Working Papers
- "Estimating the Structure of Social Interactions Using Panel Data" (NEW VERSION!) and Supplementary Appendix (November 2016)
Slides -> here
- "Discretizing Unobserved Heterogeneity" with Stephane Bonhomme and Thibaut Lamadon (April 2017)
Slides -> here
Revision Requested at Econometrica
- "A Distributional framework for Matched Employer Employee Data" with Stephane Bonhomme and Thibaut Lamadon. (September 2017)
Slies -> Interactions Conference presentation (Chicago, september 2015).
Revision Requested at Econometrica
- "Empirical Evaluation of Overspecified Asset Pricing Models" with Francisco Penaranda and Enrique Sentana. (June 2017).
Publications
1) "Grouped Patterns of Heterogeneity in Panel Data" with Stephane Bonhomme.
Supplementary Appendix, Replication Files and Stata Code to compute the grouped fixed effect estimator in your data
Econometrica (May 2015).
2) "Market Based Estimation of Stochastic Volatility Models" with Dante Amengual and Yacine Ait-Sahalia.
Journal of Econometrics (August 2015).