I am interested in Bayesian econometric methods. My current research agenda focuses on mixed frequency VARs.

Recent work examines: unobserved component models, mixed frequency models, order invariant VARs.

Publications

1. Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
   Gary Koop, Stuart McIntyre, James Mitchell, Aubrey Poon and Ping Wu (2023)
   Journal of the Royal Statistical Society: Series A, forthcoming
   [ Journal Version | Working Paper]
   
2. Should I open to forecast? Implications from A Multi-country Unobserved Components Model with Sparse Factor Stochastic Volatility
   Ping Wu (2023)
   International Journal of Forecasting, forthcoming
   [ Journal Version | Working Paper]
   
3. A Time-Varying Phillips Curve with Global Factors: Are Global Factors Important?
   Alain Ntumba Kabundi, Aubrey Poon, and Ping Wu (2023)
   Economic Modelling, 126: 106423
   [ Journal Version | Working Paper]
   
4. Estimating the Ordering of Variables in a VAR using a Plackett-Luce Prior
   Ping Wu and Gary Koop (2023)
   Economics Letters, 230: 111247
   [ Journal Version | Working Paper]
   

Working Papers

• Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix
  Ping Wu and Gary Koop

Work in progress

• A Panel Unobserved Components Model
  
• Time Series Analysis with Missing Data (with Sharada Nia Davidson)
  
• Variable Ordering in a Cholesky-MSV model (with Martina Danielova Zaharieva)