Working Papers by Xu Cheng

Paper Number	Author	Title
23-010	Xu Cheng, Alejandro Sanchez-Becerra, Andrew Shephard	How to Weight in Moments Matching: A New Approach and Applications to Earnings Dynamics
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