Below you will find links to some of my papers and programs. Please send questions or comments to 

R Codes:

-- Using Grouped Data to Estimate Revenue Heterogeneity in Online Advertising Auctions, AEA Papers and Proceedings 2023  [replication code]

-- Small Steps with Big Data: Using Machine Learning in Energy and Environmental Economics, Annual Review of Resource Economics 2021 [data and replication code]

-- Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models. Journal of Applied Econometrics 2020 [JAE archive][codes and simulations]

-- A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment. Journal of Econometrics 2019 [codes and example]

-- Penalized Quantile Regression with Semiparametric Correlated Effects. Journal of Applied Econometrics 2017 [JAE archive][codes and simulations]

-- Estimating and Testing a Quantile Regression Model with Interactive Effects. Journal of Econometrics 2014 [codes and example]

-- Estimation of Censored Quantile Regression for Panel Data with Fixed Effects. Journal of the American Statistical Association 2013 [codes and example]

-- Robust Penalized Quantile Regression Estimation for Panel Data. Journal of Econometrics 2010 [code and explanation]

-- A Quantile Regression Approach for Estimating Panel Data Models Using Instrumental Variables. Economics Letters 2009 [codes and example]