“It gets easier further on.”
George Tiao received his MBA from New York University in 1958, and then he came to Wisconsin with the intention of getting a Ph.D. in international finance. Eventually he pursued econometrics and was one of the students in the first course I taught. He was very interested in Bayes, and while he was a student, he and I wrote an article about Bayesian methods for Biometrika.1 His thesis was on the robustness of linear models from a Bayesian viewpoint.2
When Bayes, your conclusions need not be based on the assumptions that the errors were normally and identically distributed and independent. You could for example explore:
It was clear from the beginning that George would make an important contribution to our growing department, so when he completed the Ph.D. in 1962, I offered him an assistant professorship with a joint appointment with the Business School. In 1965–1966, when I was invited to spend a year at the Harvard Business School, I arranged for him to come too, which provided an opportunity for us to work together on a book about Bayesian inference.3
George searched housing for our respective families, and he found two places that would do. One was the ...