Working Papers

Networks and High-Dimensional Econometrics

• Sparse VARs do not imply sparse local projections: robust inference for high-dimensional Granger causality with Eugène Dettaa (Université de Montréal). (R&R, JBES)
• Mixed Membership Estimation in Bayesian Network Autoregression with Siao Xu (University of Mannheim). (R&R, The Econometrics Journal)
• Mixed Membership Estimation in Partial Correlation Network with Siao Xu (University of Mannheim).
• The Horizon Structure of Contagion: High-Dimensional Measurement and Inference with Abderrahim Taamouti (University of Liverpool) and Siao Xu (University of Mannheim).

Macroeconometrics and Dynamic Causal Effects

• Intentionally Overidentifying Local Projections with Junjie Guo (Central University of Finance and Economics) and Ke-Li Xu (Indiana University Bloomington).
• Simple robust two-stage estimation and inference for generalized impulse responses and multiple-horizon causality with Jean-Marie Dufour (McGill University).
• Causal mechanism and mediation analysis for macroeconomic dynamics with Jean-Marie Dufour (McGill University).
  previous title “Intervention analysis, causality and generalized impulse responses in VAR models: theory and inference”
• Hedging out the HEDGE Bias: Identifying Dynamic Partial-Equilibrium Effects with Panel LP-IV with Ren Zhang (McCoy College of Business, Texas State University).</b>
• Local projections identify the same policy counterfactuals as empirical and structural models