The current research is supported by NSF grant SES 1424843
Tempered Particle Filtering
Joint with Ed Herbst (Board of Governors)
This Version: July 2017
Also available as NBER Working Paper 23448 and PIER Working Paper 16-017
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
Identifying Long-Run Risks: A Bayesian Mixed Frequency Approach
Joint with Dongho Song (Boston College) and Amir Yaron (Wharton)
This Version: May 2017
April 2016 version. Earlier versions are available as NBER Working Paper 20303 and FRB Philadelphia Working Paper 13-39.
MATLAB Programs for May 2017 version are coming in late June
MATLAB Programs (April 2016 version) for the Empirical Analysis
Inference for VARs Identified with Sign Restrictions
Joint with Hyungsik Roger Moon (USC), and Eleonora Granziera (Bank of Finland)
This version: January 2013
Previous version is available as FRB Philadelphia WP 11-20, CEPR Discussion Paper 8432, and NBER Working Paper 17140.
GAUSS Programs to Implement the Empirical Analysis
Matlab Programs for Monte Carlo Analysis