Research Overview
My research develops econometric methods that improve the reliability and interpretability of empirical economic analysis in complex, high-dimensional environments. I study how to address challenges such as measurement error, strategic interaction, and many control variables in settings ranging from experimental economics to industrial organization and finance. A common thread across my work is designing tools that are both theoretically grounded and practically useful for applied researchers.
My research develops econometric methods that improve the reliability and interpretability of empirical economic analysis in complex, high-dimensional environments. I study how to address challenges such as measurement error, strategic interaction, and many control variables in settings ranging from experimental economics to industrial organization and finance. A common thread across my work is designing tools that are both theoretically grounded and practically useful for applied researchers.
Selected Publications
Experimenting with Measurement Error: Techniques with Applications to the Caltech Cohort Study
(with Erik Snowberg and Leeat Yariv)
Journal of Political Economy, August 2019, 127(4), pp. 1826 - 1863
BLP-2Lasso for Aggregate Discrete-Choice Models with Rich Covariates
(with Sergio Montero, Hyungsik Roger Moon, and Matthew Shum)
The Econometrics Journal, September 2019, 22(3), pp. 262 - 281
A Parimutuel-like Mechanism for Information Aggregation: A Field Test Inside Intel
(with Charles Plott and Matthew Shum)
Journal of Political Economy, August 2017, 125(4), pp. 1075 - 1099
The Cross-section of Conditional Mutual Fund Performance in European Stock Markets
(with Ayelen Banegas, Allan Timmermann, and Russ Wermers)
Journal of Financial Economics, June 2013, 108(3), pp. 699 - 726
Experimenting with Measurement Error: Techniques with Applications to the Caltech Cohort Study
(with Erik Snowberg and Leeat Yariv)
Journal of Political Economy, August 2019, 127(4), pp. 1826 - 1863
- We investigate techniques for addressing measurement error in experimental economics when eliciting individual behavioral and preference characteristics. We propose the Obviously Related Instrumental Variables (ORIV) method for inference in these settings, using repeated elicitations of individual characteristics to serve as instruments to mitigate attenuation bias.
BLP-2Lasso for Aggregate Discrete-Choice Models with Rich Covariates
(with Sergio Montero, Hyungsik Roger Moon, and Matthew Shum)
The Econometrics Journal, September 2019, 22(3), pp. 262 - 281
- We explore a high-dimensional extension to the Berry, Levinsohn, & Pakes (Econometrica, 1995) model for differentiated products. Our extension introduces a double-selection algorithm following Belloni, Chernozhukov, & Hansen (REStud, 2014) to a nonlinear GMM objective function with application to analyzing voting data in Mexico.
A Parimutuel-like Mechanism for Information Aggregation: A Field Test Inside Intel
(with Charles Plott and Matthew Shum)
Journal of Political Economy, August 2017, 125(4), pp. 1075 - 1099
- We introduce a novel information aggregation mechanism for crowd-sourcing forecast sales performance as part of a field study at Intel. We find the information aggregation mechanism provides highly informative forecasts for realized sales, often outperforming internally prepared forecasts from Intel analysts.
The Cross-section of Conditional Mutual Fund Performance in European Stock Markets
(with Ayelen Banegas, Allan Timmermann, and Russ Wermers)
Journal of Financial Economics, June 2013, 108(3), pp. 699 - 726
- We identify conditional factors that influence the performance of European equity funds, demonstrating substantial non-market influences on fund manager performance. Our econometric approach extends Bayesian asset pricing models to allow for limited predictability in fund manager alpha to mitigate the influence of estimation error on investors' decisions.
Working Papers
Behavioral and Structural Barriers to Information Aggregation in Networks
(with Marina Agranov and Dotan Persitz)
Theory Appendix
Empirical Appendix
Betting Against Multi-Factor Beta
(with Eric Hughson and Kevin Jiang)
Subset Optimization for Asset Allocation
Current Works in Process
- Testing Structural Models of Learning on Social Networks
- Optimized Indexation
- Fundamentals-Based Beta Estimation
- Predictability of Optimized Portfolio Weights
Behavioral and Structural Barriers to Information Aggregation in Networks
(with Marina Agranov and Dotan Persitz)
Theory Appendix
Empirical Appendix
- We study how network architecture shapes learning in medium-sized groups using laboratory experiments. We find that learning is hindered by two distinct frictions: under-reaction to new information and under-imitation of better-informed agents. Our results show that neither myopic Bayesian nor naïve DeGroot models can account for observed behaviors or long-run outcomes without accounting for these frictions.
