Applications of State Space Methods

The papers are sorted in reverse chronological order according to the dates of the latest draft for unpublished papers (shown in square brackets) or the date of publication for the published papers. Click on the titles of papers to access various versions of the paper and other material such as codes, data and slides, where available.

Current research is supported by National Science Foundation grants SES 1061725, SES 1425740, and SES 1851093.

Term Structures of Inflation Expectations and Real Interest Rates, Journal of Business and Economic Statistics, 2020, 38(3), 542-553.

Improving GDP Measurement: A Measurement Error Perspective (with Francis X. Diebold, Jeremy J. Nalewaik, Frank Schorfheide and Dongho Song), Journal of Econometrics, April 2016, 191(2), 384-397.

A Real Economic Activity Indicator for Turkey (with Cagri Sarikaya), Central Bank Review, January 2013, 13, 15-29.

Globalization, the Business Cycle, and Macroeconomic Monitoring (with Francis X. Diebold, Ayhan Kose and Marco Terrones), NBER International Seminar on Macroeconomics 2010, 2011, 245-286.

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions  (with Francis X. Diebold), American Economic Review Papers and Proceedings, May 2010, 100(2), 20-24.

Real-Time Measurement of Business Conditions (with Francis X. Diebold and Chiara Scotti), Journal of Business and Economic Statistics, 2009, 27(4), 417-427.

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (with Francis X. Diebold and Glenn D. Rudebusch), Journal of Econometrics, March-April 2006, 131(1-2), 309-338.