4 papers
Variance or Standard Deviation? Shell Geometry and Global-Scale Priors in High-Dimensional Shrinkage
Wayne Yuan Gao, Zhiheng You
We study how the choice of default prior for a common Gaussian scale affects high-dimensional shrinkage risk, highlighting the role played by high-dimensional geometry. Formally, w…
Model Restrictiveness in Functional and Structural Settings
Drew Fudenberg, Wayne Yuan Gao, Zhiheng You
We extend the restrictiveness measure of Fudenberg, Gao & Liang (2026) to functional and structural econometric settings using Gaussian process priors. We find that models evaluate…
Using Prior Studies to Design Experiments: An Empirical Bayes Approach
Zhiheng You
We develop an empirical Bayes framework for experimental design that leverages information from prior related studies. When a researcher has access to estimates from previous studi…
How Well Are State-Dependent Local Projections Capturing Nonlinearities?
Zhiheng You
We use quadratic vector autoregressions, motivated by pruned second-order perturbation solutions to DSGE models, as a laboratory to evaluate how well popular local projection (LP)…