Research
My research focuses on Bayesian econometric methods, with an emphasis on their application to macroeconomic and financial market data.
My current empirical work investigates the dynamic relationships between macroeconomic indicators and financial markets.
I am particularly interested in VAR models and their extensions, such as panel VARs and functional VARs, while also exploring related methods including unobserved component models, mixed-frequency models, and order-invariant VARs.
Working Papers
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U.S. Economy and Global Stock Markets: Insights from a Distributional Approach
Ping Wu and Dan Zhu (2025)
Working Paper
Publications
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Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix
Ping Wu and Gary Koop (2025)
Journal of Business and Economic Statistics, forthcoming -
Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
Gary Koop, Stuart McIntyre, James Mitchell, Aubrey Poon and Ping Wu (2024)
Journal of the Royal Statistical Society: Series A, 187(2), 477–495 -
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, 40(3), 903–917 -
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 -
Estimating the Ordering of Variables in a VAR using a Plackett-Luce Prior
Ping Wu and Gary Koop (2023)
Economics Letters, 230: 111247
Book Chapters
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Measuring Sub-regional Economic Activity: Missing Frequencies and Missing Data
Gary Koop, Stuart McIntyre, James Mitchell, Aubrey Poon and Ping Wu (2024)
Recent Developments in Bayesian Econometrics and its Applications: Festschrift in Honour of Sune Karlsson (Springer)
Work in Progress
- Incorporating Micro Data into Macro Models using Pseudo VARs (with Gary Koop, Stuart McIntyre and James Mitchell)
- 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)