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In contrast, our EBCIs control coverage regardless of the means distribution, while remaining close in length to the parametric EBCIs when the means are indeed Gaussian. If the means are treated as fixed, our EBCIs have an average coverage guarantee: the coverage probability is at least 1\u2009\u2212\u2009<jats:italic>\u03b1<\/jats:italic>on average across the<jats:italic>n<\/jats:italic>EBCIs for each of the means. Our empirical application considers the effects of U.S. neighborhoods on intergenerational mobility.<\/jats:p>","DOI":"10.3982\/ecta18597","type":"journal-article","created":{"date-parts":[[2022,11,14]],"date-time":"2022-11-14T13:47:18Z","timestamp":1668433638000},"page":"2567-2602","source":"Crossref","is-referenced-by-count":31,"title":["Robust Empirical Bayes Confidence Intervals"],"prefix":"10.3982","volume":"90","author":[{"given":"Timothy B.","family":"Armstrong","sequence":"first","affiliation":[{"name":"Department of Economics, University of Southern California"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Michal","family":"Koles\u00e1r","sequence":"additional","affiliation":[{"name":"Department of Economics, Princeton University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mikkel","family":"Plagborg-M\u00f8ller","sequence":"additional","affiliation":[{"name":"Department of Economics, Princeton University"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2022]]},"reference":[{"issue":"5","key":"ecta200502-bib-0001","doi-asserted-by":"crossref","first-page":"743","DOI":"10.1162\/rest_a_00812","volume":"101","author":"Abadie","year":"2019","journal-title":"The Review of Economics and Statistics"},{"key":"ecta200502-bib-0002","unstructured":"Andrews, Isaiah, Toru Kitagawa, and Adam McCloskey (2021): \u201cInference on Winners,\u201d Unpublished manuscript, Harvard University."},{"issue":"2","key":"ecta200502-bib-0003","doi-asserted-by":"crossref","first-page":"871","DOI":"10.1093\/qje\/qjx001","volume":"132","author":"Angrist","year":"2017","journal-title":"The Quarterly Journal of Economics"},{"issue":"2","key":"ecta200502-bib-0004","doi-asserted-by":"crossref","first-page":"655","DOI":"10.3982\/ECTA14434","volume":"86","author":"Armstrong","year":"2018","journal-title":"Econometrica"},{"key":"ecta200502-bib-0005","unstructured":"Armstrong, Timothy B., Michal Koles\u00e1r, and Mikkel Plagborg-M\u00f8ller (2020): \u201cRobust Empirical Bayes Confidence Intervals,\u201d arXiv:2004.03448v2."},{"key":"ecta200502-bib-0006","doi-asserted-by":"crossref","unstructured":"Armstrong, Timothy B., Michal Koles\u00e1r, and Mikkel Plagborg-M\u00f8ller (2022): \u201cSupplement to \u2018Robust Empirical Bayes Confidence Intervals\u2019,\u201d Econometrica Supplemental Material, 90, https:\/\/doi.org\/10.3982\/ECTA18597.","DOI":"10.3982\/ECTA18597"},{"issue":"1","key":"ecta200502-bib-0007","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1111\/j.2517-6161.1995.tb02031.x","volume":"57","author":"Benjamini","year":"1995","journal-title":"Journal of the Royal Statistical Society. 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