University)………………………………………………..26
Eric Renault (Brown U)………………………………………………………………….27
Sherman Robinson (International Food Policy Research Institute)……………………27
Richard Scheines (Carnegie Mellon University)………………………………………...28
Richard Smith (University of Cambridge)……………………………………………….28
Michael Stutzer (University of Colorado-Boulder)……………………………………...28
David H. Wolpert (NASA Ames Research Center)……………………………………...28
Ximing Wu (Texas A & M University)………………………………………………….29
Victor Yakovenko (University of Maryland)……………………………………………29
2011 Summer Classes……………………………………………………………………………30
Events and Activities
 Institute Seminars………………………………………………………………………...31
 Workshops and Conferences……………………………………………………………..32
 Forthcoming Workshops and Conferences…………………………….………………...42
For More Information
Institute Support………………………………………………………………………………….48
Website and Contact……………………………………………………………………………..49
3 September 2011
Message from the Director
Info-metrics is the science and art of processing information. Generally speaking, all information
is limited and all data are noisy. In practice, this means that all inferential problems are underdetermined as all scientific theories and models are based on limited and, at times, very scarce
information. A major challenge for all scientists is how to reason under conditions of incomplete
information. The Info-Metrics Institute and its affiliates work to address that challenge.
In the Institute’s second year, we expanded our activities and focused on building the
interdisciplinary aspects of the program. We welcomed visiting fellows and researchers from
across the scientific spectrum and hosted two major meetings – the first with an emphasis on
information-theoretic econometrics, statistics and modeling; the second focusing on the
fundamental questions of inference and modeling within the natural sciences. A major objective
of both sessions was research into the foundations of info-metrics and entropic inference. Our
proceedings and special issue journal publication summarize much of this new research.
In 2010-11, the Institute’s successes included:







an increase in participants of the Institute’s core interdisciplinary research group;
one major conference and one workshop (September 2010 and May 2011);
nine short term Fellows (between three to fourteen days each);
an affiliates’ meeting following each conference to discuss activities and research
(about 25 affiliates);
two graduate student summer fellowships;
two short, hands-on classes taught by Ingmar Prucha and Amos Golan;
a working paper series and an updated online resource page.
We would like to thank the Office of the Comptroller of the Currency for its continued support
as well as the Army Research Office for its generous one-time grant. Their support helped fund
the majority of the Institute’s activities.
We plan to keep pushing the research frontiers of info-metrics to develop a leading
interdisciplinary Institute. Bookmark our Web site and check in frequently for updates. And
please, give us your feedback and ideas – we welcome your suggestions.
- Amos Golan, Director, Info-Metrics Institute
4 Message from the Office of the Comptroller of the Currency:
The Info-Metrics Institute and Financial Reform
The Office of the Comptroller of the Currency (OCC) supervises and regulates many of the
largest banks in the country, banks that use increasingly complex modeling techniques in a
continuously expanding range of applications. The OCC is pleased to have supported the
Institute since its creation, in part because the Institute provides a way for OCC staff to enhance
their modeling expertise through ongoing exposure to an active research community.
OCC staff have adopted methods based in information theory for their own research; in addition,
the activities of the Institute have helped make OCC staff better able to evaluate methods used by
banks and verify that models are not used in ways that threaten the health of individual banks or
the banking system.
The recent financial crisis highlights another potentially important contribution of the Institute to
the broader mission of the OCC. Analysts have cited various factors as potential contributors to
the crisis – among them the failure of at least some of the quantitative models used in the
financial sector. Although models were not the sole or even a primary cause of the crisis, some
problems did stem from the use of analytical methods that were less effective than they should
have been. The financial crisis emphasized that shortcomings in modeling approaches can
contribute to significant losses for investors and financial firms, and impose serious economic
costs on society more broadly.
Drawing in part from the lessons of the financial crisis, the OCC recently published guidance for
banks clarifying the OCC’s expectations for control of “model risk,” defined as the potential for
adverse consequences from decisions based on incorrect or misused model outputs. One of the
themes of this new guidance is that effective use of models by banks requires processes for
ongoing improvement, including exploration and evaluation of new and better techniques and
data. This makes it incumbent on modeling experts to pursue new and better methods and
approaches for use in financial settings.
The OCC and other regulators around the world continue working to strengthen the financial
system through various initiatives as part of broader financial reform. But it is clear that
improvements in financial modeling can play an important role in making the financial system
less susceptible to failure. The Institute is well positioned to contribute to methodological
improvements that can make a practical difference in the operation of banks and other financial
firms. In this respect, the Institute supports reforms that ultimately strengthen the global financial
system and help avert future crises.
The OCC is pleased to see the development and growth of an organization like the Info-Metrics
Institute with the potential for such broad and substantial benefits.
-Mark Levonian, Senior Deputy Comptroller, Office of the Comptroller of the Currency
5 Message from the U.S. Army Research Laboratory’s Army Research Office (ARO)
The U.S. Army Research Laboratory's Army Research Office (ARO) has co-sponsored several
American University Info-Metrics Institute workshops. Our partnership has been very helpful in
advancing important decision sciences research.
ARO is the Army's premiere extramural basic research agency (link to web:
http://www.arl.army.mil/www/default.cfm?page=70 ) in the engineering, physical, information
and life sciences. ARO’s mission is to develop and exploit innovative, transformational scientific
advances to insure the nation's technological superiority. The agency competitively selects and
funds research proposals from educational institutions, nonprofit organizations, and private
industry.
ARO’s Decision and Neuro Sciences Program advances the frontiers of mathematics and
neuroscience to create new paradigms which improve decision making in highly complex,
dynamic and uncertain environments.
Two major thrusts include:

Mathematical modeling of neural processes, which involves quantitatively modeling
decision behaviors in neural-anatomical or other observable measures to explain how
factors such as complexity, uncertainty, stressors, social and other dynamics affect
decisions. The decision-making “algorithm” of the brain is not understood. Highly
complex, dynamic, parallel and redundant neural spiking behaviors complicate
identification and mapping of the neural network of the brain involved in decision
making. Recent advances in neuroscience provide important foundations to understand
factors that affect decision making. These include neuro-economics and trust research,
relationships of neural processes in handling uncertainty, time constraints and other
stressors.

Stochastic optimization and modeling, which addresses advances in mathematical
algorithms to better address stochastic data properties common in highly dynamic,
heterogeneous and complex operational environments, and in ill-conditioned and varying
information such as in dynamic complex social contexts.
For more information, please visit ARO’s webpage at www.arl.army.mil
-Janet Spoonamore, Program Manager, Decision and Neuro Sciences Program
Janet.Spoonamore@us.army.mil
6 Notes from the Advisory Board
The Info-Metrics Institute gained momentum last year with two major
conferences, the development of web resources, access to software, a
working paper series, expansion of the active visitor associate program,
and summer courses on info-metrics and spatial econometrics.
