SMU SOE Online Seminar (Sept 21, 2020, 8am-9.30am): Robust Empirical Bayes Confidence Intervals

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ABSTRACT We construct robust empirical Bayes conﬁdence intervals (EBCIs) in a normal means problem. The intervals are centered at the usual linear empirical Bayes estimator, but use a critical value accounting for shrinkage. Parametric EBCIs that assume a normal distribution for the means (Morris, 1983b) may substantially undercover when this assumption is violated, and we derive a simple rule of thumb for gauging the potential coverage distortion. In contrast, our EBCIs control coverage regardless of the means distribution, while remaining close in length to the parametric EBCIs when the means are indeed Gaussian. If the means are treated as ﬁxed, our EBCIs have an average coverage guarantee: the coverage probability is at least 1 − α on average across the n EBCIs for each of the means. Our empirical applications consider eﬀects of U.S. neighborhoods on intergenerational mobility, and structural changes in a large dynamic factor model for the Eurozone. Keywords: Average coverage, empirical Bayes, conﬁdence interval, shrinkage. JEL Codes: C11, C14, C18. Click here to view the paper. Click here to view the CV.		This seminar will be held via Zoom. A confirmation email with the Zoom meeting link will be sent to the registered email by 18 September 2020.
		PRESENTER Mikkel Plagborg-Moller Princeton University
		RESEARCH FIELDS Time Series Econometrics Macroeconomics
		DATE: 21 September 2020 (Monday)
		TIME: 8.00am - 9.30am