Calendar

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

"Shrinkage Estimation of Fixed Effects on Matched Data"

Abstract
This paper develops an empirical Bayes estimator for a panel data model with two-way
fixed 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 asymptotically
attains the same loss as an oracle estimator with a hyperparameter that is chosen
based on the knowledge of the fixed effects. In a Monte Carlo study we show that the
proposed estimator outperforms a number of competitors, including the least squares
estimator. The method will be applied to the estimation of teacher values-added from a
linked student-teacher data set obtained from the North Carolina Education Research
Data Center.

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