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Robust Empirical Bayes Confidence Intervals

Econometrics 2022-11-22 v4 Methodology

Abstract

We construct robust empirical Bayes confidence intervals (EBCIs) in a normal means problem. The intervals are centered at the usual linear empirical Bayes estimator, but use a critical value accounting for shrinkage. Parametric EBCIs that assume a normal distribution for the means (Morris, 1983b) may substantially undercover when this assumption is violated. In contrast, our EBCIs control coverage regardless of the means distribution, while remaining close in length to the parametric EBCIs when the means are indeed Gaussian. If the means are treated as fixed, our EBCIs have an average coverage guarantee: the coverage probability is at least 1α1 - \alpha on average across the nn EBCIs for each of the means. Our empirical application considers the effects of U.S. neighborhoods on intergenerational mobility.

Keywords

Cite

@article{arxiv.2004.03448,
  title  = {Robust Empirical Bayes Confidence Intervals},
  author = {Timothy B. Armstrong and Michal Kolesár and Mikkel Plagborg-Møller},
  journal= {arXiv preprint arXiv:2004.03448},
  year   = {2022}
}

Comments

45 pages plus a 25-page supplemental appendix

R2 v1 2026-06-23T14:42:58.377Z