I am Mengheng Li, Senior Lecturer at Economics Discipline Group, University of Technology Sydney. I am also a research associate at Centre for Applied Macroeconomic Analysis, Australian National Univeristy. 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


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 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