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

18

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88

Scholarly Papers (18)

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1.

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

Downloads 682 (80,805)

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, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 460 (130,468)

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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, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 222 (286,277)

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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: 61 Posted: 28 Jan 2021 Last Revised: 27 Feb 2023
Zhipeng Liao, Yan Liu and Zhenzhen Xie
University of California, Los Angeles (UCLA) - Department of Economics, Purdue University and Tsinghua University - School of Economics & Management
Downloads 607 (93,852)
Citation 3

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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 425 (144,940)
Citation 24

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 266 (239,181)
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 94 (586,812)
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 65 (728,121)
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 European Central Bank (ECB)
Downloads 260 (246,421)
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 154 (400,202)

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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 143 (424,921)
Citation 7

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

7.

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 126 (469,658)
Citation 6

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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

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 125 (472,586)
Citation 5

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

9.

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 123 (478,594)
Citation 13

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

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 119 (490,902)
Citation 5

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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.

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 111 (517,222)

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Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM

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 81 (635,159)
Citation 7

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

13.

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

Downloads 75 (663,029)
Citation 10

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 49 (836,850)
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
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 (1,062,254)

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14.

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 71 (682,981)
Citation 5

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

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, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 69 (693,433)
Citation 1

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, University of Pennsylvania - The Wharton School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 53 (789,442)

Abstract:

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

17.

Testing for the Minimum Mean-Variance Spanning Set

Number of pages: 34 Posted: 21 Feb 2025 Last Revised: 18 Mar 2025
Zhipeng Liao, Bin Wang and Wenyu Zhou
University of California, Los Angeles (UCLA) - Department of Economics, Harbin Institute of Technology, Shenzhen and Zhejiang University
Downloads 28 (1,020,843)

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Mean-variance efficiency, Moving block bootstrap, Set inference, Spanning test

18.

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