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CANCELLED - Econometrics Workshop: Stéphane Bonhomme

Tuesday, March 17, 2020 at 11:40am to 1:10pm

Uris Hall, 498
Central Campus

Stéphane Bonhomme - University of Chicago - CANCELLED

Posterior Average Effects (joint w/Martin Weidner)

Abstract: Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural models. For such quantities, we propose and study “posterior average effects”, where the average is computed conditional on the sample, in the spirit of empirical Bayes and shrinkage methods. While the usefulness of shrinkage for prediction is well-understood, a justification of posterior conditioning to estimate population averages is currently lacking.  We establish two robustness properties of posterior average effects under misspecification of the assumed distribution of unobservables: they are optimal in terms of local worst-case bias, and their global bias is at most twice the minimum worst-case bias within a large class of estimators. We establish related robustness results for posterior predictors. In addition, we suggest a simple measure of the information contained in the posterior conditioning. Lastly, we present two empirical illustrations, to estimate the distributions of neighborhood effects in the US, and of permanent and transitory components in a model of income dynamics.

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Event Type

Class/ Workshop




EconSeminar, EconMetrics, economics



Contact E-Mail

Contact Name

Amy Moesch

Contact Phone



Stephane Bonhomme

Speaker Affiliation

University of Chicago

Open To

Cornell Economics Community (List Serve Members)