The Power of Empirical Bayes: New Tools for Studying Economic Heterogeneity

Table of Links

Abstract and 1. Introduction

2. The Compound Decision Paradigm
3. Parametric Priors
4. Nonparametric Prior Estimation
5. Empirical Bayes Methods for Discrete Data
6. Empirical Bayes Methods for Panel Data
7. Conclusion

Appendix A. Tweedie’s Formula

Appendix B. Predictive Distribution Comparison

References

7. Conclusion

A survey of some recent developments in empirical Bayes methods focusing on nonparametric maximum likelihood estimation of mixture models for latent variables has been presented. A more extensive development will eventually be available in Koenker and Gu (2024). We believe that these methods offer valuable new tools for studying heterogeneity in its manifold forms in economics and we look forward to future developments.