The Institute’s program for the coming year is the most ambitious yet,
with three conferences (including a spring 2012 workshop on infometrics and social networks), more visiting associates, and initiatives to
make info-metrics techniques and research more accessible.
We thank the Institute’s funders, conference planners, speakers and participants for working with
us and we look forward to continuing to build a special network of researchers and learners.
-Robert Lerman, Advisory Board Chair
We are pleased to have welcomed so many of you to the Institute this
year through our conferences, workshops, and short-term visitor
program. The spirit of collegiality and interdisciplinary interest that we
all embrace is what makes the Institute so special.
For those of us who have come to info-metrics from the social sciences,
the spring 2011 workshop, “Info-Metrics Across the Sciences,” exposed
us to a new area of scholarly inquiry and emphasized the extent to which
entropic inference crosses disciplinary boundaries. I’m confident that our fall 2011 workshop,
“Philosophy of Information and Shrinkage Estimation,” will similarly expand our understanding
and create further discussion synergies. As always, the Advisory Board welcomes your
suggestions.
- Robin Lumsdaine, Member
7 Graduate Students: In Their Own Words
"Over the summer, I studied the information theoretic basis of multivariate measures of wellbeing. The aim of this research is to gain an understanding of the changes in the distribution of
non-monetary measures of well-being across countries over time.
The Institute’s summer graduate fellowship provided me with a great opportunity to explore the
literature and extend my understanding of these information theoretic measures, while further
honing my research skills under the tutelage of Amos."
- Skipper Seabold
“As my current research involves the empirical examination of structural transformation in
Nicaraguan agriculture, I am primarily seeking to make a probabilistic statement about
entry/exit, expansion, and contraction for different sizes/types of producers in Nicaragua’s
agricultural sector. Such questions are typically approached with the use of Markov chain
analysis, which is a method that is particularly suited to estimation via maximum entropy. Given
that maximum entropy econometrics was unfamiliar territory until recently, I found the summer
graduate fellowship to be extremely beneficial to my research in particular as well as my
understanding of info-metrics in general. Through one-on-one meetings with the fields’ experts
and discussions with fellow students, the fellowship is truly a great way to significantly develop
one’s research skills in just a few short months.”
– Heath Henderson
8 Thanks to our Sponsors
The Info-Metrics Institute would like to thank the Office of the Comptroller of the Currency for
partial support of all Info-Metrics Institute activities, the College of Arts and Sciences and the
Department of Economics for supporting a number of activities, and the Army Research Office
for supporting the Fall 2010 and Spring 2011 Conferences.
9 Institute Events 2010-2011
Institute participants gather for the beginning of the September 2010 conference
Roundtable participants at the September 2010 conference L-R: Alastair Hall, Duncan Foley,
Ariel Caticha, Aman Ullah, Yuichi Kitamura, Eric Renault, Robin Lumsdaine, Peter Robinson
10 Yuichi Kitamura presents a paper at the September 2010 conference
President Neil Kerwin gives opening remarks during the May 2011 workshop
11 Ariel Caticha presents a paper at the May 2011 workshop
Roundtable participants at the May 2011 workshop L-R: Nick Kiefer, David Wolpert,
Robin Lumsdaine and Pieter Adriaans
12 2010-2011 Advisory Board
Social Sciences
Duncan Foley (New School for Social Research and Santa Fe Inst.)
http://homepage.newschool.edu/~foleyd
John Geweke (U. Iowa and UTS, Sydney)
http://www.biz.uiowa.edu/faculty/jgeweke/
Alastair Hall (U. Manchester)
http://personalpages.manchester.ac.uk/staff/alastair.hall/
George Judge (Berkeley)
http://are.berkeley.edu/~judge/
Yuichi Kitamura (Yale)
http://cowles.econ.yale.edu/faculty/kitamura.htm
Robert Lerman, Chair (American U and Urban I)
http://american.edu/cas/faculty/rlerman.cfm
http://www.urban.org/about/RobertLerman.cfm
Robin Lumsdaine (American U)
http://www.american.edu/kogod/faculty/lumsdain.cfm
Esfandiar (Essie) Maasoumi (Emory)
http://userwww.service.emory.edu/~mboerck/
M. Hashem Pesaran (Cambridge)
http://www.econ.cam.ac.uk/faculty/pesaran/
Eric Renault (Brown)
http://news.brown.edu/new-faculty/2011-12/eric-renault
Peter M. Robinson (London School of Economics)
http://personal.lse.ac.uk/robinso1/
Richard Smith (Cambridge)
http://www.econ.cam.ac.uk/faculty/smith/
Halbert L. White, Jr. (UC San Diego)
http://weber.ucsd.edu/~hwhite/
Arnold Zellner (1927-2010) (Chicago)
http://faculty.chicagobooth.edu/arnold.zellner/more/
13 Philosophy and the Natural Sciences
Pieter Adriaans (U. Amsterdam)
http://staff.science.uva.nl/~pietera/
Ariel Caticha (SUNY Albany)
http://www.albany.edu/physics/ariel_caticha.htm
Raphael D. Levine (The Hebrew U and UCLA)
http://www.fh.huji.ac.il/members/Levine/
http://faculty.chemistry.ucla.edu/institution/personnel?personnel_id=264627
14 Welcome, New Research Associates!
Rossella Bernardini Papalia
Department of Statistical Sciences
University of Bologna, Italy
http://www.unibo.it/SitoWebDocente/default.htm?UPN=rossella.bernardini%40unibo.it
Marine Carrasco
Département de Sciences Economiques
Université de Montréal
Montréal, Canada
https://www.webdepot.umontreal.ca/Usagers/carrascm/MonDepotPublic/carrascm/index.htm
A. Bowen Garrett
McKinsey & Company
Center for U.S. Health System Reform
Urban Institute
Health Policy Center
http://healthreform.mckinsey.com/
http://healthpolicycenter.org
Nathan L. Harshman
Department of Physics
American University
http://nw08.american.edu/~harshman/
Atsushi Inoue
Department of Agricultural and Resource Economics
North Carolina State University
http://www4.ncsu.edu/~atsushi
Ilya Nemenman
Departments of Physics and Biology
Population Biology, Ecology, and Evolution Graduate Program
Neuroscience Graduate Program
Computational and Life Sciences Initiative
Emory University
http://menem.com/~ilya
Taisuke Otsu
Cowles Foundation & Department of Economics
Yale University
http://cowles.econ.yale.edu/faculty/otsu.htm
15 Sherman Robinson
Environment and Production Technology Division (EPTD)
Development Strategies and Governance Division (DSGD)
International Food Policy Research Institute (IFPRI), Washington, D.C.
