diff --git a/.DS_Store b/.DS_Store index 2718256..91815fa 100644 Binary files a/.DS_Store and b/.DS_Store differ diff --git a/categories/.DS_Store b/categories/.DS_Store new file mode 100644 index 0000000..c69970f Binary files /dev/null and b/categories/.DS_Store differ diff --git a/files/.DS_Store b/files/.DS_Store index 608b0c4..2f5edc9 100644 Binary files a/files/.DS_Store and b/files/.DS_Store differ diff --git a/files/pdf/DavidChildersCV.pdf b/files/pdf/DavidChildersCV.pdf index 86fa7f7..0663215 100644 Binary files a/files/pdf/DavidChildersCV.pdf and b/files/pdf/DavidChildersCV.pdf differ diff --git a/home/index.xml b/home/index.xml index 3cfffa6..60648c8 100644 --- a/home/index.xml +++ b/home/index.xml @@ -28,7 +28,7 @@ Wed, 20 Apr 2016 00:00:00 -0400 /home/about/ - About In my research I use insights from nonparametric and functional data analysis to devise new, rigorously guaranteed methods for solving dynamic economic models with infinite dimensional uncertainty and apply these methods to understand the dynamics of economic heterogeneity in a variety of contexts. + About In my research I combine approaches from Econometrics, Machine Learning, and High-dimensional Statistics to devise performant and theoretically sound methods for computation, estimation, and decision-making in structured, high-dimensional, dynamic environments, with applications to macroeconomics and causal inference. diff --git a/index.html b/index.html index f72fdcc..b68fe66 100644 --- a/index.html +++ b/index.html @@ -302,7 +302,7 @@

About

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In my research I use insights from nonparametric and functional data analysis to devise new, rigorously guaranteed methods for solving dynamic economic models with infinite dimensional uncertainty and apply these methods to understand the dynamics of economic heterogeneity in a variety of contexts.

+

In my research I combine approaches from Econometrics, Machine Learning, and High-dimensional Statistics to devise performant and theoretically sound methods for computation, estimation, and decision-making in structured, high-dimensional, dynamic environments, with applications to macroeconomics and causal inference.

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Interests

  • Econometrics
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  • Machine Learning
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  • Macroeconomics
  • Computational Economics
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    Research

    David Childers, Jesús Fernández-Villaverde, Jesse Perla, Christopher Rackauckas, Peifan Wu (2022). Differentiable State Space Models and Hamiltonian Monte Carlo Estimation. + Submitted.

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    Research

    + + NBER WP30573 + +

    diff --git a/publication/differentiablestatespace/index.html b/publication/differentiablestatespace/index.html index 7ba9680..4824c84 100644 --- a/publication/differentiablestatespace/index.html +++ b/publication/differentiablestatespace/index.html @@ -17,7 +17,7 @@ - + @@ -79,7 +79,7 @@ - + @@ -280,6 +280,9 @@

    Differentiable State Space Models and Hamiltonian Monte Carl +

    Abstract

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    We propose a methodology to take dynamic stochastic general equilibrium (DSGE) models to the data based on the combination of differentiable state-space models and the Hamiltonian Monte Carlo (HMC) sampler. First, we introduce a method for implicit automatic differentiation of perturbation solutions of DSGE models with respect to the model’s parameters. We can use the resulting output for various tasks requiring gradients, such as building an HMC sampler, to estimate first- and second-order approximations of DSGE models. The availability of derivatives also enables a general filter-free method to estimate nonlinear, non-Gaussian DSGE models by sampling the joint likelihood of parameters and latent states. We show that the gradient-based joint likelihood sampling approach is superior in efficiency and robustness to standard Metropolis-Hastings samplers by estimating a canonical real business cycle model, a real small open economy model, and a medium-scale New Keynesian DSGE model.

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    Differentiable State Space Models and Hamiltonian Monte Carl +
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    +
    +
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    Publication
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    Submitted
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    @@ -350,6 +365,10 @@

    Differentiable State Space Models and Hamiltonian Monte Carl + + NBER WP30573 + +

    diff --git a/publication/index.html b/publication/index.html index 3dfc1b7..31adb02 100644 --- a/publication/index.html +++ b/publication/index.html @@ -303,6 +303,7 @@

    Publications

    . Differentiable State Space Models and Hamiltonian Monte Carlo Estimation. + Submitted, 2022.

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    Publications

    + + NBER WP30573 + +

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