Intersections

As I noted in a post a couple of weeks ago, I took a sabbatical leave from Ohio State for the 1993/94 academic year. I spent my leave here at the University of Illinois and it stands out as a major professional turning point. And not just because I ended up coming back to Illinois three years later. Among the many benefits of the experience, I had the incredibly good fortune of intersecting with Dwight Sanders in several graduate classes. This occurred because my main goal for the sabbatical was pretending I was a graduate student once again. This picture is the way Dwight looked as a Ph.D. student when I first met him in 1993.

Dwight and I mainly bonded in two graduate classes. The first was a graduate seminar in the business college on the newly emerging field of behavioral finance taught by Professor Jay Ritter. The second was a graduate course on time-series econometrics taught by Professor Paul Newbold. In addition to being a brilliant “near” Nobel Prize-winning econometrician, his mannerisms and dry British humor were seemingly pulled from a Monty Python skit. I will never forget the first day of class. He could be generously described as “frumpy” in terms of clothing choices and with thick black horn-rimmed glasses to boot. When the bell rang on the first day, Professor Newbold said, “I suppose you expect a syllabi. I don’t use them. There will be problem sets and a final term project paper.” With that, he turned to the blackboard and started writing equations at a blistering pace.

Professor Newbold’s humor delighted Dwight and me to no end, even though few others in the class seemed to appreciate the daily entertainment.  I still remember his zingers, including, “If the math fails, draw a picture,” “You should not have a theorem named after you until you are dead” (in reference to the then new Granger representation theorem), and “Time-series stationarity can only be decided by the men in frocks” (priests in other words). It also turned out that Professor Newbold was very generous with his time if he thought you had some interesting research ideas. I was fortunate enough to be able to have a number of long conversations with him and hear about what he was working on at the time. He had just finished a paper testing the numerical reliability of different econometric packages, cheekily titled, “Adventures with ARIMA Software.” He found out I was a user of the RATS econometrics software package. After showing me some problems RATS had with numerical accuracy, he suggested it should be called “MICE” instead.

Newbold’s class is undoubtedly where Dwight and I truly began our personal friendship and professional partnership, now stretching more than 30 years. We also learned a ton about time-series econometrics. Neither one of us could have ever imagined where that experience would lead. I became a member of Dwight’s dissertation committee, and we continued working together on various topics related to commodity futures markets once he finished his Ph.D. studies at Illinois. When the controversy over speculation in commodity futures markets erupted in 2007-08, we were able to draw on our joint work to quickly respond to the need for objective research. We thought that vein of research might last a couple of years, but here we are over 15 years later still going. A major highlight was winning the Gardner Policy Award from the Agricultural and Applied Economics Association (AAEA) for this work in 2018 (see the picture below). Another was the publication of our book “Speculation by Commodity Index Funds: The Impact on Food and Energy Prices” by CABI in 2023. For those interested in more information, please visit the webpage for the book. It contains lots of fun backstories about our work on speculation in commodity futures markets.

I like to think that Professor Newbold would appreciate the role he played in connecting the two of us and all the work that followed. I am sure he would have some kind of witty comeback. Sadly, he passed away in 2016. May he rest in peace.

 

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