Empirical Bayes When Estimation Precision Predicts Parameters

IF 6.2 1区经济学 Q1 ECONOMICS

Econometrica Pub Date : 2026-04-01 DOI:10.3982/ECTA22935

Jiafeng Chen

引用次数: 0

Abstract

Gaussian empirical Bayes methods usually maintain a precision independence assumption: The unknown parameters of interest are independent from the known standard errors of the estimates. This assumption is often theoretically questionable and empirically rejected. This paper proposes to model the conditional distribution of the parameter given the standard errors as a flexibly parameterized location-scale family of distributions, leading to a family of methods that we call close. The close framework unifies and generalizes several proposals under precision dependence. We argue that the most flexible member of the close family is a minimalist and computationally efficient default for accounting for precision dependence. We analyze this method and show that it is competitive in terms of the regret of subsequent decision rules. Empirically, using close leads to sizable gains for selecting high-mobility Census tracts.

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估计精度预测参数时的经验贝叶斯

高斯经验贝叶斯方法通常保持精度独立性假设：感兴趣的未知参数独立于估计的已知标准误差。这一假设在理论上经常受到质疑，在经验上也经常遭到否定。本文提出在给定标准误差的情况下，将参数的条件分布建模为灵活参数化的位置尺度分布族，从而产生一系列我们称之为接近的方法。严密的框架统一和概括了精度依赖下的几种建议。我们认为，最灵活的亲密家庭成员是一个极简主义和计算效率的默认值，以考虑精度依赖。我们对该方法进行了分析，并证明了它在后续决策规则的遗憾方面具有竞争力。从经验上看，在选择高流动性的人口普查区时，使用close会带来相当大的收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometrica 社会科学-数学跨学科应用

CiteScore

11.00

自引率

3.30%

发文量

审稿时长

6-12 weeks

期刊介绍： Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.