Research

My research focuses on rational inattention and applied time series econometrics.

Working papers

Mechanics of linear quadratic Gaussian rational inattention tracking problems

This paper presents a general framework for constructing and solving the multivariate static linear quadratic Gaussian (LQG) rational inattention tracking problem. We interpret the nature of the solution and the implied action of the agent, and we construct representations that formalize how the agent processes data. We apply this infrastructure to the rational inattention price-setting problem, confirming the result that a conditional response to economics shocks is possible, but casting doubt on a common assumption made in the literature. We show that multiple equilibria and a social cost of increased attention can arise in these models. We consider the extension to the dynamic problem and provide an approximate solution method that achieves low approximation error for many applications found in the LQG rational inattention literature.

Estimating time series models by state space methods in Python: Statsmodels

This paper describes an object oriented approach to the estimation of time series models using state space methods and presents an implementation in the Python programming language. This approach at once allows for fast computation, a variety of out-of-the-box features, and easy extensibility. We show how to construct a custom state space model, retrieve filtered and smoothed estimates of the unobserved state, and perform parameter estimation using classical and Bayesian methods. The mapping from theory to implementation is presented explicitly and is illustrated at each step by the development of three example models: an ARMA(1,1) model, the local level model, and a simple real business cycle macroeconomic model. Finally, four fully implemented time series models are presented: SARIMAX, VARMAX, unobserved components, and dynamic factor models. These models can immediately be applied by users.