# Research

## Working papers

**Local Projections vs. VARs: Lessons From Thousands of DGPs** (with Dake Li and Christian K. Wolf). 2023.

Abstract • Working paper • Supplement • Slides • Matlab code • arXiv

**Standard Errors for Calibrated Parameters** (with Matthew D. Cocci). 2023.

Abstract • Working paper • Slides • Python code • Matlab code • arXiv

## Publications

**Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data** (with Laura Liu). *Quantitative Economics* 14(1), 2023, 1-35.

Abstract • Published version • Working paper • Supplement • Slides • Replication files and Matlab code suite • arXiv

**Discussion of “Narrative Restrictions and Proxies” by Raffaella Giacomini, Toru Kitagawa, and Matthew Read**. *Journal of Business & Economic Statistics* 40(4), 2022, 1434-1437.

Abstract • Published version • Working paper • Slides • Replication files

**SVAR Identification From Higher Moments: Has the Simultaneous Causality Problem Been Solved?** (with José Luis Montiel Olea and Eric Qian). *AEA Papers and Proceedings* 112, 2022, 481-448.

This article has not been peer reviewed.

Abstract • Published version • Working paper • Slides • Replication files

**Robust Empirical Bayes Confidence Intervals** (with Timothy B. Armstrong and Michal Kolesár). *Econometrica* 90(6), 2022, 2567-2602.

Abstract • Published version • Working paper • Supplement • Slides • Replication files • R code • Matlab code • Stata code • arXiv

**Instrumental Variable Identification of Dynamic Variance Decompositions** (with Christian K. Wolf). *Journal of Political Economy* 130(8), 2022, 2164-2202.

Abstract • Published version • Working paper • Supplement • Slides • Replication files and Matlab code suite • arXiv

**Local Projection Inference is Simpler and More Robust Than You Think** (with José Luis Montiel Olea). *Econometrica* 89(4), 2021, 1789-1823.

Abstract • Published version • Working paper • Supplement • Corrigendum: Assumption 3 • Slides • Replication files and Matlab code suite • arXiv • Video of online seminar

**Local Projections and VARs Estimate the Same Impulse Responses** (with Christian K. Wolf). *Econometrica* 89(2), 2021, 955-980.

Abstract • Published version • Working paper • Supplement • Correction: Typo in Example 2 • Slides • Replication files

**When is Growth at Risk?** (with Lucrezia Reichlin, Giovanni Ricco, and Thomas Hasenzagl). *Brookings Papers on Economic Activity* 2020 (Spring), 167-229.

Abstract • Published version • Working paper • Supplement • Replication files (6 GB)

**Dominant Currency Paradigm** (with Gita Gopinath, Emine Boz, Camila Casas, Federico J. Díez, and Pierre-Olivier Gourinchas). *American Economic Review* 110(3), 2020, 677-719.

Based on merging “Global Trade and the Dollar” with a pre-existing paper called “Dominant Currency Paradigm” by Casas, Diez, Gopinath & Gourinchas.

Abstract • Published version • Working paper • Supplement • Replication files • “Global Trade and the Dollar” working paper

**Dollar Invoicing and the Heterogeneity of Exchange Rate Pass-Through** (with Emine Boz and Gita Gopinath). *AEA Papers and Proceedings* 109, 2019, 527-532.

This article has not been peer reviewed.

Abstract • Published version • Working paper • Supplement • Replication files

**Bayesian Inference on Structural Impulse Response Functions**. *Quantitative Economics* 10(1), 2019, 145-184.

Abstract • Published version • Working paper • Supplement • Replication files

**Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs** (with José Luis Montiel Olea). *Journal of Applied Econometrics* 34(1), 2019, 1-17.

Abstract • Published version • Working paper • Supplement • Replication files • Matlab code

**Essays in Macroeconometrics**. PhD dissertation, Department of Economics, Harvard University, 2016.

Abstract • Dissertation

**Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve** (with Sophocles Mavroeidis and James H. Stock). *Journal of Economic Literature* 52(1), 2014, 124-188.

Abstract • Published version • Working paper • Replication files

**Consistent factor estimation in dynamic factor models with structural instability** (with Brandon J. Bates, James H. Stock, and Mark W. Watson). *Journal of Econometrics* 177(2), 2013, 289-304.

Special issue of Journal of Econometrics in honor of Hashem Pesaran.

Abstract • Published version • Working paper • Replication files

**A note on proper scoring rules and risk aversion** (with Alexander Peysakhovich). Economics Letters 117(1), 2012, 357-361.

Abstract • Published version • Longer working paper

**New Calculation of Danmarks Nationalbank’s Effective Krone-Rate Index** (with Erik Haller Pedersen). Danmarks Nationalbank Monetary Review, 2nd Quarter 2010, 139-144.

This article has not been peer reviewed.

Abstract • Published version • Danish version