Edit Profile (opens in new tab) Liao, Zhipeng Co-Author Distance Author ID: liao.zhipeng Published as: Liao, Zhipeng Homepage: http://www.econ.ucla.edu/liao/ External Links: MGP Documents Indexed: 24 Publications since 2013 Co-Authors: 22 Co-Authors with 23 Joint Publications 469 Co-Co-Authors all top 5 Co-Authors 1 single-authored 6 Hahn, Jinyong 5 Li, Jia 4 Chen, Xiaohong 4 Cheng, Xu 3 Ridder, Geert 2 Shi, Ruoyao 1 Ackerberg, Daniel A. 1 Bollerslev, Tim 1 Buchinsky, Moshe 1 Chernozhukov, Victor 1 Chetverikov, Denis 1 Dou, Winston Wei 1 Horvath, Peter 1 Jacod, Jean 1 Lee, Ji Hyung 1 Li, Fanghua 1 Patton, Andrew J. 1 Phillips, Peter Charles Bonest 1 Quaedvlieg, Rogier 1 Schorfheide, Frank 1 Shi, Xiaoxia 1 Sun, Yixiao all top 5 Serials 6 Journal of Econometrics 6 Econometric Theory 4 Quantitative Economics 3 The Review of Economic Studies 2 The Annals of Statistics 2 Econometrica 1 Economics Letters Fields 23 Statistics (62-XX) 4 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Probability theory and stochastic processes (60-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 21 Publications have been cited 200 times in 171 Documents Cited by ▼ Year ▼ Shrinkage estimation of high-dimensional factor models with structural instabilities. Zbl 1409.62143 Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank 27 2016 Automated estimation of vector error correction models. Zbl 1441.62793 Liao, Zhipeng; Phillips, Peter C. B. 26 2015 Adaptive GMM shrinkage estimation with consistent moment selection. Zbl 1290.62052 Liao, Zhipeng 24 2013 Select the valid and relevant moments: an information-based Lasso for GMM with many moments. Zbl 1331.62459 Cheng, Xu; Liao, Zhipeng 18 2015 Sieve inference on possibly misspecified semi-nonparametric time series models. Zbl 1293.62182 Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao 18 2014 Sieve semiparametric two-step GMM under weak dependence. Zbl 1337.62249 Chen, Xiaohong; Liao, Zhipeng 13 2015 Sieve \(M\) inference on irregular parameters. Zbl 1311.62043 Chen, Xiaohong; Liao, Zhipeng 13 2014 On cross-validated Lasso in high dimensions. Zbl 1475.62209 Chetverikov, Denis; Liao, Zhipeng; Chernozhukov, Victor 11 2021 Asymptotic efficiency of semiparametric two-step GMM. Zbl 1409.62246 Ackerberg, Daniel; Chen, Xiaohong; Hahn, Jinyong; Liao, Zhipeng 8 2014 On uniform asymptotic risk of averaging GMM estimators. Zbl 1445.62067 Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao 7 2019 A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models. Zbl 1466.62312 Liao, Zhipeng; Shi, Xiaoxia 6 2020 Bootstrap standard error estimates and inference. Zbl 1497.62077 Hahn, Jinyong; Liao, Zhipeng 6 2021 Nonparametric two-step sieve M estimation and inference. Zbl 1406.62027 Hahn, Jinyong; Liao, Zhipeng; Ridder, Geert 5 2018 Uniform nonparametric inference for time series. Zbl 1464.62386 Li, Jia; Liao, Zhipeng 5 2020 On standard inference for GMM with local identification failure of known forms. Zbl 1393.62128 Lee, Ji Hyung; Liao, Zhipeng 4 2018 Estimation and inference of semiparametric models using data from several sources. Zbl 07471886 Buchinsky, Moshe; Li, Fanghua; Liao, Zhipeng 2 2022 Conditional superior predictive ability. Zbl 07491208 Li, Jia; Liao, Zhipeng; Quaedvlieg, Rogier 2 2022 Macro-finance decoupling: