Research
Published Papers
Some Remarks on CCP-based Estimators of Dynamic Models, with Mogens Fosgerau, Emerson Melo and Matt Shum, Economics Letters (2021) [Paper] [MATLAB code: psi_sim.m]
How McFadden met Rockafellar and learned to do more with less, with Mogens Fosgerau, Journal of Mathematical Economics (2022) [Paper]
Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods, Econometric Theory (forthcoming) [Paper]
Working Papers
Selecting Penalty Parameters of High-Dimensional M-Estimators using Bootstrapping after Cross-Validation, with Denis Chetverikov. (Journal of Political Economy, conditionally accepted) [Paper] (previously circulated under the title Analytic and Bootstrap-after-Cross-Validation Methods for Selecting Penalty Parameters of High-Dimensional M-Estimators)
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions, with Anders Bredahl Kock and Rasmus Søndergaard Pedersen. [Paper]
An Evaluation of Risk Preferences using Cross-Validation, with Hyoeun Park and John Rehbeck.
Work in Progress
When Rockafellar met McFadden and showed him some higher-order theory, with Mogens Fosgerau and Frederik Brandt.
Cross-Validation and Experiments, with John Rehbeck.