I am interested in Bayesian econometric methods. My current research agenda focuses on panel VARs and functional VARs.

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

Publications

1. 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
   [ Journal Version | Working Paper]
   
2. 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 published by Springer
   [ Working Paper]
   
3. 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
   [ Journal Version | Working Paper]
   
4. 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
   [ Journal Version | Working Paper]
   
5. 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]
   
6. 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]
   

Work in progress

• Incorporating Micro Data into Macro Models using Pseudo VARs (with Gary Koop, Stuart McIntyre and James Mitchell)
  
• U.S. Economy and Global Stock Markets: Insights from a Distributional Approach (with Dan Zhu)
  
• 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)