http://www.ifpri.org/staffprofile/sherman-robinson
Victor M. Yakovenko
Department of Physics
University of Maryland, College Park
http://physics.umd.edu/~yakovenk
16 2010-2011 Visiting Fellows
Fall 2010
Ramo Gencay
(September 17 - October 5, 2010)
Info-Metrics Institute Visiting Senior Fellow
Simon Fraser University
http://www.sfu.ca/~rgencay
Luca Secondi
(September 22 - October 10, 2010)
Info-Metrics Institute Visiting Junior Fellow
University of Florence
Alastair Hall
(September 23 - 28, 2010)
Info-Metrics Institute Visiting Senior Fellow
University of Manchester
http://personalpages.manchester.ac.uk/staff/alastair.hall/
Ximing Wu
(September 23 and October 7, 2010)
Info-Metrics Institute Visiting Fellow
Texas A&M University
http://agecon2.tamu.edu/people/faculty/wu-ximing/
Eric Renault
(October 19 - 27, 2010)
Info-Metrics Institute Visiting Senior Fellow
Distinguished Professor of Economics, UNC at Chapel Hill
http://www.unc.edu/depts/econ/profiles/renault.htm
Spring 2011
Pieter Adriaans
(April 30 - May 14, 2011)
Info-Metrics Institute Visiting Senior Fellow
Professor of Learning and Adaptive Systems Universiteit van Amsterdam
http://staff.science.uva.nl/~pietera/
17 Ariel Caticha
(May 31 - June 4, 2011)
Info-Metrics Institute Visiting Senior Fellow
Professor of Physics SUNY–Albany
http://www.albany.edu/physics/ariel_caticha.htm
Steve Pincus
(April 25 - 27, 2011)
Info-Metrics Institute Visiting Senior Fellow
Aman Ullah
(March 21 - 25, 2011)
Info-Metrics Institute Visiting Senior Fellow
University of California, Riverside
http://economics.ucr.edu/ullah.html
18 Affiliate Profiles
Esfandiar “Essie” Maasoumi advances the objectives of the
Institute by sharing his extensive knowledge in the disciplines of
economics, econometrics, financial econometrics, information
theory and information-theoretic estimation methods.
Essie’s wide-ranging areas of research include nonlinear time
series, nonparametric estimation methods, tests for
heteroskedasticity and structural change, measures of welfare and
mobility, and the study of neural networks.
He serves as the Arts and Sciences Distinguished Professor of Economics at Emory University in
Atlanta and he is the editor of Econometric Reviews. He has been a Fellow of the Journal of
Econometrics since 1989 and a Fellow of the Royal Society since 1991.
In 2011, he was named as a Fellow of the American Statistical Association.
Essie’s 1993 compendium in Econometric Reviews is the first survey article on information
theory in economics and econometrics.
He is ranked 37th in the world in The Econometricians’ Hall of Fame.
Chemical Physicist Raphael “Raphy” Levine brings the
interdisciplinary work of the Institute to life through his expertise in
the foundation of information theory, maximum entropy and the
fundamentals of the natural sciences.
Raphy is widely known for his contributions to the role of energy in
chemical reactions, but his work also involves examining more
abstract issues. “For this, methodologies based on information theory
and on algebraic quantum mechanics are useful, as well as models that emphasize key aspects of
the problem and allow for a simple conceptual picture of the dynamics as much as exact
numerical simulations,” he says.
Raphy's work combines the principle of maximum entropy with information theoretic inversion
procedures to the basics of chemical, physical and biological applied and theoretical research.
He is a member of Academia Europaea, American Academy of Arts and Sciences, American
Philosophical Society, International Academy of Quantum Molecular Science, Israel Academy
of Sciences & Humanities, Max Planck Society, Royal Danish Academy of Sciences and Letters,
and the U.S. National Academy of Sciences. He was Alfred P. Sloan Fellow and has honorary
degrees from the Technische Universität München and from Liege University. He has been the
Miller Research Professor at UC Berkeley, the A.D. While Professor at Large at Cornell, and the
19 Max Born Professor of Natural Philosophy at the Hebrew University. He has received the Wolf
Prize in Chemistry, the Max Planck Prize for International Cooperation and other awards.
Raphy currently serves as distinguished professor of chemistry in the College of Letters and
Science and as distinguished professor of medical and molecular pharmacology at the School of
Medicine of UCLA. He also serves as a member of the editorial board of the Proceedings of the
National Academy of Sciences and of other scientific publications.
20 Our Work – Promoting Interdisciplinary Research
Through their research, each of the Institute's Affiliates are pushing the boundaries of
information processing and building the Institute's reputation as a world class academic resource.
We asked each of our Affiliates to provide information about their current projects, and we
received a diverse array of examples.
Pieter Adriaans (University of Amsterdam)
Current research:
 Philosophy of information, generalized Kolmogorov complexity (with Golan),
mathematical basis for a theory of facticity, study of data sets that show so-called saw
tooth curve dependencies (with Schultes)
Recent publications:
 Philosophy of information, Stanford Encyclopedia of Philosophy.
This year I have mainly worked on various aspects of philosophy of information. An extensive
paper for the Stanford Encyclopedia of Philosophy about this subject will appear before the end
of the year. In this paper I give an overview of the history of the concept of information in
western philosophy from antiquity to modern times. In the systematic part of the paper I analyze
various philosophical problems in the field of complexity theory and information theory. As far
as I know this is the first comprehensive treatment of this subject of such a scope. During a stay
at the Info-metrics Institute I worked with Amos Golan on the concept of Generalized
Kolmogorov complexity: an attempt to define a complexity measure that satisfies Zellner’s
Information conservation principle. This will form the proper mathematical basis for a theory of
facticity that I have been working on for a couple of years. Facticity is the amount of selfinformation in a data-set and it appears to be an important concept. With Erik Schultes I
investigated data sets that show so-called saw tooth curve dependencies: a linear relation of two
variables that suddenly collapses in to a powerlaw. I showed that these “edge” of-chaos’
phenomena can be understood theoretically with help of the concept of facticity. This work will
contribute to the Atlas of Complexity project for which we got a grant of the Templeton
Foundation.
Another project that starts in September 2011 is the Data to Semantics effort
(http://www.data2semantics.org/) in the Dutch Commit framework. It will last for four years. My
contribution will be the development of various complexity measures for e-science data sets, that
help us to estimate which types of queries and learning algorithms could be successful. To give
some examples: the World Wide Web seems to converge to a characteristic set for the English
language in which all relevant constructions occur at least once, for descriptions of the human
cell, brain or DNA we are still far from such a convergence). For the Dutch science program
Labyrint I made a feature about facticity that has been broadcasted in September.
