I am currently a PhD candidate in statistics at Carnegie Mellon University. I received two bachelors degrees from the Indiana University Bloomington Jacobs School of Music: a Bachelor of Science in Music with a concentration in cello performance and a Bachelor of Arts in economics and mathematics.

After college, I spent a year working as a Research Analyst at the Federal Reserve Bank of St. Louis surpervised by Dan Thornton and David Wheelock.

I am working with Cosma Shalizi and Mark Schervish from CMU and David DeJong at the University of Pittsburgh on extending statistical learning theory results to state space models with applications to economic forecasting.

A draft paper containing many of these results is available here. It presents nonparametric risk bounds for linear state-space models and all of their derivatives (ARMA models, stochastic volatility models, DSGEs, etc.). This research is supported by a grant from the Institute for New Economic Thinking. A brief description of the grant is given here and a more detailed summary on Cosma’s blog. There is also a video of INET Advisor Perry Mehrling interviewing Cosma about our research here.

Contact Information:

Daniel McDonald
Department of Statistics
Carnegie Mellon University
Pittsburgh, PA 15213