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Working Papers by Xu Cheng

Paper Number Author Title
20-019 Xu Cheng, Winston Wei Dou, Zhipeng Liao Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
15-017 Xu Cheng, Zhipeng Liao, Ruoyao Shi Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version
14-018 Xu Cheng Uniform Inference in Nonlinear Models with Mixed Identification Strength
13-061 Xu Cheng, Bruce Hansen Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version
13-062 Xu Cheng, Zhipeng Liao Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments, Second Version
12-045 Xu Cheng, Zhipeng Liao Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments
12-046 Xu Cheng, Bruce Hansen Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach
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