21 Rossella Bernardini Papalia (University of Bologna)
Current research:
 Exploration of entropy-based methods in ecological inference with spatial dependence;
small area estimation problems; and spatial econometric models for panel data
James Bono (American University)
Current research:
 Investigation of entropic inference as a solution concept in noncooperative games
 Development of a statistical strategic model of air carrier behavior
 Development of statistical strategic models of cyber security for smart energy grids
Mehmet Caner (North Carolina State University)
Current research:
 Adaptive lasso with heteroskedastic data
 Instrumental variable selection
Recent publications:
 A Near Minimax Risk Bound: Adaptive Lasso with Heteroskedastic Data in Instrumental
Variable Selection (with M. Fan)
Marine Carrasco (University of Montreal)
Current research:
 Generalization of empirical likelihood estimation to handle a continuum infinite number
of moment conditions
 Regularization techniques of the covariance matrix and its application to portfolio
selection in finance
Ariel Caticha (SUNY Albany)
Current research:
 Development of general methods of entropic and Bayesian inference
 Application of principles of entropic inference to the foundations of physics
 Quantum theory and the derivation of the Schroedinger equation, of uncertainty relations,
and an analysis of the quantum measurement problem
 Application of principles of entropic inference to economic modeling by focusing
attention on simple models of highly idealized economies (with Amos Golan)
22 Duncan Foley (New School for Social Research and Santa Fe Institute)
Recent publications:
 Global warming and economic externalities, Economic Theory (with Rezai and Taylor).
 Model description length priors in the urn problem, Computable, Constructive and
Behavioural Economic Dynamics, Routledge.
 The long-period method and Marx’s theory of value, The Evolution of Economic Theory:
Essays in Honour of Bertram Schefold, Routledge, Abington and New York.
 Mathematical formalism and political-economic content, INET.
 Dynamics of output and employment in the U.S. economy, NSSR SCEPA PERI Working
Paper Series (with Basu).
A. Bowen Garrett (McKinsey & Co. and Urban Institute)
Current research:
 Economic and applied econometric modeling of health care and policy
 Using info-metric methods in micro-simulation modeling of health reforms
Ramo Gencay (Simon Fraser University)
Recent publications:
 Trading frequency and volatility clustering, Journal of Banking and Finance (with Xue).
 Financial Applications of Non-extensive Entropy, IEEE Signal Processing Magazine
(with Gradojevic).
 Errors-in-variables estimation with wavelets, Journal of Statistical Computation and
Simulation (with Gradojevic).
 Investment horizon effect on asset allocation between value and growth strategies,
Economic Modelling (with In and Kim).
John Geweke (University of Technology Sydney)
Current research:
 Pooling financial and macroeconomic models for improved prediction
Recent publications:
 Optimal Prediction Pools, Journal of Econometrics.
 Massively Parallel Sequential Importance Sampling with Markov Chain Renewal (with
Amisano).
Other updates:
 Appointed Theil Chair in Econometrics at Erasmus University Rotterdam, succeeding
Clive Granger.
23 Amos Golan (American University)
Current research:
 Foundations of info-metrics and entropic inference
 Info-metrics and extreme events; info-metrics modeling and applications
Alastair Hall (University of Manchester)
Current research:
 Estimation of the parameters of economic and statistical models based on the information
in moment conditions
 Generalized Method of Moments and Generalized Empirical Likelihood, including
moment selection and structural stability testing.
 Applications of GMM and GEL to financial, macroeconomic and health economic data
Nathan Harshman (American University)
Current research:
 Investigating how information, correlation, and entanglement can be used to understand
interacting quantum systems and the emergent distinctions between the quantum and the
classical world
 Applying symmetry methods to characterize invariant measures of information and
entanglement in physical systems
Recent publications:
 Observables can be tailored to change the entanglement of any pure state, Physical
Review A.
(This paper can be found at http://pra.aps.org/abstract/PRA/v84/i1/e012303)
Atsushi Inoue (NC State University)
Current research:
 Macroeconometrics, time series econometrics, forecasting
 Exploring instabilities and misspecification and their relationship with information theory
George Judge (University of California - Berkeley)
Recent publications:
 An Information Theoretic Approach to Econometrics. Cambridge University Press ((with
Mittelhammer).
 A family of empirical likelihood functions and estimators for the binary response model,
Journal of Econometrics (with Mittelhammer).
24 
Large deviations theory and econometric information recovery, Handbook of Empirical
Economics and Finance (with Grendar).
Nicholas Kiefer (Cornell University)
Current research:
 Bayesian methods in risk management and compensation design in banks and financial
institutions
 Incentive compatible elicitation and representation of information
Recent publications:
 The Bayesian Approach to Default Risk: A Guide, Rethinking Risk Measurement and
Reporting: Vol II (with Jacobs).
Robin Lumsdaine (American University)
Current research:
 Exploring the relationship between financial market perceptions and reality, and the role
of news and information in shaping those perceptions
 Testing conventional wisdoms in the inflation-linked bond market
 How survey design affects participant responses and subsequent inference
 The impact of the changing demographic landscape on the global financial markets
Ilya Nemenman (Emory University)
Current research
 Information channel capacities of molecular networks
Recent publications:
 Information channel capacities of molecular networks
 Information theory and adaptation, Quantitative Biology, (Ed. M.E. Wall)
Taisuki Otsu (Yale University)
Current research:
 Application of information theoretic method for Bayesian semiparametric analysis, such
as moment condition models and single index models
 Robustness analysis of information theoretic bootstrap inference by using breakdown
point theory
 Large deviation analysis of information theoretic approach for statistical estimation,
hypothesis testing, and model selection techniques
25 M. Hashem Pesaran (University of Cambridge)
Recent publications:
 With Sean Holly and Takashi Yamagata, 2010 “A Spatio-temporal Model of House
Prices in the US”, Journal of Econometrics, 158, 160-173

With Bahram Pesaran, (2010) “Conditional Volatility and Correlations of Weekly Returns
and the VaR Analysis of 2008 Stock Market Crash”, Special Issue of Economic
Modelling in honour of PAVB Swamy, edited by Stephen G. Hall, Lawrence R. Klein,
George S. Tavlas and Arnold Zellner, 27, 1398-1416

With Andreas Pick and Allan Timmermann, (2011) Variable Selection, estimation and
inference for multi-period forecasting problems. Journal of Econometrics, 164, 173-187.

With Sean Holly and Takashi Yamagata, (2011), “Spatial and Temporal Diffusion of
House Prices in the UK” Journal of Urban Economics, 69, 2-23.

Weak and Strong Cross Section Dependence and Estimation of Large Panels, by Alexander
Chudik, M. Hashem Pesaran and Elisa Tosetti (2011), The Econometrics Journal, 14, pp.
C45-C90

With Alexander Chudik, “Infinite Dimensional VARs and Factor Models", (2011) Journal
of Econometrics, 163, July 2011, 4-22.

