Similar Search Results

Select the valid and relevant moments : an information-based LASSO for GMM with many moments

Cheng, Xu; Liao, Zhipeng - In: Journal of econometrics 186 (2015) 2, pp. 443-464

Persistent link: https://www.econbiz.de/10011349446

Uniform asymptotic risk of averaging GMM estimator robust to misspecification

Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - 2015 - Rev., second version

Persistent link: https://www.econbiz.de/10011326763

Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - 2014

Persistent link: https://www.econbiz.de/10010238424

Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - 2013

Persistent link: https://www.econbiz.de/10010345047

Macro-finance decoupling : robust evaluations of macro asset pricing models

Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 2, pp. 685-713

Persistent link: https://www.econbiz.de/10013190093

Select the valid and relevant moments : a one-step procedure for GMM with many moments

Cheng, Xu; Liao, Zhipeng - 2012

Persistent link: https://www.econbiz.de/10009741549

Macro-finance decoupling : robust evaluations of macro asset pricing Models

Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng - 2020

Persistent link: https://www.econbiz.de/10012299129

On uniform asymptotic risk of averaging GMM estimators

Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979

This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...

Persistent link: https://www.econbiz.de/10012049321

Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - In: The review of economic studies 83 (2016) 4, pp. 1511-1543

Persistent link: https://www.econbiz.de/10011656547

Adaptive GMM shrinkage estimation with consistent moment selection

Liao, Zhipeng - In: Econometric theory 29 (2013) 5, pp. 857-904

Persistent link: https://www.econbiz.de/10010248326

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