Mengheng is 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, Mengheng worked as an econometrician at the Economic Policy and Research Division, the Dutch Central Bank. Mengheng obtained his PhD in Econometrics from the Department of Econometrics, VU University Amsterdam and the Tinbergen Institute.

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Research interests: Time series econometrics

  • Dynamic time series models
  • Nonlinear non-Gaussian state space models
  • Empirical macroeconomics
  • Climate change


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. Journal of Applied Econometrics, DOI:https://doi.org/10.1002/jae.2831. OxMetrics Code

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

6. Bayesian analysis of unobserved components and identification via heteroskedasticity, with I. Mendieta-Muñoz. Studies in Nonlinear Dynamics and Econometrics. DOI:https://doi.org/10.1515/snde-2020-0027. OxMetrics Code

Working papers

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

2. US shocks and the uncovered interest rate parity, with B. Fu. R&R Journal of Applied Econometrics. Paper OxMetrics Code

Work in progress

1. Is dimensionality reduction a curse? Bayesian analysis of the mean-volatility dynamic factor model, with D. van Dijk.

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

3. Modelling hysteresis and time-to-build via structural correlated unobserved components models, with I. Mendieta-Muñoz.

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


  • 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
Sydney, Australia


Work phone:
+61(02) 9514 4375