Xu Cheng

University of Pennsylvania - Department of Economics

Ronald O. Perelman Center for Political Science

133 South 36th Street

Philadelphia, PA 19104-6297

United States

http://www.sas.upenn.edu/~xucheng/

SCHOLARLY PAPERS

15

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221

CROSSREF CITATIONS

97

Scholarly Papers (15)

Estimation and Inference with Weak, Semi-Strong, and Strong Identification

Cowles Foundation Discussion Paper No. 1773
Number of pages: 174 Posted: 09 Oct 2010
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 759 (59,362)
Citation 17

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Asymptotic size, Confidence set, Estimator, Identification, Nonlinear models, Strong identification, Test, Weak identification

Estimation and Inference with Weak, Semi-Strong, and Strong Identification

Cowles Foundation Discussion Paper No. 1773R
Number of pages: 224 Posted: 26 Jul 2011 Last Revised: 02 Aug 2011
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 236 (230,008)
Citation 16

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Asymptotic size, Confidence set, Estimator, Identification, Nonlinear models, Strong identification, Test, Weak identification

2.

Semiparametric Cointegrating Rank Selection

Cowles Foundation Discussion Paper No. 1658
Number of pages: 24 Posted: 21 May 2008
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and University of Auckland Business School
Downloads 761 (60,049)
Citation 2

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Cointegrating rank, Consistency, Information criteria, Model selection, Nonparametric, Short memory, Unit roots

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

Econometrica, forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 33 Posted: 26 May 2020 Last Revised: 08 Nov 2021
University of Pennsylvania - Department of Economics, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 409 (128,115)

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Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification.

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

PIER Working Paper No. 20-019
Number of pages: 34 Posted: 01 Jun 2020 Last Revised: 06 Nov 2021
University of Pennsylvania - Department of Economics, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 200 (268,862)

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Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification

4.

Cointegrating Rank Selection in Models with Time-Varying Variance

Cowles Foundation Discussion Paper No. 1688
Number of pages: 28 Posted: 21 Jan 2009
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and University of Auckland Business School
Downloads 449 (116,065)
Citation 1

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Cointegrating rank, Consistency, Heterogeneity, Information criteria, Model selection, Nonparametric, Time varying variances, Unit roots

Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments

PIER Working Paper No. 12-045
Number of pages: 46 Posted: 27 Nov 2012
Xu Cheng and Zhipeng Liao
University of Pennsylvania - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 211 (255,899)
Citation 6

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Adaptive Penalty, GMM, Many Moments, Moment Selection, Oracle Properties, Shrinkage Estimation

Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments

PIER Working Paper No. 13-062
Number of pages: 80 Posted: 22 Oct 2013
Xu Cheng and Zhipeng Liao
University of Pennsylvania - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 85 (526,028)
Citation 17

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Adaptive Penalty, GMM, Many Moments, Moment Selection, Oracle Properties, Shrinkage Estimation

Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments

Number of pages: 45 Posted: 21 Nov 2012
Xu Cheng and Zhipeng Liao
University of Pennsylvania - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 54 (675,890)
Citation 1

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Adaptive Penalty, GMM, Many Moments, Moment Selection, Oracle Properties, Shrinkage Estimation

6.

Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests

Cowles Foundation Discussion Paper No. 1813
Number of pages: 48 Posted: 01 Aug 2011
Yale University - Cowles Foundation, University of Pennsylvania - Department of Economics and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 272 (200,728)
Citation 38

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Asymptotically similar, Asymptotic size, Autoregressive model, Confidence interval, Nonlinear regression, Test, Weak instruments

GMM Estimation and Uniform Subvector Inference with Possible Identification Failure

Cowles Foundation Discussion Paper No. 1828
Number of pages: 84 Posted: 28 Oct 2011
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 188 (284,437)
Citation 1

Abstract:

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Asymptotic size, Confidence set, Generalized method of moments, GMM estimator, Identification, Nonlinear models, Test, Wald test, Weak identification