With Elisa Tosetti, “Large Panels with Common Factors and Spatial Correlations”, (2011)
Journal of Econometrics, 161, pp. 182-202
Jeffrey Racine (McMaster University)
Current research:
 Regression spline methods in categorical predictors setup
 Kernel smoothing and regression splines
Recent publications:
 Additive Regression Splines with Irrelevant Categorical and Continuous Regressors, The
Comprehensive R Archive Network (www.r-project.org)
 (with Ma).
 Spline Regression in the Presence of Categorical Predictors, The Comprehensive R
Archive Network (www.r-project.org), (with Ma and Yang).
 The ‘crs’ package for R, The Comprehensive R Archive Network (www.r-project.org).
Regression spline methods can be limited in their potential applicability as they are based on
continuous predictors. However, in applied settings we often encounter categorical predictors
such as strength of preference ("strongly prefer", "weakly prefer", "indifferent" etc.) and so forth.
When confronted with categorical predictors, researchers typically break their data into subsets
governed by the values of the categorical predictors (i.e. they break their data into `cells') and
26 then conduct regression using only the response and continuous predictors lying in each cell.
Though consistent, this `frequency' approach can be inefficient. Recent developments in the
kernel smoothing of categorical data suggest more efficient estimation approaches in such
settings.
These papers and the R package may be of interest to those interested in semi and nonparametric
regression methods and constitute an alternative to kernel-based semi- and nonparametric
approaches. Furthermore, a KLIC-based criteria exists for selecting the unknown smoothing
parameters for the regression spline model (`cv.aic' - see ?crs for details).
Eric Renault (Brown University)
Eric Renault joined Brown University as the C.V. Starr Professor of Economics, effective July 1,
2011. His previous academic title was the Henry A. Latane Distinguished Professor of
Economics at the University of North Carolina at Chapel Hill.
Current research:





Variance targeting for heavy tailed time series.
Inference with implied probabilities
Testing strength of identification in moment conditions models.
Stochastic Volatility models for Option Pricing
Volatility Measurement with High Frequency Data in Finance
The first two topics are explicitly related to Info-Metrics by using implied probabilities provided
by entropy maximization.
Recent publications:


“Nonparametric Instrumental Regression,” with S. Darolles,Y. Fan and J.P. Florens,
Econometrica, September 2011.
“Efficient Derivative Pricing by Extended Method of Moments,” with C. Gourieroux and
P. Gagliardini), Econometrica , July 2011.
Both papers are interested in solving ill-posed inverse problems. In the former paper, the illposedness issue is addressed by Tikhonov regularization. In the latter paper, efficient derivative
prices are built by backing out the implied pricing measure through kernel smoothing and
entropy maximization.
Sherman Robinson (International Food Policy Research Institute)
Current research:
 Maximum entropy estimation methods, including estimating national accounts and Social
Accounting Matrices (SAMs) for developing countries, and cross-entropy estimation of
GIS data at the pixel level for countries in sub-Saharan Africa
27 Richard Scheines (Carnegie Mellon University)
Current research:
 Psychometric models and methods
 Causal inference
 The relationship between coherence, confirmation and causation
 Applications of causal model search applied to genetic regulatory network search
Richard Smith (Cambridge University)
Current research:
 Exploring the theory of estimation and inferential methods for econometric models
specified through moment conditions
 Development of valid inferential methods when confronted by instruments weakly
correlated with endogenous variables
 Development of reliable inferential methods in the moment condition context based on
the bootstrap, a computationally intensive tool that has had success in other applications
A major theme in my current research concerns the general theory of estimation and inferential
methods for econometric models specified through moment conditions. The emphasis is on
alternatives to the standard generalized method of moments, in particular, those within the
generalized empirical likelihood class. Large sample bias of estimators and methods to
ameliorate bias have formed one of the major strands of the research. The development of valid
inferential methods when confronted by instruments weakly correlated with endogenous
variables is a related theme. More recently this research has dealt with models specified by
conditional moment restrictions. A current project is the development of reliable inferential
methods in the moment condition context based on the bootstrap a computationally intensive tool
that has had success in other applications.
Michael Stutzer (University of Colorado – Boulder)
Current research:
 Exploration of info-metric optimal hedging using futures contracts
David Wolpert (NASA Ames Research Center)
Current research:
 Self-dissimilarity and complexity, quantification of self-dissimilarity for real world data
(with Macready)
 Predictive game theory, Bayesian approach to formulating distribution-valued concepts,
entropic priors (with Bono)
Recent publications:
Decision Making with Imperfect Decision Makers, Springer.
28 I have been elected to be external faculty of the Santa Fe Institute.
During the past year, I have conducted research on a representation of noncooperative games
based on viewing players as embedded in a Bayes net. In particular, I co-led a workshop related
to this at NIPS2010, called "Decision Making with Imperfect Decision Makers" (A proceedings
will be published by Springer.) A paper by me on this approach can be found at the workshop
website, http://www.utia.cz/NIPSProceedings
I have also conducted research on analyzing the information-theoretic properties of such "net
form games". In particular, the talk "Information in Games" was presented at the 2011 European
Conference on Complex Systems.
Ximing Wu (Texas A&M University)
Current research:
 Nonparametric and information-theoretic methods in econometrics
 Data-driven information-theoretic methods of distributional and specification hypotheses
 Nonparametric estimation of multivariate density and copula density functions
 Semiparametric estimation of shape-constrained functions
 Multi-attribute welfare inferences
Victor Yakovenko (University of Maryland)
Current research:
 Application of methods of statistical physics to economic, financial, and social problems
 Exploration of probability distributions of money, wealth, income, and energy
consumption per capita
Victor’s webpage (where all papers on this subject are posted):
http://physics.umd.edu/~yakovenk/econophysics/
29 Summer 2011 Info-Metrics Summer Classes
May 9-13, 2011
Info-Metrics: Theory and Practice
Instructor: Amos Golan, American University
Course Description: This class studies and practices the basics of Info-Metrics. It is a hands-on
class. We study the basics of information theory and basic information processing rules across
the sciences. Within that the emphasis is on information theoretic methods of estimation in
econometrics/statistics in general and the information theoretic (and entropy) methods suitable
for analyzing small, noisy and/or non-experimental data with minimal assumptions on the
underlying process generated that data. The models we study include linear and nonlinear
regressions, models with inequalities, censored, discrete choice and more. We contrast these
methods with other traditional approaches.
May 23-27, 2011
Spatial Econometrics: Theory and Practice
Instructor: Ingmar Prucha, Professor, Department of Economics at University of Maryland
College Park
(Webpage: http://econweb.umd.edu/~prucha/ )
Course Description: The focus of the course is on spatial models, or more generally crosssectional interaction models. Spatial/cross-sectional interaction models are increasingly used in
applied work in economics, with a focus on modeling and estimating the extent of interactions in
terms of endogenous variables, co-variates and disturbances. The course discusses recently
developed methods of inference for such models, and provides hands on instructions using Stata.
