Working Papers
- Inference by Stochastic Optimization: A Free-Lunch Bootstrap (Jean Jacques Forneron), pdf
- Sketching for Two-Stage Least Squares Estimation (with Simon Lee, 07/20), pdf
- FRED-QD: A Quarterly Database for Macroeconomic Research (with Michael McCracken, March 2020), NBER WP 26872
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Latent Dirichlet Allocation of Categorical Survey Responses (with Evan Munro, October 2019) pdf (NBER WP 27167)
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data.
pdf
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Boosting High Dimensional Predictive Regressions with Time Varying Parameters (with Kashif Yousuf, October 2019) pdf
- A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data (with Rishab Guha, 2019, NBER WP 25899) pdf
- Shock Restricted Structural Vector-Autoregressions (with Sydney Ludvigson and Sai Ma 12/16)
pdf
- The Predictive Content of High Frequency Consumer Confidence Data (with Jonathan Wright 08/16)
pdf
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Determining the Number of Factors in Approximate Factor Models, Errata
(with J. Bai, 05/ 06. )
pdf
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How Does Housing Afffects Consumption?
(with Huntley. Schaller, 1998. )
pdf
Computer Code