Email: xucheng AT
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


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