Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
(with Donald Andrews & Patrik Guggenberger )
Journal of Econometrics, accepted

On Uniform Asymptotic Risk of Averaging GMM Estimator
(with Zhipeng Liao & Ruoyao Shi)
Quantitative Economics, forthcoming

Comment on ‘In-sample Inference and Forecasting in Misspecified Factor Models’ by Carraso and Rossi
(with Bruce Hansen),
Journal of Business and Economic Statistics, 2016, 34(3), 345-347

Shrinkage Estimation of High-Dimensional Factor Models with Structural  Instabilities
(with Zhipeng Liao & Frank Schorfheide)
The Review of Economic Studies, 2016, 83(4), 1511-1543.
Data and Matlab Programs

Robust Inference in Nonlinear Models with Mixed Identification Strength
Journal of Econometrics, 2015, 189(1), 207-228.

Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach
(with Bruce Hansen)
Journal of Econometrics, 2015, 186(2), 280-293.

Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with  Many Moments
(with Zhipeng Liao)
Journal of Econometrics, 2015, 186(2), 443-464.
Supplement to Cheng and Liao  (2015)

GMM Estimation and Uniform Subverter Inference with Possible Identification  Failure
(with Donald Andrews)
Econometric Theory, 2014, 30(2), 287-333.
Supplement to Andrews and Cheng (2014)

Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure
(with Donald Andrews)
Journal of Econometrics, 2013, 173(1), 36-56.
Supplement to Andrews and Cheng (2013)

Estimation and Inference with Weak, Semi-strong, and Strong Identification
Econometrica, 2012, 80(5), 2153-2211.
(with Donald Andrews)
Supplement to Andrews and Cheng (2012)

Cointegrating Rank Selection in Models with Time-Varying Variance
Journal of Econometrics, 2012, 169(2), 155-165. (with Peter Phillips)

Semiparametric Cointegrating Rank Selection
(with Peter Phillips)
The Econometrics Journal, 2009, 12(1), 83-104.


Working Papers:

“Clustering for Multi-dimensional Heterogeneity with Application to Production Function Estimation”
(with Peng Shao and Frank Schorfheide)

“Conditional Inference for GMM Model Specification with Applications to Asset Pricing Models”
(with Winston Dou and Zhipeng Liao)

Identification Robust Inference for Risk Prices in Structural Stochastic Volatility Models
(with Eric Renault and Paul Sangrey)

Instrumental Variable Estimation of Structural VAR Models with Possible Non-stationarity
(with Xu Han and Atsushi Inoue)