Working Papers

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  and NBER Working Paper 27991
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
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.