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I am Mengheng Li, Lecturer (assistant professor) at Economics Discipline Group, University of Technology Sydney. Before working at UTS, I was a Research Analyst at the Economic Research and Policy Division, the Dutch Central Bank

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Research interests: Time series econometrics

  • Dynamic time series models
  • Nonlinear non-Gaussian state space models
  • Empirical macroeconomics
  • Bayesian econometrics

Publications

1. Long term forecasting of El Niño events via dynamic factor simulations, with S.J. Koopman, R. Lit, and D. Petrova. Journal of EconometricsDOI:https://doi.org/10.1016/j.jeconom.2019.05.004. OxMetrics Code

2. Forecasting economic time series using score-driven models with mixed-data sampling, with P. Gorgi and S.J. Koopman. International Journal of ForecastingDOI:https://doi.org/10.1016/j.ijforecast.2018.11.005. MATLAB Code

3. Unobserved components and stochastic volatility in U.S. Inflation: Estimation and signal extraction, with S.J. Koopman. Forthcoming at Journal of Applied Econometrics. OxMetrics Code

4. Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model, with M. Scharth. Journal of Business & Economic Statistics. DOI:https://doi.org/10.1080/07350015.2020.1806853. Julia Code

5. Are long-run output growth rates falling? with I. Mendieta-Muñoz.  MetroeconomicaDOI:https://doi.org/10.1111/meca.12275. Best Paper Award of the International Network for Economic Research (INFER) Annual Conference. OxMetrics Code

Working papers

1. Bayesian analysis of the mean-volatility dynamic factor model, with D. van Dijk

2. Look for the stars: Estimating the natural rate of interest, with I. Hindrayanto. R&R Macroeconomic Dynamics. Paper OxMetrics Code

3. The multivariate simultaneous unobserved components model and identification via heteroskedasticity, with I. Mendieta-Muñoz. R&R Studies in Nonlinear Dynamics and Econometrics.  Paper OxMetrics Code

4. U.S. shocks and the uncovered interest rate parity, with B. Fu. Paper OxMetrics Code

Work in progress

1. Univariate treatment of multivariate latent stationary processes when they are superimposed. MATLAB Code

2. A wage Phillip curve model with sectoral time variation.

3. The evolution of long-run interaction among rainfall, temperature and economic output in Australia via a time-varying structural unobserved components model.


Education:

  • 2013-2018 Ph.D. in Econometrics, VU University Amsterdam and Tinbergen Institute, the Netherlands; Ph.D. committee: prof.S.J. Koopman; prof.A. Lucas; prof.D.J.C. van Dijk; prof.S.J.G. van Wijnbergen; prof.C.G.H. Diks; prof.A. Harvey; dr.P. Gorgi; dr.H. Karabiyik
  • 2016 Visiting Ph.D., Discipline of Business Analytics, The University of Sydney, Australia
  • 2013-2015 M.Phil. in Economics (cum laude), University of Amsterdam and Tinbergen Institute, the Netherlands
  • 2010-2013 B.Sc. in Econometrics and Operations Research (cum laude), Tilburg University, the Netherlands

Contact

Address:
Economics Discipline Group
University of Technology Sydney
Room CB08.09.016, Building 8, Dr Chau Chak Wing Building
14 – 28 Ultimo Road, Ultimo,  NSW 2007
Sydney, Australia

Email:
Mengheng.Li[at]uts.edu.au

Work phone:
+61(02) 9514 4375