Working Papers

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

Panel Forecasts of Country-Level Covid-19 Infections
Joint with Laura Liu (Indiana University) and Hyungsik Roger Moon (USC)
This version: May 2020
Also available as NBER Working Paper 27248 and CEPR Working Paper 16457
Current forecasts are available at https://laurayuliu.com/covid19-panel-forecast/
A blog post is available here.

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: January 2020
Also available as International Finance Discussion Paper (Federal Reserve Board) 1272, February 2020 [Link], and FRB Philadelphia WP 20-13 [Link]

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.