Bayesian time-series modeling and algorithm-design; large time-varying parameter models, vector autoregressive moving average models, and other types of non-linear time series models; Markov chain monte carlo (MCMC), sequential monte carlo (SMC) and particle MCMC/Gibbs algorithms; applications to forecasting and structural analysis such as policy design and evaluation; extensive experience with macroeconomic and marketing data in academic, institutional and private sector environments.
