Faculty & Research


Zheng Xu

Department of:  Finance


Phone:  +86 (0)21 52301135

Email:  xzheng@sjtu.edu.cn




Xu Zheng received his Ph.D. in economics from Princeton University in 1992. In the same year he was appointed as an assistant professor with university of Texas at Austin and later became a fund manager with a well-known wall street firm. He is now an associate professor of economics with Shanghai Jiao Tong University. He has published in top econometrics journals, such as Journal of Econometrics, Econometric Theory, Advances in Econometrics. He has been referees for many top economics journals and has presented his work in many international conferences.


“Asymptotically distribution-free tests for the volatility function of a diffusion”, Journal of Econometrics, forthcoming (with Qiang Chen and  Zhiyuan Pan)“Testing Asymmetric Correlations in Stock Returns via Empirical Likelihood Method,”China Finance Review International, 4, 42-57 (2014)   (with Zhiyuan Pan   and Qiang Chen)                                                                                                                                                                                                                            “Testing Parametric Conditional Distributions Using the Nonparametric Smoothing Method" Metrika,75,455-469 (2012)
“Testing Heteroskedasticity in Nonlinear and Nonparametric Regressions,”  Canadian Journal of Statistics,37,282-300 (2009)
“Testing for Discrete Choice Models,” Economics Letters, 98, 176-184 (2008)
“A Consistent Test of Conditional Parametric Distributions,” Econometric Theory, 16, 667-691 (2000)
“Specification Testing and Nonparametric Estimation of the Human Capital Model,” in T. B. Fomby and R. C. Hill, eds., Advances in Econometrics: Applying Kernel and Nonparametric Estimation to Economic Topics, Volume 14, JAI Press (1999).
“Consistent Specification Testing for Conditional Symmetry,” Econometric Theory, 14, 139-149 (1998).
“A Consistent Nonparametric Test of Parametric Regression Models under Conditional Quantile Restrictions,” Econometric Theory, 14, 123-138 (1998).
“A Consistent Specification Test of Independence,” Journal of Nonparametric Statistics, 7, 297-306 (1997).
“A Strong Law of Large Numbers: Solution,” Econometric Theory, 12, 210-212 (1996).
“A Consistent Test of Functional Form via Nonparametric Estimation Techniques,” Journal of Econometrics, 75, 263-289 (1996).
“Semiparametric Efficiency Bounds for the Binary Choice and Sample Selection Models under Symmetry,” Economic Letters, 47, 249-253 (1995).
“Deriving Restricted Least Squares Estimator without a Lagrangean: Solution,” Econometric Theory, 10, 447-448 (1994).
“Efficiency as Correlation: Solution,” Econometric Theory, 10, 228 (1994).

Advanced Applied Econometrics (graduate)