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Dimension Reduction and Model Averaging for Estimation of Artists’ Age-Valuation Profiles

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  • John Galbraith

    ()

  • Douglas James Hodgson

    ()

Abstract

In hedonic regression models of the valuation of works of art, the age at which an artist produces a particular work, or an indicator variable for periods in his or her artistic career, is often found to have highly significant predictive value. Most existing results are based on regressions that pool large groups of painters. Although it is of interest to estimate such regressions for individual artists, the sample sizes are often inadequate for a model that would also include the large number of other relevant variables. We address this problem of inadequate degrees of freedom in individual artist regressions by using two statistical methods (model averaging and dimension reduction) to incorporate information from a potentially large number of predictor variables, allowing us to work with relatively small samples. We find that individual age-valuation profiles can differ substantially from general pooled profiles, suggesting that methods that are more responsive to the unique features of individual artists may provide better predictions of art valuations at auction. In hedonic regression models of the valuation of works of art, the age at which an artist produces a particular work, or an indicator variable for periods in his or her artistic career, is often found to have highly significant predictive value. Most existing results are based on regressions that pool large groups of painters. Although it is of interest to estimate such regressions for individual artists, the sample sizes are often inadequate for a model that would also include the large number of other relevant variables. We address this problem of inadequate degrees of freedom in individual artist regressions by using two statistical methods (model averaging and dimension reduction) to incorporate information from a potentially large number of predictor variables, allowing us to work with relatively small samples. We find that individual age-valuation profiles can differ substantially from general pooled profiles, suggesting that methods that are more responsive to the unique features of individual artists may provide better predictions of art valuations at auction.

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Bibliographic Info

Paper provided by CIRANO in its series CIRANO Working Papers with number 2009s-41.

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Date of creation: 01 Sep 2009
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Handle: RePEc:cir:cirwor:2009s-41

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Keywords: Dimension reduction; factor-augmented model; model averaging; réduction de dimension; modèle de facteur augmenté; moyenne de modèles;

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References

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  1. Douglas James Hodgson, 2011. "Age-Price Profiles for Canadian Painters at Auction," CIRANO Working Papers 2011s-15, CIRANO.
  2. Douglas Hodgson & Keith Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics, Canadian Economics Association, vol. 37(3), pages 629-655, August.
  3. Galenson,David W., 2009. "Conceptual Revolutions in Twentieth-Century Art," Cambridge Books, Cambridge University Press, number 9780521129091, November.
  4. Jacob A. Mincer, 1974. "Introduction to "Schooling, Experience, and Earnings"," NBER Chapters, in: Schooling, Experience, and Earnings, pages 1-4 National Bureau of Economic Research, Inc.
  5. David W. Galenson & Bruce A. Weinberg, 2001. "Creating Modern Art: The Changing Careers of Painters in France from Impressionism to Cubism," American Economic Review, American Economic Association, vol. 91(4), pages 1063-1071, September.
  6. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, 07.
  7. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
  8. Victor Ginsburgh & Sheila Weyers, 2006. "Creativity and life cycles of artists," ULB Institutional Repository 2013/99270, ULB -- Universite Libre de Bruxelles.
  9. David Galenson, 2000. "The Careers of Modern Artists," Journal of Cultural Economics, Springer, vol. 24(2), pages 87-112, May.
  10. repec:nbr:nberch:11976 is not listed on IDEAS
  11. Heinrich W. Ursprung & Christian Wiermann, 2011. "Reputation, Price, And Death: An Empirical Analysis Of Art Price Formation," Economic Inquiry, Western Economic Association International, vol. 49(3), pages 697-715, 07.
  12. David W. Galenson & Bruce A. Weinberg, 2000. "Age and the Quality of Work: The Case of Modern American Painters," Journal of Political Economy, University of Chicago Press, vol. 108(4), pages 761-777, August.
  13. Jacob A. Mincer, 1974. "Schooling, Experience, and Earnings," NBER Books, National Bureau of Economic Research, Inc, number minc74-1.
  14. Jushan Bai & Serena Ng, 2006. "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions," Econometrica, Econometric Society, vol. 74(4), pages 1133-1150, 07.
  15. Jun-ichi Itaya & Heinrich Ursprung, 2008. "Price and Death," CESifo Working Paper Series 2213, CESifo Group Munich.
  16. David W. Galenson, 2009. "Conceptual Revolutions in Twentieth-Century Art," NBER Books, National Bureau of Economic Research, Inc, number gale08-1.
  17. Hellmanzik, Christiane, 2010. "Location matters: Estimating cluster premiums for prominent modern artists," European Economic Review, Elsevier, vol. 54(2), pages 199-218, February.
  18. Galenson,David W., 2009. "Conceptual Revolutions in Twentieth-Century Art," Cambridge Books, Cambridge University Press, number 9780521112321, November.
  19. David Galenson, 2009. "Conceptual Revolutions in Twentieth-Century Art," NBER Working Papers 15073, National Bureau of Economic Research, Inc.
  20. John Galbraith & Victoria Zinde-Walsh, 2011. "Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes," CIRANO Working Papers 2011s-57, CIRANO.
  21. Corinna Czujack, 1997. "Picasso Paintings at Auction, 1963–1994," Journal of Cultural Economics, Springer, vol. 21(3), pages 229-247, September.
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Citations

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Cited by:
  1. Charlin, Ventura & Cifuentes, Arturo, 2013. "A new financial metric for the art market," MPRA Paper 50186, University Library of Munich, Germany.
  2. Enrique Moral-Benito, 2011. "Model averaging in economics," Banco de Espa�a Working Papers 1123, Banco de Espa�a.
  3. Ventura Charlin & Arturo Cifuentes, 2013. "A new financial metric for the art market," Papers 1309.6929, arXiv.org, revised Dec 2013.

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