CURRICULUM VITAE (pdf)

Email: xucheng AT upenn.edu
Office: Office 620, Perelman Center for Political Science and Economics (PCPSE),
133 S. 36th, Philadelphia, PA, 19104

2024 NBER-NSF Time Series Conference at Penn

Working Papers

“How to Weight in Moments Matching: A New Approach and Applications to Earnings Dynamics”
(with Alejandro Sanchez-Becerra and Andrew Shephard).
This version: June, 2023
Revise and Resubmit, The Review of Economic Studies

“Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation”
(with Peng Shao and Frank Schorfheide).
This version: September, 2023
Revise and Resubmit, Quantitative Economics

Publications:

“Identifying the Volatility Risk Price Through the Leverage Effect”
Supplemental Appendix
(with Eric Renault and Paul Sangrey).
This version: April, 2024
–Journal of Econometrics, accepted

“Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models”
Supplemental Appendix
Additional Materials
(with Winston Dou and Zhipeng Liao).
–Econometrica , (2022), 90(2), 685–713

“Instrumental Variable Estimation of Structural VAR Models with Possible Non-stationarity”
(with Xu Han and Atsushi Inoue)
–Econometric Theory, (2022), 38(5), 845-874.

“Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests”
(with Donald Andrews & Patrik Guggenberger )
–Journal of Econometrics, (2020), 218(2), 496-531

“On Uniform Asymptotic Risk of Averaging GMM Estimator”
(with Zhipeng Liao & Ruoyao Shi)
–Quantitative Economics, (2019), 931–979

“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

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

“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); Correction

“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.d