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Cheng Hsiao

Professor of Economics

Contact Information
Phone: (213) 740-2103
Office: KAP 324G

Curriculum Vitae
Faculty Profile on Departmental Website


Ph.D. , Stanford University, 1/1972
M.S. , Stanford University

Description of Research

Summary Statement of Research Interests

Professor Cheng researches theoretical and applied econometrics.



hsiao, c. (2014). Analysis of Panel Data, third edition, Econometric Society monographs 54. Cambridge university press.
Hsiao, C. (2008). Preface to Japanese Translation of Analysis of Panel Data, 2nd ed.
Hsiao, C. (2008). Analysis of Panel Data (Japanese translation). Pacific East Economics Publishing House.
Hsiao, C. (2007). Preface to Chinese Translation of Econometric Models, Techniques and Applications, 2nd edition. China Social Sciences Publishing House.
Hsiao, C. (2003). analysis of panel data, second edition. Cambridege, UK: Cambridege University.
Hsiao, C., Intriligator, M., Bodkin, R. (1996). Econometric Models, Techniques and Applications. Beijing: China Social Sciences Publishing House.

Book Chapter

hsiao, c. (2015). random coefficients models in panels. Oxford handbook of panel data econometrics pp. 402-417. oxford university press.
hsiao, c. (2015). Challenges for Panel Financial Analysis. Econometrics of Risk pp. 3-15. Springer-Verlarg.
hsiao, c. (2014). Panel Macroeconometric models-a selected survey. pp. 205-239.
Hsiao, C. (2011). dynamic panel data models. handbook of empirical economics and finance pp. 373-396.
Hsiao, C., Pesaran, H. (2008). Random Coefficients Models. pp. 98-108. Norwell, MA: Kluwer Academic Press.
Hsiao, C., Dufour, J. (2008). Identification. 2nd edition The New Palgrave: A Dictionary of Economics.
Hsiao, C. (2008). Longitudinal Data Analysis. 2nd Edition The New Palgrave: A Dictionary of Economics.
Hsiao, C. (2008). Unit Root and Cointegration Regression. 2nd Edition The International Encyclopedia of the Social Sciences.
Hsiao, C. (2007). Economic Panel Data Methodology. Elsevier.
Hsiao, C. (2006). Mean Variance Portfolio Allocation. (Vol. NA). Encyclopedia of Finance/Kluwer Academic Publications (Kluwer).
Hsiao, C. (2006). Cowles Commission STructural Equation Approach in Light of Nonstationary Time Series Analysis. (Vol. 52). lecture notes and monograph: Institute for Mathematical Statistics.

