Research
Home

 

Research Projects and Publications

(The current research is supported by a NSF Grant SES  1061725)

Working Papers

Inflation in the Great Recession and New Keynesian Models
Joint with Marco Del Negro (FRB New York) and Marc Giannoni (FRB New York)
This Version: April, 2014
Please note: since this is research in progress we only provide a basic set of codes that solve the model. These codes are not fully documented and we don't provide any support at this stage: A Few Matlab Programs
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
Joint with Xu Cheng (Penn) and Zhipeng Liao (UCLA)
This version: December 2013
Also available as NBER Working Paper 19792
MATLAB programs for empirical analysis
Real-Time Forecasting with a Mixed-Frequency VAR
Joint with Dongho Song (Penn)
This version: December 2013; also available as NBER Working Paper 19712
First version: August, 2012; available as FRB Minneapolis Working Paper 701
MATLAB Programs
Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
Joint with Marco Del Negro (FRB New York) and Raiden Hasegawa (FRB New York)
Preliminary version: November 22, 2013
Assessing DSGE Model Nonlinearities
Joint with Boragan Aruoba (Maryland) and Luigi Bocola (Penn)
This version: November 26, 2013
MATLAB Programs
The November 2013 version is also available as FRB Philadelphia Working Paper 13-47 and as NBER Working Paper 19693
First version: May 14, 2012. This version circulated under the title "A New Class of Nonlinear Time Series Models for the Evaluation of DSGE Models"
To Hold Out or Not to Hold Out
Joint with Ken Wolpin (Penn)
This Version: October, 2013
Also available as NBER Working Paper 19565
GAUSS Programs
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Joint with Dongho Song (Penn) and Amir Yaron (Wharton)
This Version: September, 2013
Also available as FRB Philadelphia Working Paper 13-39.
Macroeconomic Dynamics Near the ZLB: A Tale of Two Equilibria
Joint with Boragan Aruoba (Maryland)
This Version: June, 2013
Also available as NBER Working Paper 19248 and FRB Philadelphia Working Paper 13-29. 
Improving GDP Measurement: A Measurement Error Perspective
Joint with Boragan Aruoba (Maryland), Frank Diebold (UPenn), Jeremy Nalewaik (Federal Reserve Board), and Dongho Song (UPenn).
This Version: April 3, 2013
Also available as NBER Working Paper 18594 and FRB Philadelphia WP 13-16
MATLAB programs
Inference for VARs Identified with Sign Restrictions
Joint with Hyungsik Roger Moon (USC), and Eleonora Granziera (Bank of Canada)
This version: January 2013
Previous version is available as FRB Philadelphia WP 11-20, CEPR Discussion Paper 8432, and NBER Working Paper 17140.
GAUSS Programs to Implement the Empirical Analysis  
Matlab Programs for Monte Carlo Analysis
  
An Estimated Search-Based Monetary DSGE Model with Liquid Capital
Joint with S. Boragan Aruoba (University of Maryland)
This version: January 2010

 

