The current research is supported by NSF grant SES 1424843
Inference for VARs Identified with Sign Restrictions
Joint with Hyungsik Roger Moon (USC), and Eleonora Granziera (Bank of Finland)
This Version: September 2017
a) January 2013 Version
b) FRB Philadelphia WP 11-20, CEPR Discussion Paper 8432, and NBER Working Paper 17140.
Tempered Particle Filtering
Joint with Ed Herbst (Board of Governors)
This Version: July 2017
MATLAB programs that implement the TPF (but were not used to generate the results in the paper and don’t replicate the tables and figures in the paper): MATLABProgramsTPF_v2 Note: the version posted prior to 8/16/2017 had some bugs that we fixed in v2. Thanks to the NY Fed DSGE team for pointing out the problems with the MATLAB implementation!
More software is available at https://github.com/eph/tempered_pf
Earlier versions are available as NBER Working Paper 23448 and PIER Working Paper 16-017
Forecasting with Dynamic Panel Data Models
Joint with Laura Liu (UPenn) and Hyungsik Roger Moon (USC)
This Version: December 2016
Also available at arXiv Link and as PIER Working Paper 16-022