Timothy B. Armstrong, Michal Kolesár, Mikkel Plagborg-Møller
arXiv 7 Apr 2020 · Econometrics · publishedEconometrica (2022) · 15 citations (OpenAlex)
arXiv:2004.03448 · PDF · DOI · OpenAlex · Extracted main text
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. 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 $1 - \alpha$ on average across the $n$ EBCIs for each of the means. Our empirical application considers the effects of U.S. neighborhoods on intergenerational mobility.
appendix boundary found by appendix_command · 77% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chetty, R. and Hendren, N (2018) The impacts of neighborhoods on intergenerational mobility II: County-level estimates | 1.000 | 12 | 3 | 100% |
| 2 | Morris, C. N (1983) Parametric empirical Bayes inference: Theory and applications | 0.965 | 10 | 7 | 90% |
| 3 | Morris, C. N (1983) Parametric empirical Bayes confidence intervals | 0.843 | 4 | 3 | 75% |
| 4 | Carlin, B. P. and Louis, T. A (2000) Bayes and Empirical Bayes Methods for Data Analysis | 0.843 | 3 | 3 | 100% |
| 5 | Andrews, I., McCloskey, A., and Kitagawa, T (2021) Inference on winners | 0.737 | 3 | 2 | 100% |
| 6 | Efron, B (2019) Bayes, oracle Bayes and empirical Bayes | 0.737 | 3 | 2 | 100% |
| 7 | Cai, T. T., Low, M., and Ma, Z (2014) Adaptive confidence bands for nonparametric regression functions | 0.644 | 2 | 2 | 100% |
| 8 | Hung, K. and Fithian, W (2019) Rank verification for exponential families | 0.644 | 2 | 2 | 100% |
| 9 | James, W. and Stein, C. M (1961) Estimation with quadratic loss | 0.644 | 2 | 2 | 100% |
| 10 | Wasserman, L (2006) All of Nonparametric Statistics | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 43 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.