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Rational Expectations in Empirical Bayes

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arxiv 2411.06129 v3 pith:OMO3WHR4 submitted 2024-11-09 stat.ME

Valentino Dardanoni , Stefano Demichelis This is my paper · ORCID
classification stat.ME
keywords bayesempiricalfixedpointsposteriorshouldapproachbayesian
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We propose a principled framework for nonparametric empirical Bayes (EB) estimation, based on the idea that the prior should be consistent with the observed posterior and that Bayesian updating should be stable. Focusing on discretized priors, we characterize EB estimators as fixed points of a posterior belief operator. We establish the uniqueness of such fixed points and illustrate how the approach improves transparency and interpretability in standard EB settings, including a recent model of discrimination.

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    Using Empirical Bayes on three country panels, the authors estimate firm-specific Cobb-Douglas and CES technologies and report large heterogeneity in output elasticities plus a strong negative correlation between fact...

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