Working papers

Double Robustness of Local Projections and Some Unpleasant VARithmetic (with José Luis Montiel Olea, Eric Qian, and Christian K. Wolf). 2024.
AbstractWorking paperSupplementSlidesarXiv

Standard Errors for Calibrated Parameters (with Matthew D. Cocci). 2023.
AbstractWorking paperSlidesPython codeMatlab codearXiv


Local Projections vs. VARs: Lessons From Thousands of DGPs (with Dake Li and Christian K. Wolf). Journal of Econometrics, 2024, accepted.
AbstractPublished versionWorking paperSupplementSlidesMatlab codearXiv

Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data (with Laura Liu). Quantitative Economics 14(1), 2023, 1-35.
AbstractPublished versionWorking paperSupplementSlidesReplication files and Matlab code suitearXiv

Discussion of “Narrative Restrictions and Proxies” by Raffaella Giacomini, Toru Kitagawa, and Matthew Read. Journal of Business & Economic Statistics 40(4), 2022, 1434-1437.
AbstractPublished versionWorking paperSlidesReplication 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This article has not been peer reviewed.
AbstractPublished versionWorking paperSlidesReplication files

Robust Empirical Bayes Confidence Intervals (with Timothy B. Armstrong and Michal Kolesár). Econometrica 90(6), 2022, 2567-2602.
AbstractPublished versionWorking paperSupplementSlidesReplication filesR codeMatlab codeStata codearXiv

Instrumental Variable Identification of Dynamic Variance Decompositions (with Christian K. Wolf). Journal of Political Economy 130(8), 2022, 2164-2202.
AbstractPublished versionWorking paperSupplementSlidesReplication files and Matlab code suitearXiv

Local Projection Inference is Simpler and More Robust Than You Think (with José Luis Montiel Olea). Econometrica 89(4), 2021, 1789-1823.
AbstractPublished versionWorking paperSupplementCorrigendum: Assumption 3SlidesReplication files and Matlab code suitearXivVideo of online seminar

Local Projections and VARs Estimate the Same Impulse Responses (with Christian K. Wolf). Econometrica 89(2), 2021, 955-980.
AbstractPublished versionWorking paperSupplementCorrection: Typo in Example 2SlidesReplication files

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

Bayesian Inference on Structural Impulse Response Functions. Quantitative Economics 10(1), 2019, 145-184.
AbstractPublished versionWorking paperSupplementReplication 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.
AbstractPublished versionWorking paperSupplementReplication filesMatlab code

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

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.
AbstractPublished versionWorking paperReplication 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.
AbstractPublished versionWorking paperReplication files

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