フォロー
Xu Cheng
Xu Cheng
確認したメール アドレス: econ.upenn.edu - ホームページ
タイトル
引用先
引用先
Estimation and Inference With Weak, Semi‐Strong, and Strong Identification
DWK Andrews, X Cheng
Econometrica 80 (5), 2153-2211, 2012
2482012
Shrinkage estimation of high-dimensional factor models with structural instabilities
X Cheng, Z Liao, F Schorfheide
The Review of Economic Studies 83 (4), 1511-1543, 2016
1592016
Forecasting with factor-augmented regression: A frequentist model averaging approach
X Cheng, BE Hansen
Journal of Econometrics 186 (2), 280-293, 2015
1502015
Select the valid and relevant moments: An information-based LASSO for GMM with many moments
X Cheng, Z Liao
Journal of Econometrics 186 (2), 443-464, 2015
103*2015
Maximum likelihood estimation and uniform inference with sporadic identification failure
DWK Andrews, X Cheng
Journal of Econometrics 173 (1), 36-56, 2013
632013
Generic results for establishing the asymptotic size of confidence sets and tests
DWK Andrews, X Cheng, P Guggenberger
Cowles Foundation Discussion Paper, 2011
622011
Robust inference in nonlinear models with mixed identification strength
X Cheng
Journal of Econometrics 189 (1), 207-228, 2015
60*2015
GMM estimation and uniform subvector inference with possible identification failure
DWK Andrews, X Cheng
Econometric Theory 30 (2), 287-333, 2014
542014
Generic results for establishing the asymptotic size of confidence sets and tests
DWK Andrews, X Cheng, P Guggenberger
Journal of Econometrics 218 (2), 496-531, 2020
522020
Semiparametric cointegrating rank selection
X Cheng, PCB Phillips
The Econometrics Journal 12, S83-S104, 2009
502009
On uniform asymptotic risk of averaging GMM estimators
X Cheng, Z Liao, R Shi
Quantitative Economics 10 (3), 931-979, 2019
332019
Cointegrating rank selection in models with time-varying variance
X Cheng, PCB Phillips
Journal of Econometrics, 2012
302012
Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
X Cheng, WW Dou, Z Liao
Econometrica 90 (2), 685-713, 2022
282022
Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation
X Cheng, F Schorfheide, P Shao
Penn Institute for Economic Research, Department of Economics, University of …, 2023
26*2023
Uniform asymptotic risk of averaging GMM estimator robust to misspecification
X Cheng, Z Liao, R Shi
unpublished manuscript, University of Pennsylvania and UCLA, 2015
62015
Instrumental Variable Estimation of Structural VAR Models Robust to Possible Nonstationarity
X Cheng, X Han, A Inoue
Econometric Theory 38 (5), 845-874, 2022
42022
Identifying Volatility Risk Price Through Leverage Effect
X Cheng, E Renault, P Sangrey
12023
How to Weight in Moments Matching: A New Approach and Applications to Earnings Dynamics
X Cheng, A Sánchez-Becerra, AJ Shephard
Available at SSRN 4495554, 2023
2023
Comment on ‘In-sample Inference and Forecasting in Misspecified Factor Models’
X Cheng, BE Hansen
Journal of Business and Economic Statistics 34 (3), 345-347, 2016
2016
Online Supplementary Material for Identifying the Volatility Risk Price Through the Leverage E ect
X Cheng, E Renault, P Sangrey
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