30 2010-2011 Institute Seminars
Fall 2010
Elvira Sojli and Wing Wah Tham (Erasmus University)
"The Impact of Foreign Government Investments: Sovereign Wealth Fund Investments in the
U.S."
Ximing Wu (Texas A&M)
"Semiparametric Estimation of Production Functions with Shape Constraints" (with Robin
Sickles)
Ramo Gencay (Simon Fraser University)
"Testing Jumps with Wavelets"
Eric Renault (UNC)
"Generalized Method of Moments with Tail Trimming"
Petra Todd (U Penn)
“Structural Estimation and Policy Evaluation in Developing Countries”
Robin Lumsdaine (American U.)
"The Relationship between Oil Prices and Breakeven Inflation Rates"
Spring 2011
Amos Golan (American U.)
"An Entropic Framework for Modelling Economies"
Aman Ullah (UC, Riverside)
"Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric
Multivariate Model"
Hashem Pesaran (Cambridge U.)
"On Identification of Bayesian DSGE Models"
31 2010-2011 Workshops & Conferences
Fall 2010 Conference: September 24-25, 2010
Title: Info-Metrics: Theory and Applications
Conference Objectives
The objective of this Conference is to discuss and study the latest developments of Info-Metrics
across the sciences.
Conference Topics
Conference topics include theory and methods and applications across the sciences. Examples
include:
 Economics/Econometrics (Theory and Applications)
 Finance and Risk Management
 Social Sciences
Structure
1. Paper presentations (sessions consisting of 3 papers and discussants).
2. Invited Lecturers: TBA
Program Committee
Anil Bera (U Illinois, Urbana-Champaign)
Ariel Caticha (SUNY Albany)
Ramo Gencay (Simon Fraser U)
Amos Golan (American U)
Alastair Hall (U. Manchester)
Robin Lumsdaine (American U)
Esfandiar (Essie) Maasoumi (Emory)
Eric Renault (UNC)
Michael J. Stutzer (U.Colorado - Boulder)
32 September 2010 Conference Program
(Interactive program available on September 2010 Conference program page:
https://cms.american.edu/cas/economics/info-metrics/workshop/program-2010-september.cfm )
FRIDAY SEPTEMBER 24
(Location: Mary Graydon Center 5 & 6)
9:00-10:00 AM Registration-Coffee-Refreshments
10:00-10:05 Welcoming Remarks
Robert Lerman, Department of Economics, American University and Urban Institute (Chair – InfoMetrics Advisory Board)
10:05 – 10:25 Reflections on Arnold
Amos Golan (American U)
10:25-11:45 AM SESSION I
Info-Metrics and Finance
Session Organizer – Michael J. Stutzer
Chair: Michael Stutzer (U. Colorado)
1. Canonical Methods of Pricing American Style Contingent Claims, Jamie Alcock (Cambridge and U.
Queensland)
2. On Esscher Transforms, Serena Tiong (U Iowa)
3. Entropy and the Market Selection Hypothesis, Alvaro Sandroni (Northwestern)
11:50 AM – 12:30 PM SESSION II
Info-Metrics and Quantiles
Chair: Robin Lumsdaine (American U)
1. Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile
Regression, Anil K. Bera, A. F. Galvao Jr. (U. Iowa), G. V. Montes-Rojas and S. Y. Park
2. Incentive-Compatible Elicitation of Quantiles, Nicholas M. Kiefer (Cornell)
12:30 – 1:30 PM LUNCH (Provided)
33 1:30 – 2:40 PM SESSION III
Estimation and Inference in Moment Condition Models-I
Session Organizers: Alastair Hall and Eric Renault
Chair: Eric Renault (UNC)
1. Robust inference for moment condition model, Taisuke Otsu (Yale)
2. Regularized Empirical Likelihood estimators, Marine Carrasco (U. Montreal)
3. Frequentist inference in weakly identified DSGE models, Atsushi Inoue (NCSU)
2:40 – 3:00 PM Coffee Break
3:00 – 4:15 PM SESSION IV
Info-Metrics and Wavelets across Statistics, Economics and Finance
Session Organizer: Ramo Gencay
Chair: Ramo Gencay (Simon Fraser U.)
1. Discrete Wavelet Transforms Based on Zero-Phase Daubechies Filters, Donald Percival (University
of Washington)
2. Vast Volatility Matrix Inference Based on High-frequency Financial Data, Yazhen Wang (UW,
Madison)
3. Unit Root Tests with Wavelets, Ramo Gencay (Simon Fraser U)
4:30 – 5:45 PM SESSION V
Info-Metrics and Econometrics Theory
Chair: Aman Ullah (UC Riverside)
1. Bayesian Analysis of Moment Restriction Models Using Nonparametric Priors, Yuichi Kitamura
(Yale)
2. Forecasting with Imprecise/Indeterminate Probabilities, Teddy Seidenfeld (Carnegie Mellon), Mark
Schervish and Jay Kadane
3. Asymptotic Theory of Nonparametric Functionals with Spatial Data, Peter M. Robinson (London
School of Economics)
5:50 PM Welcoming to the Reception Remarks
34 Mark Levonian (Senior Deputy Comptroller, Office of the Comptroller of the Currency)
6:00 -7:30PM Reception (Location Mary Graydon Center 3 & 4)
~~
SATURDAY SEPTEMBER 25
(Location: Ward 2)
8:00 – 9:00 AM Coffee-Refreshments
9:00 – 10:15 AM SESSION VI
Estimation and Inference in Moment Condition Models – II
Session Organizers: Alastair Hall and Eric Renault
Chair: Alastair Hall (U. Manchester)
1. Large sample properties of the three-step Euclidean Likelihood estimators under model
misspecification, Prosper Dovonon (Concordia)
2. Optimal comparison of misspecified moment restriction models, Vadim Marmer (UBC) and Taisuke
Otsu (Yale)
3. Model selection test for nonnested moment inequality models, Xiaoxia Shi (UW-Madison)
10:15 – 10:30 AM Coffee Break
10:30 – 11:30 AM SESSION VII
Info-Metrics, Pseudo ML and EL
Chair: Esfandiar Maasoumi (Emory U.)
