I am Mengheng Li, a PhD candidate in econometrics at the Department of Econometrics, VU university Amsterdam. I am also a Research Analyst at the Department of Econometrics and Models, De Nederlandsche Bank (DNB, the Dutch Central Bank). I have worked as a visiting PhD at the Discipline of Business Analytics, USYD Business School for 6 months. I am on the 2018 job market, and will be available for interviews at the AEA/ASSA annual meeting and AFA annual meeting in Philadelphia in January, 2018.
Key words: MCMC; Sequential Monte Carlo; Particle filter; Particle Gibbs; Metropolis-Hastings algorithm; Efficient importance sampling; Time-varying covariance matrix
Research interests: Business and Economics Analytics
- dynamic time series models
- nonlinear non-Gaussian state space models
- empirical macroeconomics
- financial econometrics
- (Bayesian) high-dimensional time series models
Teaching interests: Quantitative Methods
- econometrics (time series preferred)
- empirical/applied macroeconomics
- quantitative finance
- probability theory and statistics
- cum laude graduate (M.Phil. in Economics) from Tinbergen Institute and University of Amsterdam.
- Honours degree from CentER, Tilburg University.
- cum laude graduate (Bsc. in Econometrics and Operations Research) from Tilburg University.
- Prof. Siem Jan Koopman (referee, Ph.D. supervisor and coauthor, VU U Amsterdam, Tinbergen I, Aarhus U)
- Dr. Marcel Scharth (referee, coauthor, U Sydney B School)
- Dr. Irma Hindrayanto (referee, colleague and coauthor, DNB & ECB)
- Dr. Gabriele Galati (colleague and coauthor, DNB & BIS)
- Dr. Ivan Mendieta-Muñoz (coauthor, U Utah)
- Dr. Paolo Gorgi (coauthor, VU U Amsterdam)
- Dr. Rutger Lit (coauthor, VU U Amsterdam)
- Dr. Desislava Petrova (coauthor, Catalan I Climate Sciences)
- Prof. E.J. Bartelsman (placement officer, VU U Amsterdam, Tinbergen I)