Details about Xu Cheng

Access statistics for papers by Xu Cheng.

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

Short-id: pch634

Working Papers

2014

1. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (3)
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

2013

3. 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 View citations (3)
4. GMM Estimation and Uniform Subvector Inference with Possible Identification Failure
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) View citations (4)
   See also Journal Article GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE, Econometric Theory, Cambridge University Press (2014) View citations (21) (2014)
5. 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 View citations (12)

2012

6. 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 View citations (7)
7. Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) View citations (10)
   See also Journal Article Maximum likelihood estimation and uniform inference with sporadic identification failure, Journal of Econometrics, Elsevier (2013) View citations (23) (2013)
8. 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 View citations (7)

2011

9. Estimation and Inference with Weak, Semi-strong, and Strong Identification
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) View citations (15)
   See also Journal Article Estimation and Inference With Weak, Semi‐Strong, and Strong Identification, Econometrica, Econometric Society (2012) View citations (103) (2012)
10. Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (38)

2009

11. Cointegrating Rank Selection in Models with Time-Varying Variance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    See also Journal Article Cointegrating rank selection in models with time-varying variance, Journal of Econometrics, Elsevier (2012) View citations (10) (2012)

2008

12. Semiparametric Cointegrating Rank Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
    See also Journal Article Semiparametric cointegrating rank selection, Econometrics Journal, Royal Economic Society (2009) View citations (18) (2009)

Journal Articles

2014

1. GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE
   Econometric Theory, 2014, 30, (2), 287-333 View citations (21)
   See also Working Paper GMM Estimation and Uniform Subvector Inference with Possible Identification Failure, Cowles Foundation Discussion Papers (2013) (2013)

2013

2. Maximum likelihood estimation and uniform inference with sporadic identification failure
   Journal of Econometrics, 2013, 173, (1), 36-56 View citations (23)
   See also Working Paper Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure, Cowles Foundation Discussion Papers (2012) (2012)

2012

3. Cointegrating rank selection in models with time-varying variance
   Journal of Econometrics, 2012, 169, (2), 155-165 View citations (10)
   See also Working Paper Cointegrating Rank Selection in Models with Time-Varying Variance, Cowles Foundation Discussion Papers (2009) View citations (4) (2009)
4. Estimation and Inference With Weak, Semi‐Strong, and Strong Identification
   Econometrica, 2012, 80, (5), 2153-2211 View citations (103)
   See also Working Paper Estimation and Inference with Weak, Semi-strong, and Strong Identification, Cowles Foundation Discussion Papers (2011) View citations (1) (2011)

2009

5. Semiparametric cointegrating rank selection
   Econometrics Journal, 2009, 12, (s1), S83-S104 View citations (18)
   See also Working Paper Semiparametric Cointegrating Rank Selection, Cowles Foundation Discussion Papers (2008) View citations (6) (2008)