- "Estimating the Structure of Social Interactions Using Panel Data" (NEW VERSION!) and Supplementary Appendix (November 2016)
Slides -> here
- "Empirical Evaluation of Overspecified Asset Pricing Models" with Francisco Penaranda and Enrique Sentana. (June 2017).
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).