Zhipeng Liao

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

8283 Bunche Hall

Los Angeles, CA 90095-1477

United States

SCHOLARLY PAPERS

11

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CITATIONS

1

Scholarly Papers (11)

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 143 (174,045)

Abstract:

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 47 (348,296)

Abstract:

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 19 (473,378)

Abstract:

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 93 (217,217)

Abstract:

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 81 (253,284)

Abstract:

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 53 (281,929)
Citation 1

Abstract:

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

5.

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 49 (298,088)

Abstract:

Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM

6.

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 45 (324,558)

Abstract:

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

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 17 (485,009)

Abstract:

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 8 (536,572)

Abstract:

8.

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 University of California, Los Angeles (UCLA)
Downloads 17 (372,009)

Abstract:

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

9.

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 6 (451,977)

Abstract:

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

10.

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

Abstract:

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

11.

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 0 (339,386)

Abstract:

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