GMM Estimation and Uniform Subvector Inference with Possible Identification Failure

Cowles Foundation Discussion Paper No. 1828R
Number of pages: 86 Posted: 01 Feb 2013
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 81 (542,072)
Citation 3

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asymptotic size, confidence set, generalized method of moments, GMM estimator, identification, nonlinear models, Test, Wald test, Weak identification

Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach

PIER Working Paper No. 12-046
Number of pages: 28 Posted: 27 Nov 2012
Xu Cheng and Bruce Hansen
University of Pennsylvania - Department of Economics and University of Wisconsin - Madison - Department of Economics
Downloads 167 (316,001)
Citation 1

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Cross-validation, factor models, forecast combination, generated regressors, Mallows

Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version

PIER Working Paper No. 13-061
Number of pages: 38 Posted: 23 Oct 2013
Xu Cheng and Bruce Hansen
University of Pennsylvania - Department of Economics and University of Wisconsin - Madison - Department of Economics
Downloads 83 (533,933)
Citation 28

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Cross-validation, factor models, forecast combination, generated regressors, Mallows

Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure

Cowles Foundation Discussion Paper No. 1824
Number of pages: 106 Posted: 17 Oct 2011
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 204 (264,048)
Citation 3

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Asymptotic size, Binary choice, Confidence set, Estimator, Identification, Likelihood, Nonlinear models, Test, Smooth transition threshold autoregression, Weak identification

Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure

Cowles Foundation Discussion Paper No. 1824R
Number of pages: 106 Posted: 12 Oct 2012 Last Revised: 05 Nov 2012
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 41 (761,705)
Citation 7

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Asymptotic size, Binary choice, Confidence set, Estimator, Identification, Likelihood, Nonlinear models, Test, Smooth transition threshold autoregression, Weak identification

10.

Instrumental Variable Estimation of Structural VAR Models Robust to Possible Non-Stationarity

Number of pages: 33 Posted: 22 May 2019
Xu Cheng, Xu Han and Atsushi Inoue
University of Pennsylvania - Department of Economics, City University of Hong Kong (CityU) - Department of Economics & Finance and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 135 (376,013)
Citation 1

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external instruments, non-stationarity, robust inference, structural VAR

11.

Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version

PIER Working Paper No. 15-017
Number of pages: 40 Posted: 27 Mar 2015
Xu Cheng, Zhipeng Liao and Ruoyao Shi
University of Pennsylvania - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics and UC Riverside
Downloads 70 (582,062)
Citation 5

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Finite-Sample Risk, Generalized Shrinkage Estimator, GMM Misspecification, Model Averaging, Uniform Approximation

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

FRB of Philadelphia Working Paper No. 14-4
Number of pages: 85 Posted: 30 Jan 2014
University of Pennsylvania - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 38 (784,106)
Citation 10

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Consistent Model Selection, Factor Model, Great Recession, High-dimensional

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

NBER Working Paper No. w19792
Number of pages: 52 Posted: 10 Jan 2014 Last Revised: 30 Jan 2022
University of Pennsylvania - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 21 (933,377)

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13.

A Note on Additional Materials for "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models"

Econometrica, Forthcoming
Number of pages: 25 Posted: 24 Mar 2021 Last Revised: 08 Nov 2021
University of Pennsylvania - Department of Economics, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 54 (662,312)
Citation 1

Abstract:

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Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification.

14.

Uniform Inference in Nonlinear Models with Mixed Identification Strength

PIER Working Paper No. 14-018
Number of pages: 54 Posted: 11 May 2014
Xu Cheng
University of Pennsylvania - Department of Economics
Downloads 46 (709,819)
Citation 1

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Mixed rates, nonlinear regression, robust inference, uniformity, weak identification.

15.

Supplemental Appendix to "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models"

Econometrica, Forthcoming
Number of pages: 25 Posted: 26 May 2020 Last Revised: 08 Nov 2021
University of Pennsylvania - Department of Economics, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 41 (742,587)

Abstract:

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Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification.