Working Papers

• Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models (pdf | code)
• Estimation and Inference by Stochastic Optimization (pdf)
• Detecting Identification Failure in Moment Condition Models (pdf)
• A Scrambled Method of Moments (pdf)

Papers

• A Sieve-SMM Estimator for Dynamic Models (pdf) Accepted at Econometrica
• Estimation and Inference by Stochastic Optimization: Three Examples (pdf | code) (with Serena Ng, 2021) in AEA Papers and Proceedings, Vol. 111, p. 626-630
• The ABC of Simulation Estimation with Auxiliary Statistics (pdf | code) (with Serena Ng, 2018) in the Journal of Econometrics, vol. 205, no 1, p. 112-139.
• A Likelihood-Free Reverse Sampler of the Posterior Distribution (pdf | code) (with Serena Ng, 2016) in Advances in Econometrics Vol 36, p.389-415.