Optimal Estimation of Two-Way Effects under Limited Mobility
Joint with Xu Cheng (UPenn) and Sheng Chao Ho (UPenn)
First version: coming soon
Presentation Slides
Summary: this paper develops an empirical Bayes estimator for a panel data model with two-way fixed effects. The hyperparameters that control the variance (degree of shrinkage) and the location of the prior are determined by minimizing an unbiased risk estimate.
Bayesian Estimation of Panel Models with Potentially Sparse Heterogeneity
Joint with Hyungsik Roger Moon (USC) and Boyuan Zhang (Amazon)
This version: October 2023
Also available as PIER Working Paper 23-017, CEPR Discussion Paper DP18560, and arXiv working paper https://arxiv.org/abs/2310.13785
Replication files via Dropbox Link
Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation
Joint with Xu Cheng (Penn) and Peng Shao (Auburn University)
This Version: September 2023
Also available as PIER Working Paper 23-016
Replication files via Dropbox Link
Earlier Version: November 2019 Working Paper
Preliminary Version: November 2019
Heterogeneity and Aggregate Fluctuations
Joint with Minsu Chang (Georgetown) and Xiaohong Chen (Yale)
This version: July 2023
Alpha Estimation and Density Conversion 2023-05-21 via Dropbox Link
Julia Replication Files 2022-10-17 via Dropbox Link
Julia Replication Files 2021-05-14 via Dropbox Link
Also available as CEPR Discussion Paper 16183, NBER Working Paper 28853, and Cowles Foundation Discussion Paper 2289
Earlier Versions: May 2021, November 2018
Optimal Decision Rules when Payoffs are Partially Identified
Joint with Tim Christensen (UCL) and Hyungsik Roger Moon (USC)
This Version: May 2023
Replication Files: Computer Code.
Also available as: arXiv working paper https://arxiv.org/abs/2011.03153 and PIER Working Paper 20-38
An earlier version (November 2020) of the paper circulated under the title Robust Forecasting.
On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity
Joint with Minsu Chang (Georgetown University)
This Version: February 2022
Also available as CEPR Discussion Paper 17049
Financial Support from the National Science Foundation under Grant SES 1851634 is gratefully acknowledged.