Refereed Publications
 

Sequential Monte Carlo Sampling for DSGE Models
Joint with Ed Herbst (Board of Governors), Journal of Applied Econometrics, forthcoming.
This Version: September, 2013
Earlier versions are available as NBER Working Paper 19152 and as FRB Philadelphia WP 12-27
Supplemental Online Appendix
Computer programs are available on the website of Ed Herbst
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Applications to U.S. Equities
Joint with Fei Chen (Huazhong University of Science and Technology) and Frank Diebold (Penn), Journal of Econometrics, 177(2), 2013, 320-342.
This version: January 4, 2013
An earlier version is available as NBER Working Paper 18078
Labor Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters
Joint with Yongsung Chang (Rochester), and Sun-Bin Kim (Yonsei University)
Journal of the European Economic Association, 11(S1), 2013, 193-220.
Online Technical Appendix
GAUSS Programs
An earlier version circulated under the title "Labor Market Heterogeneity, Aggregation, and the Lucas Critique" and is available as NBER Working Paper 16401 and CEPR Discussion Paper 8039.
"Methods versus Substance: Measuring the Effects of Technology Shocks"
Joint with Jose-Victor Rios Rull (Minnesota), Cristina Fuentes-Albero (Rutgers), Raul Santaeulalia-Llopis (WUStL), and Maxym Kryshko (IMF)
Journal of Monetary Economics, 59(8), 2012, 826-846.
Earlier versions: FRB Minneapolis Staff Report 433, NBER Working Paper 15375, CEPR Discussion Paper DP 7474
Online Appendix, GAUSS Programs
Evaluating DSGE Model Forecasts of Comovements 
Joint with Ed Herbst (Federal Reserve Board)
Journal of Econometrics, 171(2), 2012, 152-166.
Online Appendix
Gauss Programs for Small-Scale Model, Gauss Programs for Smets-Wouters Model
"Bayesian and Frequentist Inference in Partially Identified Models"
Joint with Hyungsik Roger Moon (USC)
Econometrica, 80(2), 2012, 755-782.
Supplementary Material (Proofs and Derivations)
Gauss Programs for Section 2, Gauss Programs for Section 4.
The previous version is available as NBER Working Paper 14882. The first (incomplete) version of the paper circulated under the title "A Bayesian Look at Partially-Identified Models."
This version: March 2012.
Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-offs
Joint with S. Boragan Aruoba (University of Maryland)
American Economic Journal: Macroeconomics, 3(1), 2011, 60-90.
On-line Appendix with Detailed Derivations
Data and GAUSS Programs
The previous version is available as NBER Working Paper 14870. The first version of this paper circulated under the title "Insights from an Estimated Search-Based Monetary Model with Nominal Rigidities."
"DSGE Model-Based Forecasting of Non-Modelled Variables"
Joint with Keith Sill (FRB Philadelphia), and Maxym Kryshko (Penn)
International Journal of Forecasting, 26(2), 2010, 348-373.
Working Paper Version. Also available as NBER Working Paper 14872.
MATLAB Programs
Estimation with Overidentifying Inequality Moment Conditions
Joint with Hyungsik Roger Moon (USC)
Journal of Econometrics, 153(2), 2009, 136-154.
An earlier version of the paper circulated under the title  "Empirical Likelihood Estimation Based on Inequality Constraints."
GAUSS Programs, Technical Appendix
Monetary Policy with Potentially Misspecified Models
Joint with Marco Del Negro (FRB New York)
American Economic Review, 99(4), 2009, 1415-1450. 
Previous version available as NBER Working Paper 13099
Technical Appendix
Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities
Joint with Marco Del Negro (FRB New York)
Journal of Monetary Economics, 55(7), 2008, 1191-1208
Matlab software: Read me, Data, Programs
Non-stationary Hours in a DSGE Model
Joint with Yongsung Chang (Seoul National University) and Taeyoung Doh (Federal Reserve Bank of Kansas City),
Journal of Money, Credit, and Banking, 39(6), 2007, 1357-1373.
This Version (substantially revised): April 2006
Software: GAUSS programs
Bayesian Analysis of DSGE Models
http://dx.doi.org/10.1080/07474930701220071
Joint with Sungbae An (Singapore Management University), 
Econometric Reviews,
26(2-4), 2007, 113-172, with discussions and rejoinder.
An earlier version appeared as CEPR Discussion Paper DP5207
Software: GAUSS programs to analyze DSGE model, GAUSS programs to analyze DSGE-VARs, Matlab programs for nonlinear analysis.

Lecture Notes for Estimation and Evaluation of DSGE Models
On the Fit and Forecasting Performance of New Keynesian Models
Joint with Marco Del Negro (FRB New York), Frank Smets (ECB), and Rafael Wouters (National Bank of Belgium),
Journal of Business and Economic Statistics , with discussions and rejoinder, 25(2), 2007, 123-162. The paper was presented as the Invited JBES Lecture at the 2006 Joint Statistical Meetings of the American Statistical Assocication in Seattle.
Do Central Banks Respond to Exchange Rates? A Structural Investigation
Joint with Thomas Lubik (FRB Richmond),
Journal of Monetary Economics, 54(4), 2007, 1069-1087.
"Learning and Monetary Policy Shifts,"
Review of Economic Dynamics, 8(2), 2005, 392-419.
Gauss Programs
 