robust evaluations of macro asset pricing models. Zbl 1489.91280 Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng 2 2022 Volatility coupling. Zbl 1478.60106 Jacod, Jean; Li, Jia; Liao, Zhipeng 1 2021 Fixed-\(k\) inference for volatility. Zbl 1485.91233 Bollerslev, Tim; Li, Jia; Liao, Zhipeng 1 2021 A consistent specification test for dynamic quantile models. Zbl 07555001 Horvath, Peter; Li, Jia; Liao, Zhipeng; Patton, Andrew J. 1 2022 Estimation and inference of semiparametric models using data from several sources. Zbl 07471886 Buchinsky, Moshe; Li, Fanghua; Liao, Zhipeng 2 2022 Conditional superior predictive ability. Zbl 07491208 Li, Jia; Liao, Zhipeng; Quaedvlieg, Rogier 2 2022 Macro-finance decoupling: robust evaluations of macro asset pricing models. Zbl 1489.91280 Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng 2 2022 A consistent specification test for dynamic quantile models. Zbl 07555001 Horvath, Peter; Li, Jia; Liao, Zhipeng; Patton, Andrew J. 1 2022 On cross-validated Lasso in high dimensions. Zbl 1475.62209 Chetverikov, Denis; Liao, Zhipeng; Chernozhukov, Victor 11 2021 Bootstrap standard error estimates and inference. Zbl 1497.62077 Hahn, Jinyong; Liao, Zhipeng 6 2021 Volatility coupling. Zbl 1478.60106 Jacod, Jean; Li, Jia; Liao, Zhipeng 1 2021 Fixed-\(k\) inference for volatility. Zbl 1485.91233 Bollerslev, Tim; Li, Jia; Liao, Zhipeng 1 2021 A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models. Zbl 1466.62312 Liao, Zhipeng; Shi, Xiaoxia 6 2020 Uniform nonparametric inference for time series. Zbl 1464.62386 Li, Jia; Liao, Zhipeng 5 2020 On uniform asymptotic risk of averaging GMM estimators. Zbl 1445.62067 Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao 7 2019 Nonparametric two-step sieve M estimation and inference. Zbl 1406.62027 Hahn, Jinyong; Liao, Zhipeng; Ridder, Geert 5 2018 On standard inference for GMM with local identification failure of known forms. Zbl 1393.62128 Lee, Ji Hyung; Liao, Zhipeng 4 2018 Shrinkage estimation of high-dimensional factor models with structural instabilities. Zbl 1409.62143 Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank 27 2016 Automated estimation of vector error correction models. Zbl 1441.62793 Liao, Zhipeng; Phillips, Peter C. B. 26 2015 Select the valid and relevant moments: an information-based Lasso for GMM with many moments. Zbl 1331.62459 Cheng, Xu; Liao, Zhipeng 18 2015 Sieve semiparametric two-step GMM under weak dependence. Zbl 1337.62249 Chen, Xiaohong; Liao, Zhipeng 13 2015 Sieve inference on possibly misspecified semi-nonparametric time series models. Zbl 1293.62182 Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao 18 2014 Sieve \(M\) inference on irregular parameters. Zbl 1311.62043 Chen, Xiaohong; Liao, Zhipeng 13 2014 Asymptotic efficiency of semiparametric two-step GMM. Zbl 1409.62246 Ackerberg, Daniel; Chen, Xiaohong; Hahn, Jinyong; Liao, Zhipeng 8 2014 Adaptive GMM shrinkage estimation with consistent moment selection. Zbl 1290.62052 Liao, Zhipeng 24 2013 all cited Publications top 5 cited Publications all top 5 Cited by 291 Authors 7 Su, Liangjun 6 Chen, Xiaohong 6 Liao, Zhipeng 6 Tu, Yundong 4 Escanciano, Juan Carlos 4 Medeiros, Marcelo C. 4 Phillips, Peter Charles Bonest 4 Shi, Zhentao 3 Bai, Jushan 3 Bravo, Francesco 3 Han, Xu 3 