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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

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

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

Uniform inference in nonlinear models with mixed identification strength

Cheng, Xu - 2014

Persistent link: https://www.econbiz.de/10010390339

Shrinkage estimation of high-dimensional factor models with structural instabilities

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

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

Cointegrating rank selection in models with time-varying variance

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

Persistent link: https://www.econbiz.de/10003795694

Estimation and inference with weak, semi-strong, and strong identification

Andrews, Donald W. K.; Cheng, Xu - 2010

Persistent link: https://www.econbiz.de/10008668813

Estimation and inference with weak , semi-strong, and strong identification

Andrews, Donald W. K.; Cheng, Xu - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 5, pp. 2153-2211

Persistent link: https://www.econbiz.de/10009665466

Cointegrating rank selection in models with time-varying variance

Cheng, Xu; Phillips, Peter C. B. - In: Journal of econometrics 169 (2012) 2, pp. 155-165

Persistent link: https://www.econbiz.de/10009671329

Maximum likelihood estimation and uniform inference with sporadic identification failure

Andrews, Donald W. K.; Cheng, Xu - 2011

Persistent link: https://www.econbiz.de/10009354607

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