ebreg

This R package implements robust empirical Bayes confidence intervals from Armstrong, Kolesár, and Plagborg-Møller (2022). See ebci_matlab for a Matlab version of this package, and ebci for an R version.

This software package is based upon work supported by the National Science Foundation under grant numbers SES-2049765 (Armstrong), SES-22049356 (Kolesár), and SES-1851665 (Plagborg-Møller), and by work supported by the Alfred P. Sloan Research Fellowship (Kolesár).

Installation

ebreg is available from SSC. To install from Stata, simply type

ssc install ebreg

Alternatively, to install the current development version, run the following lines in Stata:

// Remove program if it existed previously
capture ado uninstall ebreg
// Install most up-to-date version
net install ebreg, from("https://raw.githubusercontent.com/kolesarm/ebciStata/master")

Example

Estimates and robust EBCIs for neighborhood effects, as in the empirical application in Armstrong, Kolesár, and Plagborg-Møller (2021). Shrink fixed-effect estimates of the neighborhood effects, for children with parents at the 25th percentile of the income distribution (theta25) toward average outcome for permanent residents (stayers) at the 25th percentile of the income distribution. Use precision weights proportional to the inverse of the squared standard error of the fixed-effect estimates.

use data/cz, clear
// Use precision weights
generate wgt = 1/se25^2
ebreg theta25 stayer25, se(se25) weights(wgt) alpha(0.1) genvar(ebci)
/* Shrinkage estimates, neighborhood effects, and confidence intervals
   are stored in variables with prefix specified in the genvar option.
   Summarize them.
*/
summarize ebci_*

// List EB point estimate and robust EBCI for NY commuting zones
list czname ebci_th_eb ebci_cil_eb ebci_ciu_eb if state=="NY"