Info-Metrics Institute
College of Arts and Sciences, American University
Fall 2010 Newsletter
Info-Metrics: An Interdisciplinary Institute
Contents
Director’s Update.........................1
Institute Events............................1
In Memoriam: Arnold Zellner........2
About the OCC............................2
Advisory Board Chair’s Message...2
Research Updates.....................3-4
Thanks to our Sponsors................3
Future Institute Events.................4
Essie Maasoumi, Arnold Zellner, Eric Renault, Robin
Lumsdaine, Yuichi Kitamura, and Ariel Caticha speak at
the Institute’s inaugural workshop in November 2009
The philosophy behind the Info-Metrics Institute
is that information, information processing and
entropic inference provide a unified approach
to inference and learning across disciplines.
The Institute’s mission is to promote the
interdisciplinary study of information, information
processing and decision rules based on efficient
use of information. That mission is achieved
through collaborations among researchers across
the scientific spectrum and dissemination of
knowledge through conferences, workshops and
seminars as well as through short-term, hands-on
classes at the graduate and post-graduate level.
The Institute was established in August 2009
thanks to funding from the Office of the Comptroller of the Currency and additional support, including
office space, provided by the College of Arts and Sciences at American University. The Institute meets a
growing need to connect researchers across disciplines who are working on issues related to information
processing and inference with limited information, including the fundamental problem of how to connect
the observed and unobserved quantities in a coherent way.
In its first year, the Institute has successfully
Institute Fellows Seminars...........4
•
established a core interdisciplinary research group (including an Advisory Board chaired by Robert
Lerman of AU and the Urban Institute);
Our Website..................................4
•
organized two workshops (November 2009 and April 2010);
•
hosted five short term Senior Fellows (up to two weeks each) and a semester Senior Fellow;
•
provided one junior faculty summer fellowship and one graduate student summer fellowship;
•
organized two short, hands-on classes taught by John Geweke of UTS, Sydney and a member of
the Institute’s Advisory Board, and Graham Elliott of UC San Diego; and
•
started building a major Info-Metrics resource environment for researchers on our Web site
(managed by Ximing Wu of Texas A&M and a Research Associate of our Institute).
American University
Info-Metrics Institute
Department of Economics
Kreeger Hall
4400 Massachusetts Ave, NW
Washington, D.C. 20016-8029
202-885-3770
202-885-3970 (fax)
info-metrics@american.edu
www.american.edu/info-metrics
We plan to keep pushing the research frontiers of entropic
inference and the search for improved information
processing rules. We also hope to establish more longterm fellowships for students, as well as junior and
senior researchers. Bookmark our Web site and check
in frequently to find information about our activities. We
are always open to new ideas.
As we celebrate our first anniversary, we are also
saddened by the death of our colleague and friend Arnold
Zellner - a true academician and a founding member of the
Institute. Our September 2010 conference is dedicated
to his memory.
- Amos Golan, Director, Info-Metrics Institute
Key Institute Events 2009-10
• Fall 2009 Info-Metrics Workshop: Information
Theoretic Estimation and Data Analysis
November 20, 2009
• Spring 2010 Info-Metrics Workshop:
Info-Metrics in the Natural Sciences and Its
Implications for the Social Sciences
April 27, 2010
• Fall 2010 Info-Metrics Conference:
Theory and Applications
September 24–25, 2010
Info-Metrics Institute Fall 2010 Newsletter
2
In Memoriam: Arnold Zellner
(1927 – 2010)
Arnold Zellner, a founding member of the Info-Metrics Institute, passed away on August 11,
2010. Arnold was one of the world’s leading econometricians and a kind and generous person.
His work on Bayesian econometrics, statistics, system of equations, and entropic inference
opened the door on new ways to understand data. Summaries of Arnold’s contributions can be
found on the Web pages of the University of Chicago and UC–Berkeley. We will miss you,
Arnold.
Info-Metrics Institute and the OCC: Working Together to Serve the Public
The Office of the Comptroller of the Currency (OCC) has been actively involved
with the Info-Metrics Institute on several levels throughout its first year of existence.
