Working Papers

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

Tempered Particle Filtering
Joint with Ed Herbst (Board of Governors)

This Version: August 2016
Also available as PIER Working Paper 16-017
Software is available at https://github.com/eph/tempered_pf

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

Macroeconometrics - A Discussion
This is a discussion of papers presented by Ulrich Mueller [Link] and Harald Uhlig at the 2015 World Congress of the Econometric Society.
This version: March 2016

Assessing DSGE Model Nonlinearities
Joint with Boragan Aruoba (Maryland) and Luigi Bocola (Penn)
This version: November 26, 2013
MATLAB Programs
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"

Joint with Hyungsik Roger Moon (USC), and Eleonora Granziera (Bank of Canada)
This version: January 2013
Previous version is available as FRB Philadelphia WP 11-20, CEPR Discussion Paper 8432, and NBER Working Paper 17140.
GAUSS Programs to Implement the Empirical Analysis
Matlab Programs for Monte Carlo Analysis