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Author ID: liao.zhipeng Recent zbMATH articles by "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

Publications by Year

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 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

Citations by Year