Sampling properties of the Bayesian posterior mean with an application to WALS estimation

DOI10.1016/j.jeconom.2021.04.008OpenAlexW3011721289MaRDI QIDQ2172003

Jan R. Magnus, Franco Peracchi, Giuseppe de~Luca

Publication date: 14 September 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.04.008

zbMATH Keywords

WALSdouble-shrinkage estimatorsnormal location modelposterior moments and cumulants

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• EBayesThresh

Cites Work

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