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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, 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…