Selected Publications
This paper develops a novel method for policy choice in a dynamic setting where the available […]
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Beta-sorted portfolios portfolios comprised of assets with similar covariation to selected risk factors are a popular […]
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High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose […]
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. […]
Beta-sorted portfolios — portfolios comprised of assets with similar covariation to selected risk factors — are […]
This paper develops a novel method for policy choice in a dynamic setting where the available […]
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal […]
Previous version
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal […]