Zhipeng Liao

  Assistant Professor of Economics, UCLA



  Curriculum Vitae


Field of Concentration:

Econometric Theory and Applied Econometrics







Research Interest:

Model Selection and Model Averaging, Inference of Semi/Nonparametric Models, Modelling and Inference of Nonstationary Time Series



8379 Bunche Hall, UCLA






(310) 794-5427



(310) 825-9528


Mailing Address:



Department of Economics
8283 Bunche Hall
Mail Stop: 147703

Los Angeles, CA 90095

  Working Papers


1. "On Cross-Validated Lasso", (with Denis Chetverikov)

2. "A Uniform Vuong Test for Semi/Nonparametric Models", (with Xiaoxia Shi)

3. "On Standard Inference for GMM with Local Identification Failure of Known Forms", (with Ji Hyung Lee), revised for Econometric Theory

4. "An Averaging GMM Estimator Robust to Misspecification", (with Xu Cheng and Ruoyao Shi), revision requested by Quantitative Economics

5. "Nonparametric Two-Step Sieve M Estimation and Inferences", (with Jinyong Hahn and Geert Ridder), revised for Econometric Theory [Supplemental Appendix]

6. "Speculators’ Positions and Exchange Rate Forecasts: Beating the Random Walk Models", (with Aaron Tornell and Young Ju Kim)

  Published and Forthcoming Papers


1. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities", (with Xu Cheng and Frank Schorfheide), Review of Economic Studies, forthcoming, 2016

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

3. "Select the Valid and Relevant Moment Conditions: A One-step Procedure for GMM with Many Moments", (with Xu Cheng), Journal of Econometrics, Vol.186 (2), 2015, 443—464 [Supplemental Appendix]

4. "Automated Estimation of Vector Error Correction Models", (with Peter C.B. Phillips), Econometric Theory, Vol.31(3), 2015, 581—646 [Supplemental Appendix]

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

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

7. "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

8. "Adaptive GMM Shrinkage Estimation with Consistent Moment Selection", Econometric Theory, Vol.29, 2013, 1--48 [Early Version]

9. "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

10. "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