The OCC views the Institute as well positioned to make meaningful contributions
to the agency’s ability to carry out its mission of ensuring a safe and sound national
banking system; the activities of the Institute touch on multiple elements of the
OCC’s regulatory work.
The OCC supervises and regulates many of the largest banks in the country. Those banks use increasingly complex modeling
techniques in an ever wider range of applications, from credit scoring for credit cards and mortgages, to pricing of structured
financial products and other derivative instruments, to models that identify suspicious transactions to fight money laundering. OCC
modeling experts evaluate these bank models to verify that they are not being used in ways that might threaten the health of the
banking system. Often we encounter issues or questions that are not adequately addressed in the existing literature, and therefore
require research. We do some of that research ourselves, but we also reach out to the broader research community – including
scholars associated with this Institute – for ideas and possible answers.
The OCC sees the Info-Metrics Institute as a particularly timely initiative, and one that likely will produce real value for our agency
and for the public we serve. Those expectations certainly have been met in the Institute’s inaugural year; we have been pleased to
be able to support the Institute, and look forward to its continued success in the year ahead.
- Mark Levonian, Senior Deputy Comptroller, Office of the Comptroller of the Currency
A Message from the Advisory Board Chair
The development of the Info-Metrics Institute offers great potential for the application of stateof-the-art methods. As an economist who first became familiar with entropy concepts when
analyzing income inequality, I generally focus on economic applications, such as distributional
issues, industry studies, and finance. Yet, equally exciting is the cross-fertilization of ideas coming
from disciplines outside economics. We hope and believe the Institute will become one of the
rare places in academia where serious scholars will learn from each other, engage in intellectual
arbitrage, and thereby widen their perspectives on using data to make progress on real-world
problems in the natural and social sciences.
- Robert Lerman, Chair, Info-Metrics Institute Advisory Board
Info-Metrics Institute Fall 2010 Newsletter
3
Our Work – Expanding the Frontiers of Research
Following is a sampling of the research agenda of some of the Institute’s affiliates. More information, including a detailed research
agenda for each of our Affiliates, can be found in the 2009-10 Info-Metrics Institute Annual Report and on our website.
Pieter Adriaans (University of Amsterdam)
• Exploring facticity as a measure for meaningful
information
• Achieving a unified theory of entropy, computation and
information
Anil Bera (University of Illinois – Urbana-Champaign)
• Developing information theoretic approaches to density
estimation with applications to finance and income
distribution
• Investigating the interface between spatial analysis and
entropy, leading to the thermodynamics of population
concentration in big cities
James Bono (American University)
• Using the maximum entropy principle to infer the
strategies of economic agents without assumptions on
rationality or common knowledge
• Applying ideas from information theory and game theory
to mediation and peace negotiations
Mehmet Caner (NC State University)
• Violation of exogeneity in an instrumental variable
regression framework
• Joint testing of structural parameter and the correlation
between instrument and the errors
•
Ariel Caticha (SUNY - Albany)
• Applying entropic principles to thermodynamics and
statistical mechanics
• Testing an entropic approach to economic modeling by
focusing attention on simple models of highly idealized
economies
Duncan Foley (New School for Social Research and Santa Fe
Institute)
• Application of statistical cluster analysis to images of the
supra-chiasmatic nucleus (the locus of circadian rhythms
in mammals)
• Study of two-part coding in the process of theory choice
within a Bayesian framework
• Political economy of post-crisis global capitalism
Ramo Gencay (Simon Fraser University)
• Testing the presence of serial correlation in a stochastic
process using a wavelet approach
John Geweke (UTS - Sydney)
• Time series analysis and Bayesian modeling of economic
theory
The Info-Metrics Institute thanks our primary sponsor: the
Office of the Comptroller of the Currency. We also greatly
appreciate the support we have received from the College
of Arts and Sciences and the Department of Economics at
American University.
