Introducing Myself
I am a Principal Engineer at MathWorks, where I lead development for the Econometrics Toolbox in MATLAB. Based in Natick, Massachusetts, my work focuses on bridging the gap between advanced statistical theory and practical software engineering.
I earned my Ph.D. in Economics from Iowa State University in 2012. My primary research interests lie in Bayesian statistics, computational finance, and developing computationally efficient algorithms for massive datasets.
Textbook
Bayesian Econometric Modelling
for Big Data
Chapman and Hall/CRC
- Published: June 19, 2025 (486 Pages)
- ISBN: 9781032915258
- DOI: 10.1201/9781003564027
Selected Publication
- Bayesian Estimation of Fixed Effects Models with Large Datasets, Oxford Bulletin of Economics and Statistics, 2025
- Bayesian Inference in Common Microeconometric Models with Massive Datasets by Double Marginalized Subsampling, Journal of Business & Economic Statistics, 2022
- Estimating MIDAS Regressions via OLS with Polynomial Parameter Profiling, Econometrics and Statistics, (with Eric Ghysels), 2019
- Inequality Constrained State Space Models, Journal of Business & Economic Statistics, 2019
- Big Data Bayesian Linear Regression and Variable Selection by Normal-Inverse-Gamma Summation, Bayesian Analysis, 2018
- A Computationally Efficient Method for Vector Autoregression with Mixed Frequency Data, Journal of Econometrics, 2016
Course Video
I actively share my research and teaching materials through video presentations. My recent Bilibili uploads include practical applications of Bayesian statistics, such as modeling the Boston real estate market and in-depth tutorials on implementing Kalman filters.
Watch my lectures on Bilibili →