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Details about Xu Cheng

Homepage:https://sites.google.com/site/xucheng06/
Phone:(215) 898-6775
Postal address:Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, PA 19104, USA
Workplace:Department of Economics, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by Xu Cheng.

Last updated 2014-10-13. Update your information in the RePEc Author Service.

Short-id: pch634


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Working Papers

2014

  1. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) Downloads View citations (2)
  2. Uniform Inference in Nonlinear Models with Mixed Identification Strength
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads

2013

  1. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (1)
  2. GMM Estimation and Uniform Subvector Inference with Possible Identification Failure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads View citations (4)

    See also Journal Article in Econometric Theory (2014)
  3. Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments, Second Version
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (9)

2012

  1. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (4)
  2. Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2013)
  3. Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (6)

2011

  1. Estimation and Inference with Weak, Semi-strong, and Strong Identification
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) Downloads View citations (11)

    See also Journal Article in Econometrica (2012)
  2. Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (16)

2009

  1. Cointegrating Rank Selection in Models with Time-Varying Variance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2012)

2008

  1. Semiparametric Cointegrating Rank Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article in Econometrics Journal (2009)

Journal Articles

2014

  1. GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE
    Econometric Theory, 2014, 30, (02), 287-333 Downloads View citations (3)
    See also Working Paper (2013)

2013

  1. Maximum likelihood estimation and uniform inference with sporadic identification failure
    Journal of Econometrics, 2013, 173, (1), 36-56 Downloads View citations (6)
    See also Working Paper (2012)

2012

  1. Cointegrating rank selection in models with time-varying variance
    Journal of Econometrics, 2012, 169, (2), 155-165 Downloads View citations (4)
    See also Working Paper (2009)
  2. Estimation and Inference With Weak, Semi‐Strong, and Strong Identification
    Econometrica, 2012, 80, (5), 2153-2211 Downloads View citations (22)
    See also Working Paper (2011)

2009

  1. Semiparametric cointegrating rank selection
    Econometrics Journal, 2009, 12, (s1), S83-S104 Downloads View citations (10)
    See also Working Paper (2008)
 
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