Unobserved Heterogeneity and Empirical Bayes Methods

Roger Koenker (Illinois)
Wednesday, June 7, 2017 - 10:00am
HU Berlin, Heilig-Geist-Kapelle, Spandauerstr. 1, 10178 Berlin

Unobserved heterogeneity is a pervasive feature of modern econometric problems. Recent advances in convex optimization make it possible to efficiently estimate the nonparametric mixture models that underlie such applications and empirical Bayes methods provide a unified decision theoretic framework for interpreting them. This approach will be illustrated with applications to longitudinal models of income dynamics, fraility models in survival analysis and multiple testing. Computational methods collected in the R package REBayes will be employed to demonstrate the scope and ease of use of the methods.