Zhipeng Liao

University of California, Los Angeles (UCLA) - Department of Economics

8283 Bunche Hall

Los Angeles, CA 90095-1477

United States

  • University of California, Los Angeles (UCLA) - Department of Economics

SCHOLARLY PAPERS

17

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67

CROSSREF CITATIONS

40

Scholarly Papers (17)

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1.

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

Downloads 446 ( 91,953)

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
Xu Cheng, Winston Wei Dou and Zhipeng Liao
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 282 (151,412)

Abstract:

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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
Xu Cheng, Winston Wei Dou and Zhipeng Liao
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 164 (251,613)

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

2.

Optimal Cross-Sectional Regression

Number of pages: 60 Posted: 28 Jan 2021 Last Revised: 10 Jan 2022
Zhipeng Liao and Yan Liu
University of California, Los Angeles (UCLA) - Department of Economics and Purdue University
Downloads 333 (127,949)

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Beta uncertainty, Efficient esetimation, Factor models, Fama-MacBeth, GMM, Idiosyncratic risk, Systematic risk, Two-pass regression, Errors-in-variables

3.

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

Downloads 265 (161,979)
Citation 17

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 167 (247,694)
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 72 (446,169)
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 26 (676,161)
Citation 1

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

4.

Conditional Superior Predictive Ability

Number of pages: 71 Posted: 06 Mar 2020
Jia Li, Zhipeng Liao and Rogier Quaedvlieg
Duke University, University of California, Los Angeles (UCLA) - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 158 (259,232)
Citation 2

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conditional moment inequality, forecast evaluation, inflation, intersection bounds, machine learning, volatility

5.

Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications

Cowles Foundation Discussion Paper No. 1871
Number of pages: 53 Posted: 05 Sep 2012
Peter C. B. Phillips and Zhipeng Liao
University of Auckland Business School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 118 (324,174)

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Cointegrated system, HAC estimation, Instrumental variables, Lasso regression, Karhunen-Loève representation, Long-run variance, Reproducing kernel Hilbert space, Oracle effciency, Orthonormal system, Trend basis

6.

Automated Estimation of Vector Error Correction Models

Cowles Foundation Discussion Paper No. 1873
Number of pages: 92 Posted: 05 Sep 2012
Zhipeng Liao and Peter C. B. Phillips
University of California, Los Angeles (UCLA) - Department of Economics and University of Auckland Business School
Downloads 103 (355,809)
Citation 7

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Adaptive shrinkage, Automation, Cointegrating rank, Lasso regression, Oracle efficiency, Transient dynamics, Vector error correction

7.

Adaptive GMM Shrinkage Estimation with Consistent Moment Selection

Number of pages: 61 Posted: 15 Oct 2012 Last Revised: 05 Dec 2012
Zhipeng Liao
University of California, Los Angeles (UCLA) - Department of Economics
Downloads 88 (393,024)
Citation 13

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GMM, moment selection, oracle properties, semi-parametric efficiency, shrinkage estimation

8.

On Standard Inference for GMM with Local Identification Failure of Known Forms

Number of pages: 39 Posted: 20 Feb 2016
Ji Hyung Lee and Zhipeng Liao
University of Illinois at Urbana-Champaign - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 82 (409,842)
Citation 3

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Degenerate Jacobian, Conditionally Heteroskedastic Factors, GMM, Local Identification Failure, Non-standard Inference, Over-identification Test, Asymptotically Exact Inference

9.

Asymptotic Efficiency of Semiparametric Two-Step GMM

Cowles Foundation Discussion Paper No. 1880
Number of pages: 24 Posted: 09 Oct 2012
Xiaohong Chen, Jinyong Hahn and Zhipeng Liao
Yale University - Cowles Foundation, University of California, Los Angeles and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 79 (418,745)

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Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM

10.

Sieve Inference on Semi-Nonparametric Time Series Models

Cowles Foundation Discussion Paper No. 1849
Number of pages: 55 Posted: 21 Feb 2012
Xiaohong Chen, Zhipeng Liao and Yixiao Sun
Yale University - Cowles Foundation, University of California, Los Angeles (UCLA) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 75 (431,195)
Citation 4

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Weak dependence, Sieve M estimation, Sieve Riesz representor, Irregular functional, Misspecification, Pre-asymptotic variance, Orthogonal series long run variance estimation, F distribution

11.

Sieve Semiparametric Two-Step GMM Under Weak Dependence

Cowles Foundation Discussion Paper No. 2012
Number of pages: 64 Posted: 14 Jul 2015
Xiaohong Chen and Zhipeng Liao
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 56 (499,418)
Citation 3

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Sieve two-step GMM, Weakly dependent data, Auto-correlation robust inference, Semiparametric over-identification test, Numerical equivalence, Random perturbation derivative estimator

12.

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 54 (507,619)
Citation 4

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

13.

Uniform Nonparametric Series Inference for Dependent Data with an Application to the Search and Matching Model

Economic Research Initiatives at Duke (ERID) Working Paper No. 268
Number of pages: 83 Posted: 12 Jul 2018
Jia Li and Zhipeng Liao
Duke University and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 43 (557,824)
Citation 1

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martingale difference, mixingale, series estimation, specification test, strong approximation, uniform inference, unemployment

14.

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

Downloads 43 (557,824)
Citation 12

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
Xu Cheng, Zhipeng Liao and Frank Schorfheide
University of Pennsylvania - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 29 (653,967)
Citation 11

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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
Xu Cheng, Zhipeng Liao and Frank Schorfheide
University of Pennsylvania - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 14 (780,155)

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15.

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
Xu Cheng, Winston Wei Dou and Zhipeng Liao
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 29 (636,803)
Citation 4

Abstract:

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

16.

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
Xu Cheng, Winston Wei Dou and Zhipeng Liao
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 17 (727,094)

Abstract:

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

17.

Nonparametric Two-Step Sieve M Estimation and Inference

USC-INET Research Paper No. 16-07
Posted: 23 Mar 2016
Jinyong Hahn, Zhipeng Liao and Geert Ridder
University of California, Los Angeles, University of California, Los Angeles (UCLA) - Department of Economics and University of Southern California

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Two-Step Sieve Estimation; Nonparametric Generated Regressors; Asymptotic Normality; Sieve Variance Estimation