An Introduction to Bayesian Inference in Econometrics. J. Wiley and Sons, New York 1971
Basic Issues in Econometrics, Chicago: University of Chicago Press, 1984
Arnold Zellner: Bayesian Analysis in Econometrics and Statistics: The Zellner View and Papers. Edward Elgar, 1997, ISBN 978-1-85898-220-5 (google.com).
Arnold Zellner, Hugo A. Keuzenkamp, Michael McAleer: Simplicity, Inference and Modelling: Keeping it Sophisticatedly Simple. Cambridge University Press, 2002, ISBN 978-1-139-43238-2 (google.com).
James A. Crutchfield, Arnold Zellner: The Economics of Marine Resources and Conservation Policy: The Pacific Halibut Case Study with Commentary. University of Chicago Press, 2010, ISBN 978-0-226-12197-0 (google.com – Erstausgabe: 2002).
Arnold Zellner, Justin Tobias: Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model.