I am a senior lecturer at the Economics Discipline Group, UTS Business School and a research associate at the Centre for Applied Macroeconomic Analysis, ANU. Prior to joining UTS, I worked as an econometrician at the Economic Policy and Research Division, the Dutch Central Bank. I obtained PhD in Econometrics from the Department of Econometrics, VU University Amsterdam and the Tinbergen Institute.
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Research interests: Time series econometrics
- Nonlinear non-Gaussian state space models (esitmation and forecasting methodologies)
- Empirical macroeconomics (output gap; inflation dynamics; economic volatility)
- Climate change (economic costs of climate change; econometrics of energy balance)
- M. Li and M. Scharth (2022). Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. Journal of Business & Economic Statistics 40(1), 285-301.
- M. Li and S.J. Koopman (2021). Unobserved components with stochastic volatility in U.S. inflation: Estimation and signal extraction. Journal of Applied Econometrics 36(5), 614-627.
- M. Li and I. Mendieta-Mu˜noz (2021). Bayesian analysis of unobserved components and identification via heteroskedasticity. Studies in Nonlinear Dynamics & Econometrics 26(3), 337-359.
- M. Li and I. Mendieta-Mu˜noz (2020). Are long-run output growth rates falling. Metroeconomica 71(1), 204-234.
- M. Li, R. Lit, S.J. Koopman and D. Petrova (2020). Long-term forecasting of El Nino events using dynamic factor simulations. Journal of Econometrics 214(1), 46-66.
- P. Gorgi, S.J.Koopman and M. Li (2019). Forecasting economic time series using score-driven models with mixed-data sampling. International Journal of Forecasting 35(4), 1735-1747.
- B. Fu, M. Li, and Q. Haque. U.S. shocks and the uncovered interest rate parity. Centre for Applied Macroeconomic Analysis Working Paper: 2020-87.
- M. Li and I. Hindrayanto. Looking for the stars: Estimating the natural rate of interest. UTS Business School EDG Working Paper: 2018-51.
Work in progress
- Does the Fed say it all? Textual analysis of public communications and private discussions
- Univariate treatment of multivariate latent stationary processes when they are superimposed
- Dynamically scaled autoregressive models: Estimation and forecasting
- The evolution of long-run interaction among rainfall, temperature and economic output in Australia
- Modelling hysteresis and time-to-build via structural correlated unobserved components models
Grants and awards
- 2022 UTS Business School Research Grant ($9,951AUD)
Project title: Economic implications of climatic heat wave
- 2019 Best Paper Award of the INFER Annual Conference ($2,000USD)
Paper title: Are long-run output growth rates falling
- 2017 Travel grant of the 10th Annual SoFiE Conference ($500USD)
- 2016 Student Travel Award of 2016 Chicago JSM Conference ($800USD)
- 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
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
+61(02) 9514 4375