Working Papers

Robust Forecasting
Joint with Tim Christensen (NYU) and Hyungsik Roger Moon (USC)
This Version: November 2020
Replication Files: Computer Code
Also available as: arXiv working paper https://arxiv.org/abs/2011.03153 and PIER Working Paper 20-38

Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally-Binding Constraints
Joint with Boragan Aruoba (Maryland), Pablo Cuba-Borda (Federal Reserve Board), Kenji Higa-Flores (Maryland), and Sergio Villalvazo (UPenn)
This Version: October 2020
Replication files: Julia Replication NK DSGE Model (Main Paper), Julia Replication Consumption-Savings Model (Appendix)
October version is available as CEPR Discussion Paper DP15388, NBER Working Paper 27991, and PIER Working Paper 20-37
An earlier version is available as International Finance Discussion Paper (Federal Reserve Board) 1272, February 2020 [Link], and FRB Philadelphia WP 20-13 [Link]

Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic
Joint with Dongho Song (Johns Hopkins Carey Business School)
Also available as FRB Philadelphia Working Paper 20-26 and PIER Working Paper 20-39
This version: July 2020
MATLAB Code
Regularly updated forecasts are available here.

SVARs with Occasionally-Binding Constraints
Joint with Boragan Aruoba (Maryland) and Sergio Villalvazo (UPenn)
This version: May 2020

Forecasting with a Panel Tobit Model
Joint with Laura Liu (Indiana University) and Hyungsik Roger Moon (USC)
Also available as NBER Working Paper 26569
Download Replication Files
This Version: December 2019

Clustering for Multi-Dimensional Heterogeneity
Joint with Xu Cheng (Penn) and Peng Shao (Penn)
Preliminary Version: November 2019

Heterogeneity and Aggregate Fluctuations
Joint with Minsu Chang (UPenn) and Xiaohong Chen (Yale)
Preliminary version: October 2018

Financial Support from the National Science Foundation under Grant SES 1851634 is gratefully acknowledged.