Related papers: Robust local empirical Bayes correction for Bayesi…
We develop an empirical Bayes (EB) G-modeling framework for short-panel linear models with nonparametric prior for the random intercepts, slopes, dynamics, and non-spherical error variances. We establish identification and consistency of…
This paper develops a methodology for robust Bayesian inference through the use of disparities. Metrics such as Hellinger distance and negative exponential disparity have a long history in robust estimation in frequentist inference. We…
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market; hence calibrations of local volatility models are necessary using observable market data.…
As the amount of economic and other data generated worldwide increases vastly, a challenge for future generations of econometricians will be to master efficient algorithms for inference in empirical models with large information sets. This…
The problem of adaptive sampling for estimating probability mass functions (pmf) uniformly well is considered. Performance of the sampling strategy is measured in terms of the worst-case mean squared error. A Bayesian variant of the…
The problem addressed in this article is the bias to income and expenditure elasticities estimated on pseudo-panel data caused by measurement error and unobserved heterogeneity. We gauge empirically these biases by comparing…
Empirical Bayes (EB) improves the accuracy of simultaneous inference "by learning from the experience of others" (Efron, 2012). Classical EB theory focuses on latent variables that are iid draws from a fitted prior (Efron, 2019). Modern…
We consider the sparse high-dimensional linear regression model $Y=Xb+\epsilon$ where $b$ is a sparse vector. For the Bayesian approach to this problem, many authors have considered the behavior of the posterior distribution when, in truth,…
Time-decaying currencies have long been discussed in economic theory as a means to discourage hoarding and promote circulation. However, their modern digital implementation as a universal basic income (UBI) mechanism raises unresolved…
The Household Pulse Survey (HPS), recently released by the U.S. Census Bureau, gathers timely information about the societal and economic impacts of coronavirus. The first phase of the survey was quickly launched one month after the…
Bayesian hierarchical models are increasing popular in economics. When using hierarchical models, it is useful not only to calculate posterior expectations, but also to measure the robustness of these expectations to reasonable alternative…
This article develops a random effects quantile regression model for panel data that allows for increased distributional flexibility, multivariate heterogeneity, and time-invariant covariates in situations where mean regression may be…
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a…
The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal approximation theorem based on Barron-type…
In Bayesian decision theory, it is known that robustness with respect to the loss and the prior can be improved by adding new observations. In this article we study the rate of robustness improvement with respect to the number of…
Approximate Bayesian inference on the basis of summary statistics is well-suited to complex problems for which the likelihood is either mathematically or computationally intractable. However the methods that use rejection suffer from the…
To better understand effects of exposure to food allergens, food challenge studies are designed to slowly increase the dose of an allergen delivered to allergic individuals until an objective reaction occurs. These dose-to-failure studies…
This paper introduces a flexible local projection that generalizes the model by Jord\'a (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture…
Modern statistical learning algorithms are capable of amazing flexibility, but struggle with interpretability. One possible solution is sparsity: making inference such that many of the parameters are estimated as being identically 0, which…
Count outcomes in longitudinal studies are frequent in clinical and engineering studies. In frequentist and Bayesian statistical analysis, methods such as Mixed linear models allow the variability or correlation within individuals to be…