摘要翻译：
经济学家通常对估计关于不可观察的分布的平均数感兴趣，例如个别固定效应的矩，或离散选择模型中的平均部分效应。对于这些量，我们提出并研究后验平均效应(PAE)，其中平均值是根据样本的条件计算的，本着经验贝叶斯和收缩方法的精神。虽然收缩在预测中的有用性是众所周知的，但目前缺乏后验条件来估计人口平均数的理由。我们证明了在各种形式的不可观测参数分布的错误规范下，PAE具有最小的最坏情况规范误差。此外，我们引入了后验条件信息量的度量，它量化了PAE相对于基于参数模型的估计器的最坏情况规范误差。作为例证，我们报告了美国中邻域效应分布的PAE估计，以及收入动态模型中永久性和暂时性成分的PAE估计。
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英文标题：
《Posterior Average Effects》
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作者：
St\'ephane Bonhomme, Martin Weidner
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最新提交年份：
2021
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
  Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), 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 show that PAE have minimum worst-case specification error under various forms of misspecification of the parametric distribution of unobservables. In addition, we introduce a measure of informativeness of the posterior conditioning, which quantifies the worst-case specification error of PAE relative to parametric model-based estimators. As illustrations, we report PAE estimates of distributions of neighborhood effects in the US, and of permanent and transitory components in a model of income dynamics.
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PDF链接：
https://arxiv.org/pdf/1906.06360