The current research is supported by NSF grant SES 1424843
Forecasting with Dynamic Panel Data Models
Joint with Laura Liu (UPenn) and Hyungsik Roger Moon (USC)
This Version: December 2016
Also available as PIER Working Paper 16-022
Replication files: ReplicationFiles.zip (contains readme), Data - Part 1, Data - Part 2, Data - Part 3
Identifying Long-Run Risks: A Bayesian Mixed Frequency Approach
Joint with Dongho Song (Boston College) and Amir Yaron (Wharton)
This Version: April 2016
Earlier versions are available as NBER Working Paper 20303 and FRB Philadelphia Working Paper 13-39.
MATLAB Programs for the Empirical Analysis
Assessing DSGE Model Nonlinearities
Joint with Boragan Aruoba (Maryland) and Luigi Bocola (Penn)
This version: November 26, 2013
The November 2013 version is also available as FRB Philadelphia Working Paper 13-47 and as NBER Working Paper 19693
First version: May 14, 2012. This version circulated under the title "A New Class of Nonlinear Time Series Models for the Evaluation of DSGE Models"