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Reca Sarfati

Ph.D. Student in Economics

Massachusetts Institute of Technology (MIT)

Biography

I am a Ph.D. student in economics 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.

All views expressed are my own, and do not reflect those of the Federal Reserve Bank of New York nor Federal Reserve System.

Interests

  • Macroeconomics
  • Theory
  • Development
  • Trade
  • Labor
  • Market Design
  • Computation

Education

  • Massachusetts Institute of Technology (MIT)

    Ph.D. in Economics, 2020-25 (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 …

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 …

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 …

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 …

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 …

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 …

Projects

Correlated Equilibria in Extensive Form Games

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

Sequential Monte Carlo

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

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.

Model Constructors

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

Contact