Skip to main content

STICERD Econometrics Seminar Series

Shrinkage estimation of fixed effects with matched data

Xu Cheng (University of Pennsylvania), joint with Shenge Chao Ho and Frank Schorfheide (University of Pennsylvania)

Thursday 11 May 2023 14:00 - 15:30

Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.

About this event

This paper develops an empirical Bayes estimator for a panel data model with two-way fixed effects, with a focus on matched data with limited mobility.  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.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, in SAL 3.05, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Sadia Ali:

Please use this link to subscribe or unsubscribe to STICERD Econometrics mailing list (emetrics).