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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.

Download my CV. 

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)

Publications

  1. 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.
  2. 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.
  3. 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.
  4. M. Li and I. Mendieta-Mu˜noz (2020). Are long-run output growth rates falling. Metroeconomica 71(1), 204-234.
  5. 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.
  6. 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.

Working papers

  1. 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.
  2. 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

  1. Does the Fed say it all? Textual analysis of public communications and private discussions
  2. Univariate treatment of multivariate latent stationary processes when they are superimposed
  3. Dynamically scaled autoregressive models: Estimation and forecasting
  4. The evolution of long-run interaction among rainfall, temperature and economic output in Australia
  5. Modelling hysteresis and time-to-build via structural correlated unobserved components models

Grants and awards

  1. 2022 UTS Business School Research Grant ($9,951AUD)
    Project title: Economic implications of climatic heat wave
  2. 2019 Best Paper Award of the INFER Annual Conference ($2,000USD)
    Paper title: Are long-run output growth rates falling
  3. 2017 Travel grant of the 10th Annual SoFiE Conference ($500USD)
  4. 2016 Student Travel Award of 2016 Chicago JSM Conference ($800USD)

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