Journal Article

sun, y., hsiao, c., li, q. (2015). volatility spill over effect: a semi-parametric analysis of non-cointegrated processes. econometrics review. Vol. 34, pp. 127-145.
liang, Z., lin, z., hsiao, c. (2015). local linear estimation of a nonparametric cointegrated models. econometrics review. Vol. 34, pp. 881-905.
Du, Z., Lin, Z., Hua, Y., hsiao, c. (2015). The macroeconomic effects of the Canada-US Free trade Agreement on Canada-a Counterfactual analysis. World Economy. Vol. 38, pp. 878-892.
hsiao, c. (2015). Testing purchasing power parity hypothesis-a semi-parametric varying coefficient approach. Empirical Economics. Vol. 48, pp. 427-438.
Fujiki, H., hsiao, c. (2015). Disentangling multiple treatment effects-measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake. journal of econometrics. Vol. 186, pp. 66-73.
hsiao, c., Zhang, J. (2015). IV, GMM or MLE to estimate dynamic panel data models. journal of econometrcs. Vol. 187, pp. 312-322.
hsiao, c., Shen, Y., Bian, W. (2015). Evaluating the effectiveness of China's Financial Reform on the effciency of domestic banking Sector. China Economic Review.
Green, C., Long, W., hsiao, c. (2015). testing error serial correlations in fixed effects nonparametric panel data models. Journal of Econometrics. Vol. 188, pp. 466-473.
hsiao, c., wan, s. (2014). Is there an optimal forecast combination. jornal of econometrics. Vol. 178, pp. 294-309.
gan, l., hsiao, c., xu, S. (2014). model specification test with correlated but not cointegrated variables. Journal of Econometrics. Vol. 178, pp. 80-85.
li, K., li, D., liang, z., hsiao, c. (2014). semi-parametric profile likelihood estimation of varying coefficient models with nonstationay regressors. econometrics review.
hsiao, c., zhou, q. (2014). statistical inference for panel dynamic simultaneous equations models. Journal of Econometrics.
wang, c., hsiao, c. (2013). the real time monitoring test for realized volatility. journal of time series econometrics. Vol. 5, pp. 1-24.
wang, c., bauwens, l., hsiao, c. (2013). forecasting long memory processes subject to structural breaks. Journal of Econometrics. Vol. 177, pp. 171-184.
Hsiao, C., Ching, H. S., Wan, S. (2012). A panel data approach for program evaluation-measuring the impact of political and economic interation of Hong Kong with Mainland China. Journal of Applied Econometrics.
Hsiao, C., Wang, L., chen, s. (2012). measurement errors and censored structural latent variable models. econometric theory. Vol. 28, pp. 696-703.
Hsiao, C. (2012). The creative tension between statistics and economics. Singapore Economic Review. Vol. 57
hsiao, c., Pesaran, M. H., Pick, A. (2012). diagnostic tests of cross-section independence for nonlinear panel data models. Oxford Bulletin of Economics and Statistics. Vol. 74, pp. 253-277.
Ching, H. S., hsiao, c., wan, S. (2012). Impact of CEPA on the labor market of Hong Kong. China Economic Review. Vol. 23, pp. 975-981.
bresson, g., Hsiao, C. (2011). a fuctional connectivity approach to model cross-sectional correlations. advances in statistical analysis. Vol. 95, pp. 501-529.
bresson, G., Hsiao, C., pirotte, a. (2011). assessing the contribution of R&D to total productivity-a bayesian approach to account for heterogeneity and heterocedasticity. advances in statistical analysis. Vol. 95, pp. 435-452.
Wang, L., Hsiao, C. (2011). A Simulation-Based Semi-parametric Estimation of Nonlinear Errors-in-Variables Models. journal of econometrics. Vol. 165, pp. 30-44.
Ching, S., Hsiao, C., Wan, S., Wang, T. (2011). Economic Benefits of Globalization-the Impact of entry to WTO on China's Growth. Pacific Economic Review. Vol. 16, pp. 285-301.
Sun, Y., Hsiao, C., Li, Q. (2011). Measurement of correlations of noncointegrated I(1) varaibles. jornal of econometrics.
campos, n., Hsiao, C., nugent, j. (2011). crises, what crises? new evidence on the relative roles of political and economic crises in begetting reforms. journal of development studies. Vol. 46, pp. 1670-1691.
Hsiao, C., pesaran, m. h., picks, a. (2010). diagnostic tests of cross-sectional independence for limited dependent variable panel data models. oxford bulletin of economics and statistics.
wang, s., Hsiao, C. (2010). the role of china in Asia monetary integration. Journal of chinese economy. Vol. 43, pp. 23-33.
Damronplasit, K., Hsiao, C., Zhao, X. (2010). Decriminalization and Mariajuana Smoking Prevalence: evidence from Australia. Journal of Business and Economic Statistics. Vol. 28, pp. 344-356.
Hsiao, C., wan, s. (2010). comparison of forecasting methods with an application to predicting excess equity premium. mathematics and computers in simulations.
Liu, E., Hsiao, C., Matsumoto, T., Chou, S. (2009). Maternal Full-Time Employment and Overweight Children: Parametric, Semiparametric and Non-parametric Assessment. Journal of econometrics. Vol. 152, pp. 61-69.
Hsiao, C., Damronplasit, K. (2009). Decriminalization Policy and Marijuana Smoking Prevalence: A Look at the Literature. Singapore Economic Review.
Hsiao, C., Nugent, J., Shen, Y. (2008). Foreign Direct Investment and the Importance of Institutions. India Macro Manual. pp. 39-58.
Fujiki, H., Hsiao, C. (2008). Aggregate and Household Demand for Money: Evidence from Public Opinion Survey on Household Financial Assets and Liabilities. Monetary and Economic Studies. Vol. 26, pp. 159-193.
Hsiao, C., Shen, Y., Wang, B., Weeks, G. (2008). Evaluating the Effectiveness of Repeated Job Search Services on the Prime Age Female Welfare Recipients. Journal of Econometrics. Vol. 145, pp. 98-108.
Hsiao, C., Tahmiscioglu, A. K. (2008). Estimation of Dynamic Panel Data Models with Both Individual and Time Specific Effects. Journal of Statistical Planning and Inference. Vol. 138, pp. 2698-2721.
Hsiao, C. (2007). Panel Data Analysis - Advantages and Challenges. TEST. Vol. 16, pp. 1-22.
Hsiao, C. (2007). Rojoinder on: Panel Data Analysis - Advantages and Challenges. TEST. Vol. 16, pp. 56-57.
Hsiao, C., Wang, S. (2007). Lag Order Augmented Two- and Three Stage Least Squares Estimators for an Integrated Structural Vector Autoregressive Model. Econometrics Journal. Vol. 10, pp. 49-81.
Hsiao, C., Shen, Y., Wang, B., Weeks, G. (2007). Evaluating the Impacts of Washington State Repeated Job Search Services on the Earnings of Prime-Age Female TANF Recipients. Journal of Applied Econometrics. Vol. 22, pp. 453-475.
Hsiao, C., Wang, L. (2007). Two-Stage Estimation of Limited Dependent Variable Models with Errors-in-Variables. Econometrics Journal. Vol. 10, pp. 426-438.
Hsiao, C., Li, Q., Racine, J. (2007). A Consistent Model Specification Test with Mixed Categorical and Continuous Data. Journal of Econometrics. Vol. 140, pp. 802-826.
Hsiao, C. (2007). Some Thoughts on East Asian Economic Growth. Monetary and Economic Studies. Vol. 25, pp. 160-166.
Hsiao, C. (2006). Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process. Journal of Econometrics/Elsevier. Vol. 135, pp. 427-463.
Cheng, H., Hsiao, C., Nugent, J. B., Qiu, J. (2006). Managerial Autonomy, Contractual Incentives and Productivity in a Transition Economy: Some Evidence from China's TVEs. Pacific Economic Review/Blackwell. Vol. 11, pp. 341-361.
Hsiao, C., Qi, J., Li, Q., Wang, Z. (2006). The Emerging Market Crisis and Stock Market Linkages: Further Evidence. Journal of Applied Econometrics. Vol. 21, pp. 727-744.
Hsiao, C. (2005). Efficient Estimation of Dynamic Panel Data Models - with an Application to the Analysis of Foreign Direct Investment. China Economic Journal. Vol. 1, pp. 11-25.
Hsiao, C. (2005). Aggregate vs. Disaggregate Data Analysis-A Paradox in the Estimation of Money Demand Function Under Low Interest Rate Policy. Journal of Applied Econometrics. Vol. 20, pp. 579-601.
Binder, M., Hsiao, C., Pesaran, M. H. (2005). Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration. Econometric theory. Vol. 21, pp. 795-837.
Hsiao, C. (2005). Why Panel Data?. Singapore Economic Review. Vol. 50.2, pp. 1-12.
Hsiao, C., wang, S. Y. (2005). Should China Let Her Exchange Rate Float? - the Experience of Developing Countries. Asia Pacific Journal of Accounting and Economics. Vol. 12, pp. 1-17.
Hsiao, C., Li, T. (2004). Robust Estimation of Generalized Linear Models with Measurement Errors. Journal of Econometrics/Elsevier. pp. p. 51-65.

