Laura Liu

Research

Publications

Forecasting with Dynamic Panel Data Models

Joint with Hyungsik Roger Moon (USC) and Frank Schorfheide (UPenn)
Econometrica, forthcoming
Working Paper Version
Earlier versions are available at NBER Working Paper 25102, arXiv 1709.10193, and PIER Working Paper 16-022
Replication Files

Estimating Global Bank Network Connectedness

Joint with Mert Demirer (MIT), Francis X. Diebold (UPenn), and Kamil Yılmaz (Koç)
Journal of Applied Econometrics, 2018, vol. 33 (1), pp. 1-15.
Working Paper Version
Earlier versions are available at NBER Working Paper 23140 and PIER Working Paper 15-025

Commodity Connectedness

Joint with Francis X. Diebold (UPenn) and Kamil Yılmaz (Koç)
In E. Mendoza, D. Saravia and E. Pasten (eds.), Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures. Santiago: Bank of Chile Central Banking Series, 2018, vol. 25, pp. 97-136.
Working Paper Version
Earlier versions are available at NBER Working Paper 23685 and PIER Working Paper 17-003

Working Papers

Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data

Joint with Mikkel Plagborg-Møller (Princeton)
Preliminary and incomplete - comments welcome!

Monetary Policy across Space and Time

Joint with Christian Matthes (FRB Richmond) and Katerina Petrova (St Andrews)
Also available at FRB Richmond Working paper 18-14
Online Appendix

Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective

Journal of Business & Economic Statistics, Revise and Resubmit
Also available at arXiv 1805.04178 and FEDS Working paper 2170
Earlier version is available at PIER Working Paper 17-006
Replication Files

Forecasting with a Panel Tobit Model

Joint with Hyungsik Roger Moon (USC) and Frank Schorfheide (UPenn)

Structural Changes in Networks: Estimation and Evidence from Financial Institution Connectedness

Work in Progress

Estimating Average Partial Effects of Semiparametric Panel Logit Models

Joint with Ji-Liang Shiu (Jinan U)

Sectoral DSGE Models and Production Networks

Joint with Holt Dwyer (UCSD) and Molin Zhong (Fed Board)

Teaching

Microeconometrics (180.637)

Johns Hopkins University, Ph.D. level, Fall 2018

Course Description

This is an advanced graduate course on major econometric techniques and models that are used in empirical microeconomics. We first introduce econometric theories of nonlinear extremal estimation, nonparametric estimation, and semiparametric estimation. Then, we discuss applications of these theories to limited dependent variable models, selection models, panel data models, and endogenous treatment models with unobserved heterogeneity.