Measuring the Effects of Aggregate Shocks on Cross-sectional Distributions: Functional vs. Panel Approach
Joint with Stephanie Ettmeier (CERGE-EI) and Chi Hyun Kim (Humboldt-Universitaet zu Berlin)
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.
On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity
Joint with Minsu Chang (Seoul National University)
This Version: August 2025
February 2024 version available as PIER Working Paper 24-003 and NBER Working Paper 32166
An even earlier version is available as CEPR Discussion Paper 17049
Replication files for most recent version via Dropbox Link
Optimal Estimation of Two-Way Effects under Limited Mobility
Joint with Xu Cheng (UPenn) and Sheng Chao Ho (Singapore Management University)
This Version: June 2025
Also available as arXiv working paper https://arxiv.org/abs/2506.21987 and NBER Working Paper 34014
Replication files can be downloaded here: 2025-07-14_Replicate Simulation, 2025-07_16_Replicate Application
Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation
Joint with Xu Cheng (Penn) and Peng Shao (Auburn University)
This Version: June 2025
Implementation codes can be downloaded here: Version 3 Code Package
Earlier versions available as November 2019 Working Paper and PIER Working Paper 23-016
Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs
Joint with Oriol Gonzalez-Casasus
This Version: February 2025
Also available as CEPR Discussion Paper DP19915, NBER Working Paper 33474, arXiv working paper 2502.03693, PIER Working Paper 25-003.
MATLAB replication files can be downloaded here.
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