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

Author

Listed:
  • 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.

Suggested Citation

  • John Galbraith & Douglas James Hodgson, 2009. "Dimension Reduction and Model Averaging for Estimation of Artists' Age-Valuation Profiles," CIRANO Working Papers 2009s-41, CIRANO.
  • Handle: RePEc:cir:cirwor:2009s-41
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    References listed on IDEAS

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    1. 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.
    2. repec:cup:cbooks:9780521129091 is not listed on IDEAS
    3. 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.
    4. 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, July.
    5. Victor Ginsburgh & Sheila Weyers, 2006. "Creativity and Life Cycles of Artists," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 30(2), pages 91-107, September.
    6. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    7. John Galbraith & Victoria Zinde-Walsh, 2011. "Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes," CIRANO Working Papers 2011s-57, CIRANO.
    8. Jacob A. Mincer, 1974. "Schooling, Experience, and Earnings," NBER Books, National Bureau of Economic Research, Inc, number minc74-1, November.
    9. David W. Galenson, 2009. "Conceptual Revolutions in Twentieth-Century Art," NBER Books, National Bureau of Economic Research, Inc, number gale08-1.
    10. Douglas James Hodgson, 2011. "Age-Price Profiles for Canadian Painters at Auction," CIRANO Working Papers 2011s-15, CIRANO.
    11. 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.
    12. Jun-ichi Itaya & Heinrich Ursprung, 2008. "Price and Death," CESifo Working Paper Series 2213, CESifo Group Munich.
    13. 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.
    14. Hellmanzik, Christiane, 2010. "Location matters: Estimating cluster premiums for prominent modern artists," European Economic Review, Elsevier, vol. 54(2), pages 199-218, February.
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    16. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
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    1. repec:gam:jecnmx:v:6:y:2018:i:3:p:32-:d:154105 is not listed on IDEAS
    2. Ventura Charlin & Arturo Cifuentes, 2013. "A new financial metric for the art market," Papers 1309.6929, arXiv.org, revised Jul 2015.
    3. John Galbraith & Douglas Hodgson, 2015. "Innovation, experience and artists’ age-valuation profiles: evidence from eighteenth-century rococo and neoclassical painters," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 39(3), pages 259-275, August.
    4. Hellmanzik, Christiane, 2016. "Historic art exhibitions and modern - day auction results," Research in Economics, Elsevier, vol. 70(3), pages 421-430.
    5. Moral-Benito, Enrique, 2010. "Model averaging in economics," MPRA Paper 26047, University Library of Munich, Germany.
    6. Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
    7. John Galbraith & Greg Tkacz, 2013. "Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases," CIRANO Working Papers 2013s-25, CIRANO.

    More about this item

    Keywords

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

    JEL classification:

    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature

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