3 papers
econ.EM2025
Optimal Decision Rules when Payoffs are Partially Identified
Timothy Christensen, Hyungsik Roger Moon, Frank Schorfheide
We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter and the decision maker can use…
econ.EM2025
Optimal Estimation of Two-Way Effects under Limited Mobility
Xu Cheng, Sheng Chao Ho, Frank Schorfheide
We propose an empirical Bayes estimator for two-way effects in linked data sets based on a novel prior that leverages patterns of assortative matching observed in the data. To capt…
econ.EM2025
Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs
Oriol González-Casasús, Oriol González-Casasús, Frank Schorfheide
Vector autoregressions (VARs) are vulnerable to dynamic misspecification, forcing researchers to navigate complex bias-variance trade-offs when forecasting or estimating impulse re…