Zhipeng Liao, Professor of Economics
Curriculum Vitae	Research Field:	Econometric Theory and Applied Econometrics
	Research Interest:	My research interests include estimation and inference of semiparametric and nonparametric models, modelling and inference of nonlinear time series. My research is partly supported by National Science Foundation (NSF) Grant SES-1628889.
	Office:	8379 Bunche Hall, UCLA
	Email:	zhipeng.liao[at]econ.ucla.edu
	Phone:	(310) 794-5427
	Mailing Address:	8283 Bunche Hall, UCLA Mail Stop: 147703 Los Angeles, CA 90095
Working Papers 1. "Standard Errors When a Regressor is Randomly Assigned", (with Denis Chetverikov, Jinyong Hahn and Andres Santos). 2. "A General Test for Functional Inequalities", (with Jia Li and Wenyu Zhou). [Supplemental Appendix] 3. "Learning Before Testing: A Selective Nonparametric Test for Conditional Moment Restrictions", (with Jia Li and Wenyu Zhou). 4. "The Influence Function of Semiparametric Two-step Estimators with Estimated Control Variables", (with Jinyong Hahn, Geert Ridder and Ruoyao Shi).

Published and Forthcoming Papers

1. "Uniform Nonparametric Inference for Spatially Dependent Panel Data", (with Jia Li and Wenyu Zhou), Journal of Business & Economic Statistics, forthcoming.

2. "Identification and the Influence Function of Olley and Pakes' (1996) Production Function Estimator", (with Jinyong Hahn and Geert Ridder), Econometric Theory, forthcoming.

3. "Optimal Cross-Sectional Regression", (with Yan Liu and Zhenzhen Xie), Management Science, forthcoming.

4. "Uniform Nonparametric Inference for Spatially Dependent Panel Data: The xtnpsreg Command", (with Jia Li and Wenyu Zhou), Stata Journal, Vol.23(1), 2023, pp. 243--264. [Stata Package]

5. "Conditional Evaluation of Predictive Models: The cspa Command", (with Jia Li, Rogier Quaedvlieg and Wenyu Zhou), Stata Journal, Vol.22(4), 2022, pp. 924--940. [Stata Package]

6. "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models", (with Xu Cheng and Winston Dou), Econometrica, Vol.90(2), 2022, pp. 685--713. [Supplemental Note]

7. "Conditional Superior Predictive Ability", (with Jia Li and Rogier Quaedvlieg), Review of Economic Studies, Vol.89 (2), 2022, pp. 843--875.

8. "A Consistent Specification Test for Dynamic Quantile Models", (with Peter Horvath, Jia Li and Andrew Patton), Quantitative Economics, Vol.13(1), 2022, pp. 125--151.

9. "Bootstrap Standard Error Estimates and Inference", (with Jinyong Hahn), Econometrica, Vol.89(4), 2021, pp. 1963--1977.

10. "Fixed-k Inference for Volatility", (with Tim Bollerslev and Jia Li), Quantitative Economics, Vol.12(4), 2021, pp. 1053--1084.

11. "Volatility Coupling", (with Jean Jacod and Jia Li), Annals of Statistics, Vol. 49(4), 2021, pp. 1982--1998.

12. "On Cross-Validated Lasso in High Dimensions", (with Denis Chetverikov and Victor Chernozhukov), Annals of Statistics, Vol.49(3), 2021, pp. 1300--1317.

13. "Estimation and Inference of Semiparametric Models Using Data from Several Sources", (with Moshe Buchinsky and Fanghua Li), Journal of Econometrics, Vol.226(1), 2021, pp. 80--103.

14. "Uniform Nonparametric Inference for Time Series using Stata", (with Jia Li and Mengsi Gao), Stata Journal, Vol.20(3), 2020, pp. 706--721. [Stata Package]

15. "Uniform Nonparametric Inference for Time Series", (with Jia Li), Journal of Econometrics, Vol.219(1), 2020, 38--51.

16. "A Nondegenerate Vuong Test and A Post Selection Confidence Interval for Semi/Nonparametric Models", (with Xiaoxia Shi), Quantitative Economics, Vol.11, 2020, pp. 983--1017.

17. "On Uniform Asymptotic Risk of Averaging GMM Estimators", (with Xu Cheng and Ruoyao Shi), Quantitative Economics, Vol.10(3), 2019, pp. 931--979.

18. "Nonparametric Two-Step Sieve M Estimation and Inferences", (with Jinyong Hahn and Geert Ridder), Econometric Theory, Vol.34(6), 2018, pp. 1281--1384.

19. "On Standard Inference for GMM with Local Identification Failure of Known Forms", (with Ji Hyung Lee), Econometric Theory, Vol.34, 2018, pp. 790--814.

20. "Nonparametric Instrumental Variables and Regular Estimation", (with Jinyong Hahn), Econometric Theory, Vol.34(3), 2018, pp. 574--597.

21. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities", (with Xu Cheng and Frank Schorfheide), Review of Economic Studies, Vol.83(4), 2016, pp. 1511--1543.

22. "Sieve Semiparametric Two-Step GMM Under Weak Dependence", (with Xiaohong Chen), Journal of Econometrics, Vol.189(1), 2015, 163--186.

23. "Select the Valid and Relevant Moments: An Information-based LASSO for GMM with Many Moments", (with Xu Cheng), Journal of Econometrics, Vol.186 (2), 2015, 443--464.

24. "Automated Estimation of Vector Error Correction Models", (with Peter C.B. Phillips), Econometric Theory, Vol.31(3), 2015, 581--646.

25. "Asymptotic Efficiency of Semiparametric Two-step GMM", (with Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn), Review of Economic Studies, Vol.81(3), 2014, 919--943.

26. "Sieve M Inference of Irregular Parameters", (with Xiaohong Chen), Journal of Econometrics, Vol.182(1), 2014, 70--86.

27. "Sieve Inference on Possibly Misspecified Semi-nonparametric Time Series Models", (with Xiaohong Chen and Yixiao Sun), Journal of Econometrics, Vol.178(3), 2014, 639--658.

28. "Adaptive GMM Shrinkage Estimation with Consistent Moment Selection", Econometric Theory, Vol.29, 2013, 1--48.

29. "Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications", (with Peter C.B. Phillips) in A. Ullah, J. Racine and L. Su (eds.) Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, Oxford University Press, 2013.

30. "Asymptotic Properties of Penalized M Estimators with Time Series Observations", (with Xiaohong Chen), in N.R. Swanson and X. Chen (eds.) Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr, Springer, 2013.