Li, Jia 3 Ling, Shiqing 3 Patton, Andrew J. 3 Wang, Xia 3 Zhang, Xinyu 2 Baltagi, Badi H. 2 Barigozzi, Matteo 2 Bollerslev, Tim 2 Cai, Tony Tony 2 Chang, Jinyuan 2 Chen, Jiafeng 2 Duan, Jiangtao 2 Fan, Qingliang 2 Fryzlewicz, Piotr 2 Galvao, Antonio F. jun. 2 Gao, Jiti 2 Guo, Feifei 2 Hahn, Jinyong 2 Hounyo, Ulrich 2 Hsu, Yu-Chin 2 Kang, Hyunseung 2 Kao, Chihwa 2 Kock, Anders Bredahl 2 Lee, Ji Hyung 2 Lee, Lung-Fei 2 Lewbel, Arthur 2 Li, Degui 2 Lu, Renjie 2 Lu, Xun 2 Ma, Chenchen 2 Mendes, Eduardo F. 2 Okui, Ryo 2 Peng, Bin 2 Qian, Junhui 2 Ridder, Geert 2 Robins, James M. 2 Schennach, Susanne M. 2 Shiu, Ji-Liang 2 Small, Dylan S. 2 Song, Yunquan 2 Sun, Yixiao 2 Timmermann, Allan G. 2 Van Keilegom, Ingrid 2 Wang, Bin 2 Wang, Fa 2 Wang, Wendun 2 Wu, Jianhong 2 Yao, Qiwei 2 Yi, Yanping 2 Yu, Philip Leung Ho 2 Zhou, Ruichao 2 Zhu, Yinchu 1 Abadie, Alberto 1 Ahrens, Achim 1 Aitken, Christopher 1 An, Yonghong 1 Andrews, Donald Wilfrid Kao 1 Antoine, Bertille 1 Bakshi, Gurdip 1 Bang, Minji 1 Bartalotti, Otávio 1 Bergamelli, Michele 1 Bianchi, Annamaria 1 Blasques, Francisco 1 Bodelet, Julien 1 Bonhomme, Stéphane 1 Boot, Tom 1 Botosaru, Irene 1 Breum, Marie Skov 1 Brück, Florian 1 Bu, Ruijun 1 Bugni, Federico A. 1 Cai, Zongwu 1 Callot, Laurent 1 Caner, Mehmet 1 Celentano, Michael 1 Cheng, Xu 1 Cheng, Yujia 1 Chernozhukov, Victor 1 Cho, Haeran 1 Cho, Hyunkeun Ryan 1 Choi, Jin Young 1 Christensen, Timothy M. 1 Chudik, Alexander 1 Corradi, Valentina 1 Creel, Michael 1 Crosby, John 1 Cui, Junfeng 1 Cui, Xiaomeng ...and 191 more Authors all top 5 Cited in 39 Serials 87 Journal of Econometrics 12 Econometric Reviews 9 Econometric Theory 7 Journal of Business and Economic Statistics 6 The Annals of Statistics 5 Economics Letters 4 Computational Statistics and Data Analysis 3 Statistica Sinica 3 Electronic Journal of Statistics 2 Journal of the American Statistical Association 2 Journal of Statistical Planning and Inference 2 Communications in Statistics. Theory and Methods 2 Studies in Nonlinear Dynamics and Econometrics 1 Physica A 1 Scandinavian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 Biometrics 1 Econometrica 1 International Economic Review 1 Operations Research 1 Statistics & Probability Letters 1 Journal of Time Series Analysis 1 Computational Statistics 1 Communications in Statistics. Simulation and Computation 1 Stochastic Processes and their Applications 1 Bernoulli 1 Journal of Nonparametric Statistics 1 Abstract and Applied Analysis 1 Australian & New Zealand Journal of Statistics 1 Journal of Applied Statistics 1 Brazilian Journal of Probability and Statistics 1 Journal of Systems Science and Complexity 1 Journal of Machine Learning Research (JMLR) 1 Journal of Applied Mathematics and Computing 1 Foundations and Trends in Econometrics 1 Journal of Computational and Graphical Statistics 1 Quantitative Economics 1 Statistics and Computing 1 Journal of Econometric Methods all top 5 Cited in 9 Fields 163 Statistics (62-XX) 53 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Probability theory and stochastic processes (60-XX) 4 Computer science (68-XX) 3 Systems theory; control (93-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Functional analysis (46-XX) 1 Numerical analysis (65-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year