"VAR Forecasting under Misspecification,"
Journal of Econometrics, 128, 2005, 99-136.
Gauss Programs for Monte Carlo Study
 
"Testing for Indeterminacy: An Application to U.S. Monetary Policy,"
joint with Thomas Lubik (FRB Richmond),
American Economic Review, 94(1), 2004, 190-217.
Technical Appendix, Gauss Programs

The July 2002 version of the paper appeared in the 
Proceedings of the 2002 North American Summer Meetings of the Econometric Society,
edited by David K. Levine, William Zame, Roger Farmer, and Patrick Kehoe.
 
"Priors from General Equilibrium Models for VARs,"
joint with Marco Del Negro (FRB New York), 
International Economic Review, 45(2), 2004 643-673.
Click HERE to download GAUSS code to implement the DSGE Prior
 
"Labor-Supply Shifts and Economic Fluctuations,"
joint with Yongsung Chang (Seoul National University),
Journal of Monetary Economics, 50(8), 2003, 1751-1768.
Technical Appendix, Software
"Computing Sunspot Equilibria in Linear Rational Expectations Models,"
joint with Thomas Lubik (FRB Richmond),
Journal of Economic Dynamics and Control, 28(2), 2003, 273-285.
Technical Appendix, Software
"Minimum Distance Estimation of Nonstationary Time Series Models,"
joint with Hyungsik Roger Moon (USC),
Econometric Theory, 18(6), 2002, 1385-1407.
Calculations for Examples
"Learning-by-Doing as Propagation Mechanism,"
joint with Yongsung Chang (Seoul National University) and Joao Gomes (Wharton School),
American Economic Review, 92(5), 2002, 1498-1520.
Click HERE to download the GAUSS code for the DSGE model evaluation.
"Loss Function-based Evaluation of DSGE Models,"
Journal of Applied Econometrics, 15(6), 2000, 645-670. 
Click HERE to download the GAUSS code for the DSGE model evaluation.
The READ ME file contains a brief description of the procedures that are available in the ZIP file.
"Quantile Spline Models for Global Temperature Change," 
joint with Roger Koenker (University of Illinois), Climatic Change, 28, 1994, pp. 395-404.

Other Publications (Book Chapters, Comments, Notes, Etc.)

