Details about Zhipeng Liao

Access statistics for papers by Zhipeng Liao.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pli1071

Working Papers

2015

1. Sieve Semiparametric Two-Step GMM under Weak Dependence
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (31)
   See also Journal Article Sieve semiparametric two-step GMM under weak dependence, Journal of Econometrics, Elsevier (2015) View citations (32) (2015)
2. Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (5)

2014

3. 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)

2013

4. 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

5. Asymptotic Efficiency of Semiparametric Two-step GMM
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (1)
   See also Journal Article Asymptotic Efficiency of Semiparametric Two-step GMM, The Review of Economic Studies, Review of Economic Studies Ltd (2014) View citations (33) (2014)
6. Automated Estimation of Vector Error Correction Models
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   See also Journal Article AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS, Econometric Theory, Cambridge University Press (2015) View citations (32) (2015)
7. 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)
8. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
9. Sieve Inference on Semi-nonparametric Time Series Models
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (8)

Journal Articles

2023

1. Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
   Stata Journal, 2023, 23, (1), 243-264 View citations (1)

2015

2. AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
   Econometric Theory, 2015, 31, (3), 581-646 View citations (32)
   See also Working Paper Automated Estimation of Vector Error Correction Models, Cowles Foundation Discussion Papers (2012) View citations (2) (2012)
3. Select the valid and relevant moments: An information-based LASSO for GMM with many moments
   Journal of Econometrics, 2015, 186, (2), 443-464 View citations (44)
4. Sieve semiparametric two-step GMM under weak dependence
   Journal of Econometrics, 2015, 189, (1), 163-186 View citations (32)
   See also Working Paper Sieve Semiparametric Two-Step GMM under Weak Dependence, Cowles Foundation Discussion Papers (2015) View citations (31) (2015)

2014

5. Asymptotic Efficiency of Semiparametric Two-step GMM
   The Review of Economic Studies, 2014, 81, (3), 919-943 View citations (33)
   See also Working Paper Asymptotic Efficiency of Semiparametric Two-step GMM, Cowles Foundation Discussion Papers (2012) View citations (6) (2012)
6. Sieve M inference on irregular parameters
   Journal of Econometrics, 2014, 182, (1), 70-86 View citations (17)
7. Sieve inference on possibly misspecified semi-nonparametric time series models
   Journal of Econometrics, 2014, 178, (P3), 639-658 View citations (44)

2013

8. ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION
   Econometric Theory, 2013, 29, (5), 857-904 View citations (42)