Job Market Paper
Testing for Omitted Heterogeneity. 2025.
[Latest version]
Structural estimation inevitably involves a choice of which parameters to treat as homogeneous across units, and incorrectly imposing homogeneity can lead to uninterpretable parameter estimates. To discipline this choice with data, I develop an optimal test for omitted unit-level heterogeneity applicable to moment condition models. Unlike existing semiparametric specification tests for heterogeneity, the test asymptotically maximizes a weighted average power criterion; for the special case of scalar heterogeneity, the test is the asymptotically uniformly most powerful test. Through simulations, I show that likelihood-based tests for parameter heterogeneity can severely over-reject when the likelihood function is misspecified. I study two applications. First, applied to income dynamics, I use the heterogeneity test as a diagnostic to determine the appropriate level of aggregation by education groups. Second, firm-level heterogeneity threatens estimates of production functions and ultimately estimates of the distribution of markups. Estimating production functions at the subindustry level, I use the test as a diagnostic for determining the subindustries whose moment conditions are compatible with the data.
Working Papers
Double Robustness of Local Projections and Some Unpleasant VARithmetic (with José Luis Montiel Olea, Mikkel Plagborg-Møller, and Christian K. Wolf). 2024.
Revise and resubmit at Econometrica.
[Working paper | Supplement | arXiv version | NBER version | Replication files]
Heterogeneity-Robust Granular Instruments. 2023.
Revise and resubmit at the Journal of Applied Econometrics.
[Working paper | arXiv version]
Publications (including accepted and forthcoming)
Local Projections or VARs? A Primer for Macroeconomists (with José Luis Montiel Olea, Mikkel Plagborg-Møller, and Christian K. Wolf). 2025.
Prepared for the 2025 NBER Macroeconomics Annual.
[Working paper | Supplement | arXiv version | NBER version | Replication files]
Are Inflationary Shocks Regressive? A Feasible Set Approach (with Felipe Del Canto, John Grigsby, and Conor Walsh). Quarterly Journal of Economics 140(4), pp. 2685–2747, November 2025.
[Published version | Working paper | NBER version]
SVAR Identification from Higher Moments: Has the Simultaneous Causality Problem Been Solved? (with José Luis Montiel Olea and Mikkel Plagborg-Møller). AEA Papers and Proceedings 112, pp. 481-85, May 2022.
[Published version | Replication files]
Pre-PhD Research
A Large Bayesian VAR of the United States Economy (with Richard K. Crump, Stefano Eusepi, Domenico Giannone, and Argia M. Sbordone). International Journal of Central Banking 21(2), pp. 351-409, April 2025.
[Published version | NY Fed Staff Reports version]
Nowcasting the Great Recession (with Patrick Adams, Domenico Giannone, Argia Sbordone, and Mihir Trivedi). Chapter in Alternative Economic Indicators, pp. 41-56, 2020.
[Published version]