Events Calendar

***CANCELED*** Xu Cheng, University of Pennsylvania


Thursday, April 13, 2023, 04:00pm - 05:30pm

***CANCELED*** This seminar is postponed and will take place in the next academic year.

"Shrinkage Estimation of Fixed Effects on Matched Data"

AbstractThis paper develops an empirical Bayes estimator for a panel data model with two-wayfixed effects. The hyperparameters that control the variance (degree of shrinkage)and the location of the prior are determined by minimizing an unbiased risk estimate.We established the optimality of the proposed estimator by showing that it asymptoticallyattains the same loss as an oracle estimator with a hyperparameter that is chosenbased on the knowledge of the fixed effects. In a Monte Carlo study we show that theproposed estimator outperforms a number of competitors, including the least squaresestimator. The method will be applied to the estimation of teacher values-added from alinked student-teacher data set obtained from the North Carolina Education ResearchData Center.

4:00pm-5:30pm | In Person, 3rd Floor Library, NJ Hall | Coordinator: Roger Klein

Location  In Person, 3rd Floor Library, NJ Hall
Contact  Roger Klein