arXiv 24 Aug 2023 · Econometrics · 9 citations (OpenAlex)
arXiv:2308.12485 · PDF · DOI · OpenAlex · Extracted main text
Shrinkage methods are frequently used to improve the precision of least squares estimators of fixed effects. However, widely used shrinkage estimators guarantee improved precision only under strong distributional assumptions. I develop an estimator for the fixed effects that obtains the best possible mean squared error within a class of shrinkage estimators. This class includes conventional shrinkage estimators and the optimality does not require distributional assumptions. The estimator has an intuitive form and is easy to implement. Moreover, the fixed effects are allowed to vary with time and to be serially correlated, in which case the shrinkage optimally incorporates the underlying correlation structure. I also provide a method to forecast fixed effects one period ahead in this setting.
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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 | Xie, X., S. C. Kou, and L. D. Brown (2012) SURE Estimates for a Heteroscedastic Hierarchical Model | 1.000 | 7 | 3 | 100% |
| 2 | Chetty, R., J. N. Friedman, and J. E. Rockoff (2014) Measuring the Impacts of Teachers I: Evaluating Bias in Teacher Value-Added Estimates | 0.811 | 4 | 2 | 100% |
| 3 | Gilraine, M., J. Gu, and R. McMillan (2020) A New Method for Estimating Teacher Value-Added, Tech | 0.737 | 3 | 2 | 100% |
| 4 | Brown, L. D., G. Mukherjee, and A. Weinstein (2018) Empirical Bayes Estimates for a Two-Way Cross-Classified Model | 0.644 | 2 | 2 | 100% |
| 5 | Chen, J (2022) Gaussian Heteroskedastic Empirical Bayes without Independence | 0.644 | 2 | 2 | 100% |
| 6 | Xie, X., S. C. Kou, and L. Brown (2016) Optimal Shrinkage Estimation of Mean Parameters in Family of Distributions with Quadratic Variance | 0.644 | 2 | 2 | 100% |
| 7 | Abaluck, J., M. M. C. Bravo, P. Hull, and A. Starc (2020) Mortality Effects and Choice Across Private Health Insurance Plans, Tech | 0.405 | 1 | 1 | 100% |
| 8 | Bitler, M., S. Corcoran, T. Domina, and E. Penner (2019) Teacher Effects on Student Achievement and Height: A Cautionary Tale, Tech | 0.405 | 1 | 1 | 100% |
| 9 | Brown, L. D. and E. Greenshtein (2009) Nonparametric Empirical Bayes and Compound Decision Approaches to Estimation of a High-Dimensional Vector of Normal Means | 0.405 | 1 | 1 | 100% |
| 10 | Jiang, W. and C.-H. Zhang (2009) General Maximum Likelihood Empirical Bayes Estimation of Normal Means | 0.405 | 1 | 1 | 100% |
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