Peng Wang

Academic qualification

• Ph.D. 2009 Economics, New York University
• M.A. 2007 Economics, New York University
• B.A. 2001 Economics, Wuhan University
• B.S. 2002 Mathematics, Wuhan University

Companies

• Associate Professor HKUST Business School (2015)
• Assistant Professor HKUST Business School (2009 — 2015)

Research

Publication

• Identification and Bayesian Estimation of Dynamic Factor Models. Jushan Bai and Peng Wang. Accepted by Journal of Business and Economic Statistics, 33(2): 221-240, 2015.
• Identification Theory for High Dimensional Static and Dynamic Factor Models. Jushan Bai and Peng Wang. Journal of Econometrics, 178(2): 794-804, 2014.
• The Impact of Income on Democracy Revisited. Yi Che, Yi Lu, Zhigang Tao, and Peng Wang. Journal of Comparative Economics, 41(1): 159-169, 2013.
• Residual-Based IV Estimation of Dynamic Panel Data Models with Fixed Effects. Meijin Wang, Peng Wang, and Zhuangxiong Yu. Statistica Neerlandica, 67(2): 121-144, 2013.
• Conditional Markov Chain and its Application in Economic Time Series Analysis. Jushan Bai and Peng Wang. Journal of Applied Econometrics, 26 (5): 715-734, 2011. (Lead article)
• A Generalized Nonlinear IV Unit Root Test for Panel Data with Cross-Sectional Dependence. Shaoping Wang, Peng Wang, Jisheng Yang, and Zinai Li. Journal of Econometrics, 157(1): 101-109, 2010.
• The Empirics of Inflation in China. Gregory Chow and Peng Wang. Economic Letters, 109: 28-30, 2010.

Working Papers

• Large Dimensional Factor Models with a Multi-Level Factor Structure. (Revise and Resubmit at Journal of Econometrics)
• Econometric Analysis of Large Factor Models. With Jushan Bai (Submitted)
• Structural Breaks in Panel Data Models: A Common Distribution Approach. With Wei Liao. (Submitted)
• Estimating the Long-Run Risk: A Panel Data Approach. (Submitted)
• Determinants of World Business Cycles: An Insight from the Dynamic Factor Analysis. With Charles Leung.
• Probabilistic Properties of Conditional Markov Chain Models. With Jushan Bai.

Work in Progress

• Frequency Domain Factor Analysis of Business Cycles. With David Backus and Tom Sargent.
• Automated Estimation of Dynamic Panel Data Models with Interactive Fixed Effects. With Liangjun Su.
• Drifts and Volatilities: New Evidence From Bayesian Model Comparison. With Jun Yu.
• Likelihood Approach to a Class of Weak Instruments Problem. With Jushan Bai.
• Estimating Factor-Augmented DSGE Models Using Principal Components. With Yu-wei Hsieh and Taisuke Nakata.