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. "Nonparametric Series Inference for Dependent Data with an Application to the Search and Matching Model", (with Jia Li).

2. "The Principle of Contrarian Opinion and Its Implications for Forecasting Exchange Rates", (with Hyo Sang Kim, Young Ju Kim and Aaron Tornell).

3. "Estimation and Inference of Semiparametric Models Using Data from Several Sources", (with Moshe Buchinsky and Fanghua Li).


4. "On Cross-Validated Lasso", (with Denis Chetverikov and Victor Chernozhukov).

5. "A Uniform Vuong Test for Semi/Nonparametric Models", (with Xiaoxia Shi). [Supplemental Appendix]

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

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

Published and Forthcoming Papers


1. "Nonparametric Two-Step Sieve M Estimation and Inferences", (with Jinyong Hahn and Geert Ridder), Econometric Theory, forthcoming, 2018. [Supplemental Appendix]

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

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


4. "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.[Supplemental Appendix]

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

6. "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]

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

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

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

10. "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.

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

12. "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

13. "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