Betting Against Multi-Factor Beta
(with Eric Hughson and Kevin Jiang)
- We extend Frazzini & Pederson (JFE, 2014) with a multi-factor equilibrium model with leverage-constrained investors that provides novel predictions characterizing the flattening of the Security Market Line (SML). We show that the SML distortion is maximized along a particular linear combination of factors proportional to the Sharpe-ratio–maximizing portfolio and that a Betting Against Multi-Factor Beta (BAMB) strategy produces robust abnormal returns even after controlling for liquidity, leverage, and idiosyncratic-volatility factors.
Subset Optimization for Asset Allocation
- Subset optimization provides a new asset allocation algorithm for large universes with short return histories. Rather than optimizing weights for all securities jointly, subset optimization constructs Complete Subset Portfolios (CSPs) that naively aggregate many “Subset Portfolios,” each optimizing weights over a small subset of randomly selected securities. The algorithm balances the impact of estimation error on portfolio weights with the optimization potential from complex hedging strategies.
Current Works in Process
- Testing Structural Models of Learning on Social Networks
- Optimized Indexation
- Fundamentals-Based Beta Estimation
- Predictability of Optimized Portfolio Weights
Complete Publication List
A Moment-Based Representation for Heteroskedasticity Robust Standard Errors
Journal of Econometric Methods, December 2025, 14(2), pp. 49-57
A Comment on "Testing Models of Social Learning on Networks: Evidence from Two Experiments"
(with Marina Agranov and Dotan Persitz)
Econometrica, September 2024, 92(5), pp. 1-6
General Equilibrium Methodology Applied to the Design, Implementation and Performance Evaluation of Large, Multi-market and Multi-unit Policy Constrained Auctions
(with Charles Plott, Timothy Cason, Hsingyang Lee, and Travis Maron)
Economic Theory, April 2023, 75(3), pp. 641-693
Divergence and Convergence in Scarf Cycle Environments: Experiments and Predictability in the Dynamics of General Equilibrium Systems
(with Masayoshi Hirota, Ming Hsu, Charles Plott and Brian Rogers)
Economic Theory, April 2021, 71(3), pp. 1033 - 1084
BLP-2Lasso for Aggregate Discrete-Choice Models with Rich Covariates
(with Sergio Montero, Hyungsik Roger Moon, and Matthew Shum)
The Econometrics Journal, September 2019, 22(3), pp. 262 - 281
Web Appendix
Replication Package (50MB, .zip)
Experimenting with Measurement Error: Techniques with Applications to the Caltech Cohort Study
(with Erik Snowberg and Leeat Yariv)
Journal of Political Economy, August 2019, 127(4), pp. 1826 - 1863
Web Appendix
Two Information Aggregation Mechanisms for Predicting the Opening Weekend Box Office Revenues of Films: Boxoffice Prophecy and Guess of Guesses
(with David Court, Jordi McKenzie and Charles Plott)
Economic Theory, January 2018, 65(1), pp. 25 - 54
A Parimutuel-like Mechanism for Information Aggregation: A Field Test Inside Intel
(with Charles Plott and Matthew Shum)
Journal of Political Economy, August 2017, 125(4), pp. 1075 - 1099
A Note on Endogenous Norms in "A Theory of Conformity"
Economics Letters, April 2015, 129, pp. 57 - 61
Demand Estimation with High-Dimensional Product Characteristics
(with Hyungsik Roger Moon, and Matthew Shum)
Advances in Econometrics: Bayesian Model Comparison, edited by Ivan Jeliazkov and Dale J. Poirier, 2014, vol. 34, pp. 301 - 323.
