Working papers

  1. A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs
    with Jonas E. Arias (Philadelphia Fed) and Juan F. Rubio-Ramirez (Emory)
    [Local copy]
  2. On the Wisdom of Crowds (of Economists)
    with Frank Diebold (Penn) and Aaron Mora (University of South Carolina)
    [Local copy]
  3. Testing for Endogeneity: A Moment-Based Bayesian Approach
    with Siddhartha Chib (WUSTL) and Anna Simoni (CNRS)
    [Local copy]
  4. Measuring Fairness in the US Mortgage Market
    with Hadi Elzayn (Meta) and Simon Freyaldenhoven (Philadelphia Fed) and Ryan C. Kobler (Philadelphia Fed)
    [Local Copy] [Web Dashboard]
  5. Constructing Applicants from Loan-level Data: A Case Study of Mortgage Applications
    with Hadi Elzayn (Meta) and Simon Freyaldenhoven (Philadelphia Fed)
    [Local Copy] [Web Dashboard]
  6. Capital-Based Corporate Tax Benefits: Endogenous Misallocation through Lobbying
    with Tanida Arayavechkit (World Bank) and Felipe E. Saffie (University of Maryland)
    [Local copy]

Publications

  1. Inference Based on Time-Varying SVARs Identified with Sign Restrictions
    with Jonas E. Arias (Philadelphia Fed) and Juan F. Rubio-Ramirez (Emory) and Daniel F. Waggoner (Emory)
    Review of Economic Studies, Forthcoming
    [Local copy]
  2. On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
    with Frank Diebold (Penn) and Boyuan Zhang (Penn)
    Journal of Econometrics, 2023
    [Local copy]
  3. Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models
    with Jonas E. Arias (Philadelphia Fed) and Juan F. Rubio-Ramirez (Emory)
    Journal of Econometrics, 2023
    [Local copy]
  4. The Causal Effects of Lockdown Policies on Health and Macroeconomic Outcomes
    with Jonas E. Arias (Philadelphia Fed) and Jesus Fernandez-Villaverde (Penn) and Juan F. Rubio-Ramirez (Emory)
    American Economic Journal: Macroeconomics, 2023
    [Local copy]
  5. A Statistical Learning Approach to Land Valuation: Optimizing the Use of External Information
    with David Albouy (UIUC)
    Journal of Housing Economics, 2022
    [Local copy]
  6. Bayesian Estimation and Comparison of Conditional Moment Models
    with Siddhartha Chib (WUSTL) and Anna Simoni (CNRS)
    Journal of the Royal Statistical Society: Series B, 2022
    [Local copy] [Appendix] [Code]
  7. DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors
    with Siddhartha Chib (WUSTL) and Fei Tan (SLU)
    Computational Economics, 2021
    [Local copy] [Code]
  8. A New Approach to Identifying the Real Effects of Uncertainty Shocks
    with Molin Zhong (FRB)
    Journal of Business and Economic Statistics, 2020
    [Local copy] [Online appendix] [Code]
  9. Probability Forecast Combination via Entropy Regularized Wasserstein Distance
    with Ryan Cumings-Menon (US Census)
    Entropy, 2020
    [Local copy]
  10. Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and Its Derivatives
    with Francis X. Diebold (Penn)
    International Journal of Forecasting, 2019
    [Local copy] [Code]
  11. Bayesian Estimation and Comparison of Moment Condition Models
    with Siddhartha Chib (WUSTL) and Anna Simoni (CNRS)
    Journal of the American Statistical Association, 2018
    [Local copy] [Appendix] [Code]
  12. Metropolitan Land Values
    with David Albouy (UIUC) and Gabriel Ehrlich (Michigan)
    Review of Economics and Statistics, 2018
    [Local copy]
  13. On the Comparison of Interval Forecasts
    with Ross Askanasi (Cornerstone), Francis X. Diebold (Penn), and Frank Schorfheide (Penn)​
    Journal of Time Series Analysis, 2018
    [Local copy]
  14. Measuring International Uncertainty: the Case of Korea
    with Boyuan Zhang (Penn), Molin Zhong (FRB), and Dong Jin Lee (Bank of Korea)​
    Economics Letters, 2018
    [Local copy]
  15. Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
    with Francis X. Diebold (Penn) and Frank Schorfheide (Penn)​
    Journal of Econometrics, 2017
    [Local copy] [Code]
  16. Does Realized Volatility Help Bond Yield Density Prediction?
    with Molin Zhong (FRB)
    International Journal of Forecasting, 2017
    [Local copy]
  17. Assessing Point Forecast Accuracy by Stochastic Error Distance
    with Francis X. Diebold (Penn)
    Econometric Reviews, 2017
    [Local copy]
  18. Assessing Point Forecast Accuracy by Stochastic Loss Distance
    with Francis X. Diebold (Penn)
    Economics Letters, 2015
    [Local copy]

Other Publications

  1. Breaking Down the Latest Fight Against Inflation
    with Jonas E. Arias (Philadelphia Fed)
    Economic Insights, 2025
    [Local copy]
  2. Failure of Silicon Valley Bank Reduced Local Consumer Spending but Had Limited Effect on Aggregate Spending
    with Edmund S. Crawley (FRB) and Taeyoung Doh (KC Fed)
    Economic Bulletin, 2023
    [Local Copy]
  3. Measuring Disagreement in Probabilistic and Density Forecasts
    with Ryan Cumings-Menon (US Census) and Keith Sill (Philadelphia Fed)
    Joint Statistical Meeting Proceedings, Business and Economic Statistics Section, 2020
    [Local copy]
  4. Tracking U.S. Real GDP Growth During the Pandemic
    with Jonas E. Arias (Philadelphia Fed)
    Economic Insights, 2020
    [Local copy]
  5. Bayesian GMM

    Ph.D. Dissertation, 2015
    [Original, 2015], [Revised and current version, 2016]