 
VOX Column on a New Measure of GDP
Joint with Boragan Aruoba (Maryland), Frank Diebold (UPenn), Jeremy Nalewaik (Federal Reserve Board), and Dongho Song (UPenn).
December, 2013
"Estimation and Evaluation of DSGE Models: Progress and Challenges"
In: D. Acemoglu, M. Arrelano, and E. Deckel (eds.): "Advances in Economics and Econometrics: Theory and Applications, Tenth World Congress," Vol.3, 2013, Cambridge University Press, 184-230.
This version: December 27, 2010
Also available as NBER Working Paper 16781
Technical Appendix, Gauss Programs
DSGE Model-Based Forecasting
Joint with Marco Del Negro (FRB New York)
In: Graham Elliott and Allan Timmermann (eds.): "Handbook of Economic Forecasting," Vol 2A, 2013, Handbooks in Economics, Elsevier / North-Holland, 57-140.
This version: July 1, 2012
Online Appendix Disclaimer: these are notes on New Keynesian DSGE models written for personal use by the authors; they have not been carefully proofread and hence may well contain errors.
Improving GDP Measurement: A Forecast Combination Perspective
Joint with Boragan Aruoba (Maryland), Frank Diebold (UPenn), Jeremy Nalewaik (Federal Reserve Board), and Dongho Song (UPenn). In X. Chen and N. Swanson (eds) "Causality, Prediction, and Specification Analysis: Recent Advances and Future Directions - Essays in Honour of Halbert L. White Jr," Springer Verlag, 2013, 1-25.
This version: January, 2012
Interview with Economic Dynamics on DSGE Model Estimation
Forecasting the Great Recession - A Blog
with Marco Del Negro (FRB New York) and Dan Herbst (FRB New York)
On the Use of Holdout Samples for Model Selection
Joint with Ken Wolpin (Penn)
American Economic Review - Papers and Proceedings, 102(3), 2012, 477-481.
This Version: January, 2012
 "Bayesian Macroeconometrics"
Joint with Marco Del Negro (FRB New York).
In J. Geweke, G. Koop, and H. van Dijk (eds.) "The Oxford Handbook of Bayesian Econometrics," 2011, Oxford University Press, 293-389.
This version: April 2010
GAUSS and MATLAB programs to replicate Illustrations 2.1, 3.1, and 4.1 are available here: Bayesian Macroeconometrics - Matlab, Bayesian Macroenonometrics - Gauss
"DSGE Model-Based Estimation of the New Keynesian Phillips Curve"
FRB Richmond Economic Quarterly, Fall 2008, 397-433.
"Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile
Joint with Marco Del Negro (FRB New York)
This Version: March 2008
Published in: "Monetary Policy Under Uncertainty and Learning," Klaus Schmidt-Hebbel and Carl E. Walsh (editors), Series on Central Banking, Analysis, and Monetary Policy, vol 13, 2009, 511-562, Central Bank of Chile.
Comment on "Monetary Policy under Uncertainty in an Estimated Model with Labor Market Frictions" by Luca Sala, Ulf Soderstrom, and Antonella Trigari
Journal of Monetary Economics (Carnegie Rochester Conference Series), 55(5), 2008, 1007-1010.
Comment on "How Structural are Structural Parameters" by Jesus Fernandez-Villaverde and Juan Rubio-Ramirez
2007 NBER Macroeconomics Annual, 2008, MIT Press, 149-163
This Version: May 2007
Bayesian Methods in Macroeconometrics
S. N. Durlauf and L. E. Blume, The New Palgrave Dictionary of Economics, forthcoming, Palgrave Macmillan, reproduced with permission of Palgrave Macmillan. This article is taken from the author's original manuscript and has not been reviewed or edited. The definitive published version of this extract may be found in the complete New Palgrave Dictionary of Economics in print and online, forthcoming.
A Reply to Comments by A Beyer and R Farmer on Lubik and Schorfheide (2004, AER)
Joint with Thomas Lubik (FRB Richmond),
American Economic Review, 97(1), 2007, 530-533.
"How Good is What You've Got? DSGE-VAR as a Toolkit for Evaluating DSGE Models"
joint with Marco Del Negro (FRB New York),
FRB Atlanta Economic Review, 91(2), 2006.
"The Econometrics of Macroeconomics, Finance, and the Interface,"
joint with F.X. Diebold (Penn), R.T. Engle (NYU), C. Favero (IGIER), G.M. Gallo
Journal of Econometrics, 131(1-2), 2006, 1-2.
A Bayesian Look at New Open Economy Macroeconomics
Joint with Thomas Lubik (FRB Richmond)
NBER Macroeconomics Annual 2005, edited by Mark Gertler and Kenneth Rogoff
This version: May 16, 2005
Data, GAUSS Programs, and DYNARE mod-files
Preliminary Draft for NBER Macro Annual Conference: March 22, 2005
 
"Policy Predictions if the Model Doesn't Fit,"
joint with Marco Del Negro (FRB Atlanta),
Journal of the European Economic Association, 3(2-3), 2005, 434-443.
GAUSS programs
 
"Take Your Model Bowling,"
joint with Marco Del Negro (FRB New York),
FRB Atlanta Economic Review, 88(4), 2003.
 
"Loss Function Estimation of Forecasting Models: A Bayesian Perspective,"
American Statistical Association, 1999 Proceedings of the Section on Bayesian Statistics, 1999.
"Economic Impact of Cuts in Defense Spending",
ACDIS Occasional Papers, April 1993, University of Illinois, Urbana and Champaign.

 

Book Reviews

"Financial Econometrics" by Christian Gourieroux and Joann Jasiak, Princeton University Press. Econometric Theory, vol. 19(2), 2003, 401-409.
 
"Forecasting Economic Time Series" by Michael Clements and David Hendry, Cambridge University Press.  Econometric Theory, 16(3), 2000, 441-450.