1. Fourth Order Pseudo Maximum Likelihood Methods, Alberto Holly, Alain Monfort and Michael
Rockinger (Swiss Finance Institute, U. Lausanne, and CEPR)
2. Data Driven Empirical Likelihood Tests, Ximing Wu (Texas A & M)
3. Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Many
Moment Asymptotics, Mehmet Caner (NCSU)
11:30 – 11:45 AM Coffee Break
35 11:45 – 12:45 PM SESSION VIII
Info-Metrics, Games and Modeling
Session Organizer: James Bono
Chair: Teddy Seidenfeld (Carnegie Mellon)
1. Distribution-Valued Solution Concepts, David Wolpert (NASA and Santa Fe Inst) and James Bono
(American U)
2. Identifying Strategies and Beliefs without Rationality Assumptions, James Bono (American U) and
Amos Golan (American U)
3. Info-Metrics: An Entropic Framework for Modeling Economies (Tentative Title), Ariel Caticha and
Amos Golan (American U)
1:00 – 2:00 PM LUNCH (Provided)
2:00 – 2:40 PM SESSION IX
Info-Metrics and Risk
Chair: Douglas Miller (U. Missouri)
1. The Bayesian Approach to Default Risk: A Guide, Michael Jacobs Jr. (OCC) and Nicholas M. Kiefer
2. Towards an Infometric Solution to the Risk Modeling Crisis: The Canon of Plausible Inference and the
Representation of Observed Data, Alberto Solana-Ortega (CSIC, Spain) and V. Solana
2:40 – 4:00 PM SESSION X
Info-Metrics - Applications
Chair: Jeff Racine (McMaster U.)
1. An Information Theoretic Approach to Flexible Stochastic Frontier Models, Douglas J. Miller (U.
Missouri)
2. A Latent Class Stochastic Frontier Model for Evaluating Technical Efficiency of Italian Universities:
A GME Approach, Luigi Biggeri, Tiziana Laureti and Luca Secondi (National U Evaluation Committee,
Italy)
3. GME Estimation with Nonlinearities and Spatial Dependence in Club Convergence Across OECD
Countries, Rossella Bernardini Papalia (U. Bologna) and S. Bertarelli.
36 4. Information Theoretic Approach to Density Estimation with an Application to the U.S. Personal
Income Data, Sung Y. Park (U. Illinois) and Anil K. Bera
4:00 – 4:20 PM Coffee Break
4:20 – 5:30 PM Round Table – Info-Metrics: Information Processing across the Sciences
Moderator: Duncan K. Foley (New School for Social Research and Santa Fe Inst.)
Ariel Caticha (SUNY Albany)
Alastair Hall (U. Manchester)
Yuichi Kitamura (Yale)
Robin Lumsdaine (American U)
Eric Renault (UNC)
Peter M. Robinson (London School of Economics)
Michael Stutzer (U Colorado)
Aman Ullah (UC Riverside)
37 Spring 2011 Workshop: May 2, 2011
Title: Info-Metrics across the Sciences
Co-chairs:
 Ariel Caticha (SUNY Albany)
 Amos Golan (AU)
Sponsors:
US Comptroller of the Currency
Army Research Office
AU College of Arts & Sciences
AU Economics Department
Workshop Objectives
The overall objective of this workshop is to continue the study of the foundations of info-metrics
and information processing across the sciences.
The objective of this workshop is to continue the exploration into the basics of info-Metrics and
entropic inference. In that workshop we focus on Info-Metrics in the natural sciences, study the
state of information-theoretic estimation and data analysis in some areas of the natural sciences,
and then discuss the implications of info-metrics in the natural sciences to the social sciences in
general and to economics, econometrics, statistics and finance in particular.
Workshop Topics
Info-Metrics across the Sciences
Information Processing across the Sciences
Entropic Inference across the Sciences
Program Committee
Ariel Caticha (SUNY Albany) – Co-Chair
Amos Golan (American U.) – Co-Chair
Nicholas M. Kiefer (Cornell)
Raphael D. Levine (The Hebrew U. and UCLA)
Robin Lumsdaine (American U.)
Confirmed Speakers/Discussants
Ariel Caticha (SUNY Albany)
Nathan Harshman (AU)
John Harte (UC Berkeley)
Raphael D. Levine (The Hebrew U. and UCLA)
Ilya Nemenman (Emory U.)
38 Teddy Seidenfeld (Carnegie Mellon)
Peter J. Steinbach (NIH, CIT, CMM)
David Wolpert (NASA)
Victor Yakovenko (U. Maryland)
39 Spring 2011 Workshop Program
(Interactive program available on Spring 2011 Workshop program page:
http://www.american.edu/cas/economics/info-metrics/workshop/program-2011-spring.cfm
All events on May 2
at American University's Ward Building, Room 2
(Note that 6:00 Reception located in the Butler Board Room)
8:00-9:00 AM Registration-Coffee-Refreshments
9:00-9:10 AM Welcoming Remarks
Cornelius M. Kerwin, President, American University
9:10-9:20 AM Info-Metrics and Workshop’s Objectives
Amos Golan (American U.)
9:25-10:10 AM Session I
Chair: David Wolpert (NASA)
Classical Correlations, Quantum Correlations, and Magical Correlations
Nathan L. Harshman
(Physics; American U.)
10:15-11:15 AM Session II
Chair: Robert Lerman (American U. and Urban Institute)
Whose Entropy?
Raphael D. Levine
(Chemistry and Biochemistry, Molecular and Medical Pharmacology; The Hebrew U. and
UCLA)
Discussant: Amos Golan (American U.)
11:15-11:30 AM Coffee Break
11:30-12:15 PM Session III
Chair: Nicholas M. Kiefer (Cornell)
Inferring Multivariate Interaction Models from Empirical Data
Ilya Nemenman
(Physics and Biology; Emory U.)
12:15-1:15 PM Lunch (Provided)
40 1:15-2:15 PM Session IV
Chair and Discussant: James Bono (American U.)
An Entropic Framework for Modeling Economies
Ariel Caticha
(Physics; SUNY Albany)
(Joint with A. Golan)
2:15-3:00 PM Session V
Chair: Pieter Adriaans (U. Amsterdam)
Why are the Data Too Good to be True?
Teddy Seidenfeld
(Philosophy and Statistics; Carnegie Mellon)
3:00-3:15 PM Coffee Break
3:15-4:00 PM Session VI
Chair: Robin Lumsdaine (American U.)
Inferring Lifetime Distributions from Kinetics by Maximizing Entropy Using a Bootstrapped
Model
Peter J. Steinbach
(Center for Molecular Modeling; Center for Information Technology; NIH)
4:00-4:45 PM Session VII
Chair: Ximing Wu (Texas A & M)
Entropy Maximization and Distributions of Money, Income, and Energy Consumption in the
Market Economy
Victor Yakovenko
(Physics; U. Md. College Park)
4:45-5:00 PM Coffee Break
5:00-6:15 PM Round Table – Info-Metrics: Information Processing across the Sciences
Moderator: Pieter Adriaans (U. Amsterdam)
William Greene (NYU)
Nicholas M. Kiefer (Cornell)
Robin Lumsdaine (American U.)
John Rust (U Md. College Park)
David Wolpert (NASA)
6:15 -7:30 PM Reception
(Butler Boardroom)
41 Forthcoming Workshops & Conferences (2011-2012)
October 2011 Workshop: October 3, 2011
Title: Philosophy of Information
Co-Chairs:
 Pieter Adriaans (U. Amsterdam)
 Amos Golan (AU)
Sponsors:
US Comptroller of the Currency
AU College of Arts & Sciences
AU Economics Department
Workshop Objectives
The overall objective of this workshop is to study some of the open questions within philosophy
of information.
