Fei Tan's Home Page     


An Efficient Filter for Dynamic Linear Models with Endogenous Regime Switching, with Yoosoon Chang and Xin Wei, manuscript, January 2018.

This article extends the endogenous regime switching approach of Chang et al. (2017) to a conditionally linear state space model. Endogeneity stems from the sustained impacts of transition disturbances on an autoregressive regime factor, absent from which our model reduces to one with exogenous regime switching. We develop an endogenous switching version of the filtering algorithm in Kim (1994) to estimate the overall nonlinear state space model. Calculations are greatly simplified by augmenting the transition system with the regime factor and exploiting the conditionally linear and Gaussian structure. The algorithm is shown to be both accurate in approximating the likelihood function and computationally efficient. We also apply the filter to estimate a small-scale dynamic stochastic general equilibrium (DSGE) model with Bayesian methods, and find that the Bayes factor strongly favors the endogenous switching version of the DSGE model over the exogenous case.

Marginal Likelihood in High-Dimensional DSGE Models, with Siddhartha Chib, slides prepared for 2017 Midwest Econometrics Group Meeting at Texas A&M University, manuscript to follow soon.

This paper considers the estimation of marginal likelihood for medium to large scale dynamic stochastic general equilibrium (DSGE) models. Harmonic mean based approaches, albeit popular in empirical macroeconomics, raise a number of difficulties as the numbers of parameters and equations scale to the level routinely considered at policy institutions. We show that the framework of Chib (1995) and Chib and Jeliazkov (2001), which makes possible to break the estimation into independently estimable pieces, provides a general solution amenable to parallel computation. In conjunction with the tailored randomized block posterior sampler of Chib and Ramamurthy (2010), this delivers a fast and efficient scheme for estimating marginal likelihood in high-dimensional DSGE models. We also explore additional features to further accelerate the algorithm, and provide a user-friendly MATLAB toolbox that allows researchers to conveniently balance between sampling efficiency and computational time. Finally, these techniques are demonstrated with various versions of two well-known DSGE models for monetary policy analysis.


I am an assistant professor of economics at John Cook School of Business, Saint Louis University.

My primary research and teaching interests center on macroeconomics, monetary economics, and time series, with special emphasis on the econometric modeling and evaluation of macroeconomic policy. One line of my recent work employs formal econometric techniques to examine the empirical implications
of the dynamic interactions between U.S. fiscal and monetary policies. Another line develops frequency-domain approaches to solving and estimating dynamic economic models. I also conduct research in evolutionary dynamics with a focus on the evolution of cooperative and altruistic human behavior.

Currently I am teaching ECON 3120 Intermediate Macroeconomics and ECON 4310 Exchange Rates & Global Economy in Spring 2018.

Please send an email to me if you have any difficulty with links or downloads from this page.

I am also organizing the Cook School research seminar series. The seminar will be held in Cook Hall 234. It begins at 12pm and ends at 1pm on Friday. Below is the 2017-2018 schedule.

Fall semester

- Sep. 29th (Katie Kelting, Marketing)
- Oct. 27th (Scott Duellman, Accounting)
- Nov. 3rd (David Rapach, Economics)
- Nov. 10th (Bidisha Chakrabarty, Finance)
- Nov. 17th (Lijun Zhu, Wash U Economics)
- Dec. 1st (Juan Carlos Aquino, Wash U Economics)

Spring semester

- Jan. 26th (Xi Wang, Wash U Economics)
- Feb. 9th (Xiumin Martin, Wash U Accounting)
- Feb. 16th (Sang-Wook Cho, U of New South Wales Economics)
- Feb. 23rd (Nazmul Ahsan, Economics)
- Mar. 9th (Guofu Zhou, Wash U Finance)
- Mar. 23rd (Zhenling Jiang, Wash U Marketing)
- Apr. 6th (Palash Bera, Operations & IT Management)
- Apr. 13th (Ludvig Levasseur, Oklahoma State U Entrepreneurship)
- Apr. 20th (Duo Shi, Wash U Operations & Manufacturing Management)
- Apr. 27th (Naresh Bansal, finance)