Optimal shrinkage estimation of fixed effects in linear panel data models

DOI10.3982/ECTA22386MaRDI QIDQ7262094zbMATH OpenFDO

Authors Soonwoo Kwon

Publication date 11 June 2026

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ECTA22386

zbMATH Keywords

empirical Bayesfixed effectsshrinkage estimationvalue-added models

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Econometric analysis of cross section and panel data.
• Empirical Bayes estimates for a two-way cross-classified model
• From Stein's unbiased risk estimates to the method of generalized cross- validation
• General maximum likelihood empirical Bayes estimation of normal means
• Nonparametric empirical Bayes and compound decision approaches to estimation of a high-dimensional vector of normal means
• Optimal shrinkage estimation of mean parameters in family of distributions with quadratic variance
• SURE Estimates for a Heteroscedastic Hierarchical Model
• The Empirical Bayes Approach to Statistical Decision Problems

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