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The Evolution of Econometric Modeling: A Guide to Influential Papers on Panel Data

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Abstract and 1. Introduction

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


Appendix A. Tweedie’s Formula

Appendix B. Predictive Distribution Comparison

References

References

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Figure 10. Left panels depict predictive bands for the ARMA(1,1) model, while right panels depict bands for the AR(1) heterogeneous scale model.


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Figure 11. Left panels depict predictive bands for the ARMA(1,1) model, while right panels depict bands for the AR(1) heterogeneous scale model.


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Authors:

(1) Roger Koenker;

(2) Jiaying Gu.


This paper is available on arxiv under CC BY 4.0 DEED license.


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