Audience members at the Institute’s inaugural workshop in November 2009
•
Determining the posterior modal subjective probability
distribution of an indifferent trader in prediction markets
Amos Golan (American University)
• Connecting theory, observable data and information processing
into a unified framework of inference
• Information theory, information processing and optimal
decision rules based on efficient use of information
Alastair Hall (University of Manchester)
• Estimation of the parameters of economic and statistical
models based on the information in moment conditions
• Generalized Method of Moments, including moment selection,
structural stability testing, inference in misspecified models
and non-nested model comparison
George Judge (University of California - Berkeley)
• Unifying entropy functionals and applying them to information
theory
• Identifying an appropriate flexible parametric family and
corresponding statistical models and estimators for binary
response models
Yuichi Kitamura (Yale University)
• Incorporating Bayesian methods in semiparametric models
using Information-Theoretic techniques
• Investigating applications of nonparametric Bayesian methods
in moment restriction models, where information theory plays
an essential role
Raphael Levine (The Hebrew University)
• Fundamental principles of Information Theory and entropic
inference across the sciences
• Applying information theory to molecular reaction dynamics
• Exploring the maximal entropy inference of oncogenicity
Info-Metrics Institute Fall 2010 Newsletter
4
Check out our website for updates on the
Institute’s work and upcoming events.
Bookmark our site and visit often!
www.american.edu/info-metrics
Duncan Foley, Nick Kiefer, and Pieter Adriaans in a panel
discussion at the Spring 2010 Workshop
Robin Lumsdaine (American University)
• Exploring the relationship between financial market
perceptions and reality, and the role of news and information
in shaping those perceptions
• Studying the relationship between news attention and equity
performance, questioning conventional wisdom related to
the inflation-linked bond market
Esfandiar Maasoumi (Emory University)
• Employing nonparametric identification of aggregator
functions to characterize and rank the multidimensional
distribution of indicators of well being
• Developing a more general approach to "matching" in
program evaluation and treatment effect contexts via InfoMetrics
Jeffrey Perloff (University of California - Berkeley)
• Developing a new Information-Theoretic approach for
estimating a demand system that takes account of zeroes,
using the choke price and not the observed price for those
who do not purchase
M. Hashem Pesaran (Cambridge University)
• Exploring econometric analysis of heterogeneous panels
with spatial and common unobserved effects, panel unit
root tests in the presence of error cross section dependence,
global macroeconometric modelling, analysis of growth
and convergence, and time series forecasting
Upcoming Events*
Eric Renault (University of North Carolina)
• Moment selection through implied probabilities and
efficient use of conditional moment restrictions in the
context of time series with applications to efficient
pricing of financial derivatives
• Relationships
between
Information-Theoretic
approaches to General Method of Moments (GMM)
and Bayesian Method of Moments
Michael Stutzer (University of Colorado - Boulder)
• Exploring entropy-based estimation models, including the
estimation of risk-neutra probabilities needed for derivative
security valuation, and the estimation of parameters in
econometric models amenable to GMM estimation
David H. Wolpert (NASA Ames Research Center)
• Exploring quantifications of self-dissimilarity that can be
measured for many kinds of real-world data
• Investigating a Bayesian approach to formulating distributionvalued concepts in predictive game theory
Ximing Wu (Texas A&M University)
• Exploring use of the maximum entropy density method for
multivariate density estimation nonparametrically
• Applying information-theoretic methods to inferences
Institute Fellows Seminars: Spring 2010*
Jeffrey S. Racine
“Entropy in Hypothesis Testing: Review and Applications”
Anil Bera
“Spacial Analysis and Entropy”
Ariel Caticha
“Quantifying Rational Belief - Probability”
“Updating Probabilities - Entropy”
“Measuring Distinguishability - Information Geometry”
•
Spring 2011 Info-Metrics Workshop: Info-Metrics
Across the Sciences
May 2, 2011 – American University
Esfandiar Maasoumi and Jeffrey S. Racine
“Info-Metrics: Research Summary and Q & A with
Students”
•
Fall 2011 Info-Metrics Workshop: Philosophy of
Information
October 3, 2011 – American University
Dennis Glennon
“Estimating Transition Matrices of Rated Syndicated Loans
Using an Information Theoretic Approach”
•
Spring 2012 Info-Metrics Workshop: Information and
Econometrics of Networks
March 30-31, 2012 – American University
*Visit our website for more information.
The Institute thanks Bethany Hardy (http://bethanyhardy.com) and
Aisha Malik for their help in producing this newsletter.