"Locally Robust Efficient Bayesian Inference",
pdf,
with Ulrich Mueller.
Published and Forthcoming Papers
"Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models",
pdf,
with Kenichi Shimizu.
The Journal of Econometrics, Volume 238, Issue 2, January 2024.
Replication code:
zip.
"Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity,"
pdf, with
Justinas Pelenis, Econometrica, Volume 90, Issue 3, May 2022, pp. 1355-1377. Replication code:
zip.
"Adaptive Bayesian Estimation of Conditional Discrete-Continuous Distributions with an Application to Stock Market Trading Activity,"
pdf, with Justinas Pelenis, The Journal of Econometrics,
Volume 230, Issue 1, September 2022, pp. 62-82.
"Optimal Auxiliary Priors and Reversible Jump Proposals for a Class of Variable Dimension Models,"
pdf,
Econometric Theory,
Volume 37, Issue 1, February 2021, pp. 49-81. Code for a polynomial regression example:
zip,
code for a mixture of experts application:
zip.
"Adaptive Bayesian Estimation of Conditional Densities,"
pdf,
with Debdeep Pati, Econometric Theory, Volume 33, Issue 4, August 2017, pp. 980-1012.
Bibliography style file (*.bst) for bibtex that implements Econometric Theory's reference style:
et.bst.
"Credibility of Confidence Sets in Nonstandard Econometric Problems,"
pdf,
with Ulrich Mueller, Econometrica, Volume 84, Issue 6, November 2016, pp. 2183-2213.
"Coverage Inducing Priors in Nonstandard Inference Problems,"
with Ulrich Mueller,
pdf,
Journal of the American Statistical Association, Volume 111, Issue 515, 2016, pp. 1233-1241.
"Bayesian Regression with Nonparametric Heteroskedasticity,"
pdf,
The Journal of Econometrics, Volume 185, Issue 2, April 2015, pp. 409-419.
"Semiparametric Inference in Dynamic Binary Choice Models,"
pdf,
with Xun Tang,
Review of Economic Studies, Volume 81, Issue 3, 2014, pp. 1229-1262.
An extension to dynamic multinomial
choice models is here:
pdf.
"Posterior Consistency in Conditional Density Estimation by Covariate Dependent Mixtures,"
pdf,
with Justinas Pelenis,
Econometric Theory, Volume 30, Issue 03, June 2014, pp 606-646,
link
to replication code for simulation exercises.
"On the Surjectivity of the Mapping between Utilities and
Choice Probabilities,"
pdf,
with Satoru Takahashi, 2013, Quantitative Economics, Volume 4, Issue 1, pages 149-155.
"Bayesian Modeling of Joint and Conditional Distributions,"
pdf,
with Justinas Pelenis,
2012, Journal of Econometrics, Volume 168, Issue 2, pages 332-346,
web appendix.