An Empirical Bayesian Approach to Stein-Optimal Covariance Matrix Estimation
Journal of Empirical Finance, December 2014, 29, pp. 402 - 420
Matlab Code for Estimator
The Cross-section of Conditional Mutual Fund Performance in European Stock Markets
Supplemental Web Appendix Tables
(with Ayelen Banegas, Allan Timmermann, and Russ Wermers)
Journal of Financial Economics, June 2013, 108(3), pp. 699 - 726
"A Taxonomy of Utility Functions" (with Harry M. Markowitz) in Variations in Economic Analysis: Essays in Honor of Eli Schwartz. Edited by J. Richard Aronson, Harriet L. Parmet, and Robert Thornton. Springer, 2010.
Archived Working Papers with Significant Citations
The following working papers circulated widely and received substantial citations but were not ultimately published.
The Power of Revealed Preference Tests: Ex-Post Evaluation of Experimental Design
(with James Andreoni and William T. Harbaugh)
Archived Version: April 2013
Identification and Estimation of Level-k Auctions
Archived Version: August 2010
A Moment-Based Representation for Heteroskedasticity Robust Standard Errors
Journal of Econometric Methods, December 2025, 14(2), pp. 49-57
A Comment on "Testing Models of Social Learning on Networks: Evidence from Two Experiments"
(with Marina Agranov and Dotan Persitz)
Econometrica, September 2024, 92(5), pp. 1-6
General Equilibrium Methodology Applied to the Design, Implementation and Performance Evaluation of Large, Multi-market and Multi-unit Policy Constrained Auctions
(with Charles Plott, Timothy Cason, Hsingyang Lee, and Travis Maron)
Economic Theory, April 2023, 75(3), pp. 641-693
Divergence and Convergence in Scarf Cycle Environments: Experiments and Predictability in the Dynamics of General Equilibrium Systems
(with Masayoshi Hirota, Ming Hsu, Charles Plott and Brian Rogers)
Economic Theory, April 2021, 71(3), pp. 1033 - 1084
BLP-2Lasso for Aggregate Discrete-Choice Models with Rich Covariates
(with Sergio Montero, Hyungsik Roger Moon, and Matthew Shum)
The Econometrics Journal, September 2019, 22(3), pp. 262 - 281
Web Appendix
Replication Package (50MB, .zip)
Experimenting with Measurement Error: Techniques with Applications to the Caltech Cohort Study
(with Erik Snowberg and Leeat Yariv)
Journal of Political Economy, August 2019, 127(4), pp. 1826 - 1863
Web Appendix
Two Information Aggregation Mechanisms for Predicting the Opening Weekend Box Office Revenues of Films: Boxoffice Prophecy and Guess of Guesses
(with David Court, Jordi McKenzie and Charles Plott)
Economic Theory, January 2018, 65(1), pp. 25 - 54
A Parimutuel-like Mechanism for Information Aggregation: A Field Test Inside Intel
(with Charles Plott and Matthew Shum)
Journal of Political Economy, August 2017, 125(4), pp. 1075 - 1099
A Note on Endogenous Norms in "A Theory of Conformity"
Economics Letters, April 2015, 129, pp. 57 - 61
Demand Estimation with High-Dimensional Product Characteristics
(with Hyungsik Roger Moon, and Matthew Shum)
Advances in Econometrics: Bayesian Model Comparison, edited by Ivan Jeliazkov and Dale J. Poirier, 2014, vol. 34, pp. 301 - 323.
An Empirical Bayesian Approach to Stein-Optimal Covariance Matrix Estimation
Journal of Empirical Finance, December 2014, 29, pp. 402 - 420
Matlab Code for Estimator
The Cross-section of Conditional Mutual Fund Performance in European Stock Markets
Supplemental Web Appendix Tables
(with Ayelen Banegas, Allan Timmermann, and Russ Wermers)
Journal of Financial Economics, June 2013, 108(3), pp. 699 - 726
"A Taxonomy of Utility Functions" (with Harry M. Markowitz) in Variations in Economic Analysis: Essays in Honor of Eli Schwartz. Edited by J. Richard Aronson, Harriet L. Parmet, and Robert Thornton. Springer, 2010.
Archived Working Papers with Significant Citations
The following working papers circulated widely and received substantial citations but were not ultimately published.
The Power of Revealed Preference Tests: Ex-Post Evaluation of Experimental Design
(with James Andreoni and William T. Harbaugh)
Archived Version: April 2013
Identification and Estimation of Level-k Auctions
Archived Version: August 2010