Honors and Awards

Fellow (or Equivalent) of National Society in Discipline, Modelling and Simulation Society of Australia and New Zealand, 2009-  
Fellow (or Equivalent) of National Society in Discipline, Econometric Society, 12/1/1996-  
Fellow (or Equivalent) of National Society in Discipline, Academia Sinica, 1996-  
Fellow (or Equivalent) of National Society in Discipline, Journal of Econometrics, 1993-  
Journal of Econometrics Special Issue (188 (2)) in honor of Professor Cheng Hsiao: Hetrogeneity in Panel and Time Series Analysis, 2014-2015   
International panel data conference in honor of Cheng Hsiao, 2013-2014   
ET Interview: Professor Cheng Hsiao, Econometric Theory, 2012-2013   
international panel data conference in honor of Cheng Hsiao, 2012-2013   
Multa Scripts Award, Econometric Theory, 2012-2013   
2012 International Econometrics Conference in honor of Cheng Hsiao, May 26-27, 2012, Chengdu, China, 2011-2012   
The 2011 Dudley Sears Prize, Journal of Development SStudies, 2011-2012   
Recipient of National or International Prize in Discipline, Biennial Award, Modelling and Simulation Society of Australia and New Zealand, 2009-2010   
Invited session in honor of Cheng Hsiao, the 15th International conference on panel data, Bonn, July, 2009 , 2008-2009   

Service to the Profession

Editorships and Editorial Boards

International Advisory Board, Singapore Economic Review, 2009-  
advisory board, pacific economic review, 2008-  
Editor, Journal of Econometrics, 05/01/1991-12/31/2013  

Professional Offices

executive council, journal of econometrics, 2014-  
Board of Directors, China Research Institute for LAnd Economics,Taipei, 01/01/1980-  
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