Zhipeng Liao

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

8283 Bunche Hall

Los Angeles, CA 90095-1477

United States

SCHOLARLY PAPERS

15

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47

CROSSREF CITATIONS

34

Scholarly Papers (15)

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 157 (205,860)
Citation 5

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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 63 (383,802)
Citation 16

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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 25 (552,387)
Citation 5

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

2.

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
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 113 (265,561)

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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

3.

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 Yale University - Cowles Foundation
Downloads 91 (306,947)
Citation 7

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

4.

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 79 (334,739)
Citation 12

Abstract:

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

5.

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 74 (347,564)
Citation 3

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

6.

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, affiliation not provided to SSRN and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 71 (355,623)

Abstract:

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Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM

7.

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 64 (375,665)
Citation 3

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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

8.

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 51 (418,578)

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

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

Number of pages: 29 Posted: 26 May 2020
Xu Cheng, Winston 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 (527,394)

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Asset Pricing, Conditional Inference, Disaster Risk, Long-Run Risk, Factor Models, Specification Test, Weak Identification

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

PIER Working Paper No. 20-019
Number of pages: 30 Posted: 01 Jun 2020 Last Revised: 05 Jun 2020
Xu Cheng, Winston 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 19 (593,687)

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sset Pricing, Conditional Inference, Disaster Risk, Long-Run Risk, Factor Models, Specification Test, Weak Identification

10.

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 47 (433,399)
Citation 3

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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
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 26 (545,822)
Citation 7

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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
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 13 (637,481)

Abstract:

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12.

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 32 (498,071)
Citation 2

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

13.

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 31 (502,942)
Citation 2

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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

14.

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

Number of pages: 24 Posted: 26 May 2020
Xu Cheng, Winston 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 11 (627,410)
Citation 1

Abstract:

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Asset Pricing, Conditional Inference, Disaster Risk, Long-Run Risk, Factor Models, Specification Test, Weak Identification

15.

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
affiliation not provided to SSRN, 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