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Posterior average effects
Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural models. For such quantities, we propose and study "posterior average effects", where the average is computed conditional on the sample, in the spirit of empirical Bayes and shrinkage methods. While the usefulness of shrinkage for prediction isdoi:10.1920/wp.cem.2019.4319 fatcat:jyi2gvfwezbn7la2sm45ss337u