Measuring the Effects of Aggregate Shocks on Cross-sectional Distributions: Functional vs. Panel Approach
Joint with Stephanie Ettmeier (Bonn) and Chi Hyun Kim (Bonn)
First draft: in preparation
Presentation Slides (Barcelona, May 2024), Presentation Slides (Wharton, October 2024)
Summary: Using an administrative data set from Germany we estimate a functional VAR to measure the response of the earnings distribution to a productivity shock. We then replace the functional part of the VAR by cross-sectional-unit-level income dynamics equations (csuVAR), discuss model properties and estimation. In the empirical application we compare the csuVAR responses to the fVAR results and discuss the pros and cons of the respective modeling approaches.
Optimal Estimation of Two-Way Effects under Limited Mobility
Joint with Xu Cheng (UPenn) and Sheng Chao Ho (UPenn)
First draft: in preparation
Presentation Slides
Summary: this paper develops an empirical Bayes estimator for a panel data model with two-way fixed effects. The hyperparameters that control the variance (degree of shrinkage) and the location of the prior are determined by minimizing an unbiased risk estimate.
VAR Hyperparameter Determination under Misspecification
Joint with Oriol Gonzalez-Casasus
Very Preliminary Version: June 2024
On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity
Joint with Minsu Chang (Georgetown University)
This Version: February 2024
Also available as PIER Working Paper 24-003 and NBER Working Paper 32166
An earlier version is available as CEPR Discussion Paper 17049
Replication files via Dropbox Link
Bayesian Estimation of Panel Models with Potentially Sparse Heterogeneity
Joint with Hyungsik Roger Moon (USC) and Boyuan Zhang (Amazon)
This version: October 2023
Also available as PIER Working Paper 23-017, CEPR Discussion Paper DP18560, and arXiv working paper https://arxiv.org/abs/2310.13785
Replication files via Dropbox Link
Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation
Joint with Xu Cheng (Penn) and Peng Shao (Auburn University)
This Version: September 2023
Also available as PIER Working Paper 23-016
Replication files via Dropbox Link
Earlier Version: November 2019 Working Paper
Optimal Decision Rules when Payoffs are Partially Identified
Joint with Tim Christensen (UCL) and Hyungsik Roger Moon (USC)
This Version: May 2023
Replication Files: Computer Code.
Also available as: arXiv working paper https://arxiv.org/abs/2011.03153 and PIER Working Paper 20-38
An earlier version (November 2020) of the paper circulated under the title Robust Forecasting.