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On projections of consumption levels for animal products in China by 1990's

Cheng, Xu - 1988

Persistent link: https://www.econbiz.de/10000778985

Semiparametric cointegrating rank selection

Cheng, Xu (contributor); Phillips, Peter C. B. (contributor) - 2008

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Cointegrating rank selection in models with time-varying variance

Cheng, Xu; Phillips, Peter C. B. - 2009

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Semiparametric cointegrating rank selection

Cheng, Xu; Phillips, Peter C. B. - In: The econometrics journal 12 (2009), pp. 83-104

Persistent link: https://www.econbiz.de/10003876315

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

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

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

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

Forecasting with factor-augmented regression : a frequentist model averaging approach

Cheng, Xu; Hansen, Bruce E. - In: Journal of econometrics 186 (2015) 2, pp. 280-293

Persistent link: https://www.econbiz.de/10011349480

Shrinkage estimation of high-dimensional factor models with structural instabilities

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

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