Interest in the philosophy and meaning of information goes back half a century but has rapidly
increased recently with many new directions of research into the meaning, quantification and
measures of information and complexity as well as a vast range of applications across the
scientific spectrum.
In this conference we will focus on just one aspect of the philosophy of information: the different
techniques to measure information and to identify meaningful information. Various definitions
(of meaningful information) have been proposed in the recent past: sophistication, effective
complexity, computational depth, self-dissimilarity and facticity. At a first glance these
definitions seem to cover various aspects of the same domain. If, for example, one defines
meaningful information in terms of a balance between ad hoc and structural information in a
dataset then this definition automatically has consequences for self dissimilarity, the effective
complexity, the facticity and the computational depth of the set. A natural question is what are
the exact relations between these various definitions, and whether it is possible to reduce these
concepts into one (or more) central concept/s. Another interesting question is which kind of
processes in nature and society creates meaningful information: evolution, game playing, stock
exchange, etc.
This one day conference will address these basic questions and will explore recent advances in
the philosophy of information and its potential applications.
42 Program Committee
Pieter Adriaans (U. Amsterdam) – Co-Chair
Duncan Foley (New School for Social Research and Santa Fe Inst.)
Amos Golan (American U.) – Co-Chair
Esfandiar (Essie) Maasoumi (Emory)
Confirmed Speakers
Pieter Adriaans (U. Amsterdam)
Luis Antunes (Porto U., Portugal)
Ariel Caticha (SUNY Albany)
J. Michael Dunn (Indiana U. Bloomington)
Luciano Floridi (Oxford U. and U. Hertfordshire)
Duncan Foley (New School for Social Research and Santa Fe Institute)
David Oliver
October 2011 Workshop page:
http://www.american.edu/cas/economics/info-metrics/workshop/workshop-2011-fall.cfm
43 November 2011 Workshop: November 12, 2011
Workshop Objectives
Interest in shrinkage estimators goes back half a century but has rapidly increased recently with
many new directions of research that cover a vast range of applications in different disciplines.
Ongoing research on information-theoretic estimation and inference methods is similarly interdisciplinary, involving information theory, engineering, mathematical statistics, econometrics
and the natural sciences.
Modern shrinkage estimators like adaptive Lasso and Bridge methods are penalized estimators
with various penalty designs. These methods assist in model selection, oracle efficient estimation
and provide substantial computational advantages. In these respects they may be viewed as
methods that utilize information better than existing techniques. They have been found to be
particularly helpful in large dimensional systems where shrinkage can deliver sparse estimation,
sparsisity in the limit, and improved finite sample performance. The range of applications is vast
and includes microeconometric models of labor supply, time series econometric applications to
economic growth, aggregate cointegrated systems, and market wide financial volatility, social
interaction network estimation, and gene selection in biology.
This one day conference will address these various themes, the inter-connections between
shrinkage estimation methodology and info-metrics, and explore recent advances in shrinkage
methods and applications.
Workshop Topics
Shrinkage Estimators and Info-Metrics
Regularization Methods and Info-Metrics
Model Discovery and Info-Metrics
Program Committee
Mehmet Caner (NC State U) – Co-Chair
Amos Golan (American U) – Co-Chair
George Judge (UC Berkeley)
Robin Lumsdaine (American U)
Peter Phillips (Yale) – Co-Chair
Eric Renault (Brown)
Keynotes Speakers
Andrew Barron (Yale)
Victor Chernozhukov (MIT)
Harrison Zhou (Yale)
44 Other Confirmed Speakers
Mehmet Caner (NCSU)
Marine Carrasco (Montreal)
Bruce Hansen (Wisconsin)
George Judge (UC Berkeley)
Eric Renault (Brown)
Song Song (UC Berkeley)
Pascale Valery (HEC-Montreal)
Liao Zhipeng (UCLA)
November 2011 Workshop page:
http://www.american.edu/cas/economics/info-metrics/workshop/workshop-2011-november.cfm
45 Spring 2012 Workshop: March 30-31, 2012
Title: Information and Econometrics of Networks
Co-Chairs:
 Essie Maasoumi (Emory)
 Amos Golan (AU)
Sponsors:
US Comptroller of the Currency
Journal of Applied Econometrics
Workshop Objectives
The two-day conference is supported by the Journal of Applied Econometrics and will be
organized jointly by Professors Amos Golan of American University and Essie Maasoumi of
Emory University. Social and economic networks are everywhere: from Facebook to the more
complex global financial network or to networks connecting economic agents or to other
complex and dynamic economic networks. The study of these networks is crucial for both
academics and policy makers and presents a host of new theoretical and econometric challenges.
This conference will concentrate on studying the information and econometrics of networks. The
conference organizers encourage submissions of papers on any topic within this overall theme
with a particular emphasis on the list below.
Workshop Topics
Info-Metrics and Networks
Spatial Econometrics
Information in Networks
Factor Dependence
Empirical Analysis of Social and Economic/Financial Networks
Financial Networks and Risk
Complex Networks
Program Committee
Anil Bera (U Illinois, Urbana-Champaign)
Amos Golan (American U.), Co-Chair
Robin Lumsdaine (American U.)
Esfandiar (Essie) Maasoumi (Emory), Co-Chair
Michael J. Stutzer (U. Colorado-Boulder)
46 Confirmed Speakers
Marco Avellaneda (NYU)
Ethan Cohen-Cole (U. Maryland)
Rama Cont (Columbia)
Steven N. Durlauf (U. Wisconsin, Madison)
Craig Friedman (S&P)
Michael Gordy (Federal Reserve Board)
Jiawei Han (U. Illinois at Urban-Champaign)
Peter Robinson (London School of Economics)
Dan Rockmore (Dartmouth)
Michael J. Stutzer (U. Colorado-Boulder)
David Wolpert (NASA)
Spring 2012 Workshop page:
http://www.american.edu/cas/economics/info-metrics/workshop/workshop-2012-spring.cfm 47 Support the Institute!
Interested in providing financial support to the Institute? We are always open to new funding
sources and donations. With these resources, we hope to establish more long-term fellowships
for students and junior and senior researchers. We also hope to be able to expand our classes and
knowledge dissemination activities. For more information, contact Aisha Malik
(malik@american.edu or 202-885-3770).
48 For More Information
Visit our website: www.american.edu/info-metrics
Sign up for our newsletter: send an email to info-metrics@american.edu
Contact us!
info-metrics@american.edu (Institute and webmaster)
Professor Amos Golan, Director of Info-Metrics Institute
Email: agolan@american.edu
Aisha Malik, Institute Administrator
Email: malik@american.edu
49