I am a Research Fellow at the Institute of Economics, Academia Sinica. My main research interests are econometric theory and applied econometrics with a focus on model averaging, forecast combination, and monotonicity testing.

Working Papers:

Testing for Monotone Equilibrium Strategies in Games of Incomplete Information, 

with Yu-Chin Hsu, Tong Li, and Hidenori Takahashi  [PDF] 

Corrected Forecast Combinations, 

with Andrey Vasnev  [PDF]

​Lee Bounds with a Continuous Treatment in Sample Selection, 

with Ying-Ying Lee  [PDF]  [Replication Files]

Model Selection and Model Averaging in Nonparametric Instrumental Variables Models, 

with Jing Tao  [PDF]

Publications:

Autoregressive Spectral Averaging Estimator, with Biing-Shen Kuo and Wen-Jen Tsay, 

Academia Economic Papers, forthcoming. [PDF]

Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment with High-Dimensional Data, 

with Yu-Chin Hsu, Martin Huber, and Ying-Ying Lee, 

The Review of Economics and Statistics, 108(3), 792–806, 2026. [PDF]

Bregman Model Averaging for Forecast Combination, with Yi-Ting Chen and Jiun-Hua Su, 

Journal of Econometrics, 251, 106076, 2025. [PDF]

Model Averaging Prediction for Possibly Nonstationary Autoregressions, with Tzu-Chi Lin, 

Journal of Econometrics, 249, Part B, 105994, 2025. [PDF]

​

A Unified Approach to Focused Information Criterion and Plug-In Averaging Method, with Xinyu Zhang, 

Statistica Sinica​, 34(2), 771–792​, 2024. [PDF] ​

Model Averaging for Asymptotically Optimal Combined Forecasts, with Yi-Ting Chen, 

Journal of Econometrics, 235(2), 592–607, 2023. [PDF]

Model Averaging Prediction by K-Fold Cross-Validation, with Xinyu Zhang, 

Journal of Econometrics, 235(1), 280–301, 2023. [PDF]

Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure, 

with Shou-Yung Yin and Chang-Ching Lin, 

Journal of Business & Economic Statistics, 39(1), 54–68, 2021. [PDF]

Testing Generalized Regression Monotonicity, with Yu-Chin Hsu​ and Xiaoxia Shi, 

Econometric Theory, 35(6), 1146–1200, 2019. [PDF]

Inference after Model Averaging in Linear Regression Models, with Xinyu Zhang, 

Econometric Theory, 35(4), 816–841, 2019. [PDF]

​Averaging Estimators for Kernel Regressions, 

Economics Letters, 171, 102–105, 2018. [PDF]  

​Model Averaging in Predictive Regressions, with Biing-Shen Kuo, 

Econometrics Journal, 19(2), 203–231, 2016. [PDF]  [Replication Files]

Distribution Theory of the Least Squares Averaging Estimator, 

Journal of Econometrics, 186(1), 142–159, 2015. [PDF]  [Replication Files]

Contact Information

Institute of Economics  

Academia Sinica

128 Academia Road, Section 2,

Nankang, Taipei 115, Taiwan

Office: C307

Phone: +886-2-27822791 ext. 310

Email: caliu at econ.sinica.edu.tw