Research

Working Papers

• Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs, joint with Frank Schorfheide. R&R Quantitative Economics

Also available as arXiv, CEPR Discussion Paper, NBER Working Paper and PIER Working Paper. MATLAB code.

• Grouped Fixed-Effects Estimation Is More Robust Than You Think R&R Econometric Theory

• Covariate-Assisted Estimation of Grouped Panel Data Models

• Valid Inference with Network-Dependent Data

Work In Progress

• Top Percentile Discrete Choice, joint with Wayne Gao.

• Inference on Conditional Moment Inequality Models via Integrated ReLU Transformation , joint with Xiaohong Chen and Wayne Gao.

• Beyond the Oracle: Misclassification-Robust Inference in Models with Latent Grouped Heterogeneity.

• Quantifying Dynamic Misspecification Biases in VARs.