Zhipeng Liao, Associate Professor of Economics


 

        Curriculum Vitae

 

 

 

Research Field:

Econometric Theory

 

 

 

 

 

 

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.    "A Consistent Specification Test for Dynamic Quantile Models", (with Peter Horvath, Jia Li and Andrew Patton). [Supplemental Appendix]

 

2.    "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models", (with Xu Cheng and Winston Dou). [Supplemental Appendix]

 

3.    "Fixed-k Inference for Volatility", (with Tim Bollerslev and Jia Li).

 

4.    "Volatility Coupling", (with Jean Jacod and Jia Li), revised for Annals of Statistics.

 

5.    "Conditional Superior Predictive Ability", (with Jia Li and Rogier Quaedvlieg).

 

6.    "Bootstrap Standard Error Estimates and Inference", (with Jinyong Hahn), revised for Econometrica.

 

7.    "Contrarian Opinion and Its Predictability: Application to Exchange Rates", (with Hyo Sang Kim, Young Ju Kim and Aaron Tornell).

 

8.    "On the Optimality of Cross-validated Series Quantile Estimators", (with Denis Chetverikov).

 

9.    "Estimation and Inference of Semiparametric Models Using Data from Several Sources", (with Moshe Buchinsky and Fanghua Li), conditionally accepted in Journal of Econometrics.

 


  Published and Forthcoming Papers

 

1.    "On Cross-Validated Lasso in High Dimensions", (with Denis Chetverikov and Victor Chernozhukov), forthcoming in Annals of Statistics. [Supplemental Appendix]

 

2.    "Uniform Nonparametric Inference for Time Series using Stata", (with Jia Li and Mengsi Gao), forthcoming in Stata Journal, 2020. [Stata Package]

 

3.    "Uniform Nonparametric Inference for Time Series", (with Jia Li), forthcoming in Journal of Econometrics, 2020. [Supplemental Appendix]

 

4.    "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. [Supplemental Appendix]

 

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

 

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

 

7.    "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]

 

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

 

9.    "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]

 

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

 

11.    "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. [Supplemental Appendix]

 

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

 

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

 

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

 

15.    "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.

 

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

 

17.    "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.

 

18.    "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.