Ph.D. Student in Economics and Statistics

Massachusetts Institute of Technology (MIT)

Biography

I am an Economics Ph.D. student and NSF Graduate Research Fellow at MIT. Previously, I was a research analyst at the New York Fed, working with the dynamic stochastic general equilibrium (DSGE) team under Marco Del Negro on academic research, policy analysis, forecasting, and model development.

I graduated from Brown University in 2018 with an Sc.B. in mathematics and computer science, where I worked extensively with Amy Greenwald on topics in algorithmic game theory and reinforcement learning.

I am also a lead developer of DSGE.jl, a Julia package for solving, estimating, and forecasting DSGE models; StateSpaceRoutines.jl, which contains common filtering and smoothing algorithms for state-space models; and SMC.jl, which implements variations of sequential Monte Carlo (SMC) sampling for the approximation of posterior distributions.

Interests

  • Econometrics
  • Development
  • Industrial Organization
  • Trade
  • Market Design
  • Computation

Education

  • Massachusetts Institute of Technology (MIT)

    Ph.D. in Economics and Statistics, 2020-26 (expected)

  • NYU Courant Institute of Mathematical Sciences

    Non-Degree Mathematics Masters Student, 2018-20

  • Brown University

    Sc.B. in Mathematics and Computer Science (magna cum laude, Phi Beta Kappa), 2014-18

Papers

Learning Correlated Equilibria in Extensive Form Games

We formalize an efficient class of counterfactual regret minimization algorithms exploiting the “sequence form” to compute …
admin, Amy Greenwald
Project

Estimating HANK: Macro Time Series and Micro Moments

We show how to use sequential Monte Carlo methods to estimate a heterogeneous agent New Keynesian (HANK) model featuring both nominal …
Sushant Acharya, Michael Cai, Marco Del Negro, Keshav Dogra, Ethan Matlin, admin
Project Technical Appendix

Online Estimation of DSGE Models

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We …
Michael Cai, Marco Del Negro, Edward Herbst, Ethan Matlin, admin, Frank Schorfheide
PDF Project DOI NBER Working Paper no. 26826 PIER Working Paper no. 19-014 NY Fed Staff Report no. 893

Blog Posts

The New York Fed DSGE Model Forecast — June 2020

This post presents an update of the economic forecasts generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model.
William Chen, Marco Del Negro, Ethan Matlin, admin
Jun 19, 2020 3 min read

The New York Fed DSGE Model Forecast — March 2020

This post presents an update of the economic forecasts generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model.
Ozge Akinci, William Chen, Marco Del Negro, Ethan Matlin, admin
Jun 19, 2020 1 min read

The New York Fed DSGE Model Forecast — December 2019

This post presents an update of the economic forecasts generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model.
William Chen, Marco Del Negro, Ethan Matlin, admin, Andrea Tambalotti
Dec 20, 2019 1 min read
See all posts

Talks

Heterogeneous Agent DSGE Models in Julia at the NY Fed

This talk provides an overview of the Federal Reserve Bank of New York’s heterogeneous agent dynamic stochastic general …
Jul 24, 2019 2:30 PM — 3:00 PM University of Maryland, Baltimore
Watch Description

Projects

Correlated Equilibria in Extensive Form Games

Python package to represent extensive form games and compute various correlated equilibrium concepts via reinforcement learning algorithms.
GitHub Repository

Sequential Monte Carlo

Julia implementation of the sequential Monte Carlo algorithm for approximation of posterior distributions.
GitHub Repository

Tempered Particle Filter

Julia implementation of self-tuning tempered particle filter from Herbst and Schorfheide (2017) for likelihood evaluation of non-linear models with non-Gaussian innovations. Code is integrated into the NY Fed’s package of filtering and smoothing routines for state-space models, StateSpaceRoutines.jl.
GitHub Repository

Model Constructors

Julia package to build custom model types for simulation and estimation exercises.
GitHub Repository

Contact