Working Papers
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“High Dimensional Forecast Combinations Under Latent Structures,” with Liangjun Su and Tian Xie, 2020, arXiv: 2010.09477, revised and resubmit at Review of Economics and Statistics [code]
- “Culling the Herd of Moments with Penalized Empirical Likelihood”, with Jinyuan Chang and Jia Zhang, 2021, arXiv:2108.03382, submitted
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“Unfolding Beijing in a Hedonic Way,” with Wei Lin, #Yishu Wang and #Ting Hin Yan, 2020, revise and resubmit at Computational Economics [code]
- “A Structural Network Pairwise Regression Model with Unobservable Heterogeneity,” with Xi Chen, 2016
”#” marks supervised postgraduate students
Publications
- Cheng Hsiao, Zhentao Shi and Qiankun Zhou (2022): “Transformed Estimation for Panel Interactive Effects Models,” Journal of Business & Economic Statistics
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Zhentao Shi and #Jingyi Huang (2021): “Forward-Selected Panel Data Approach for Program Evaluation,” Journal of Econometrics. [arXiv: 1908.05894] [
package] [supplement] -
Ji Hyung Lee, Zhentao Shi, and #Zhan Gao (2021): “On LASSO for Predictive Regression,” Journal of Econometrics. [arXiv: 1810.03140] [slides] [code]
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Stephen L. Ross and Zhentao Shi (2021): “Measuring Social Interaction Effects When Instruments Are Weak,” Journal of Business & Economic Statistics.
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Peter Phillips and Zhentao Shi (2021): “Boosting: Why You Can Use the HP Filter,” International Economic Review, 62(2), 521-570. [arXiv: 1905.00175] [slides] [
package] [MATLAB, Python and Julia code] [Shiny App] -
#Zhan Gao and Zhentao Shi (2020): “Implementing Convex Optimization in R: Two Econometric Examples,” Computational Economics. [pre-print and code]
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Zhentao Shi and Huanhuan Zheng (2018): “Structural Estimation of Behavioral Heterogeneity”, Journal of Applied Econometrics, 33(5), 690-707. [arXiv:1802.03735] [code]
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Liangjun Su, Zhentao Shi and Peter Phillips (2016): “Identifying Latent Structures in Panel Data,” Econometrica, 84(6), 2215-2264. [supplement] [
package] [code] -
Zhentao Shi (2016): “Econometric Estimation with High-Dimensional Moment Equalities,” Journal of Econometrics, 195, 104-119
- Zhentao Shi (2016): “Estimation of Sparse Structural Parameters with Many Endogenous Variables,” Econometric Reviews, 35(8-10): 1582-1608
Predoctoral publications
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James Chu, Liping Lu and Zhentao Shi (2009): “Pitfalls in Market Timing Test,” Economic Letters, 103(3), 123–126
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Zhentao Shi, Yuefei Zhang, and Yaogguang Chen (2006): [in Chinese] “A Comparative Research on the Efficiency of China Mainland and Hong Kong Stock Markets,” Journal of Financial Research (金融研究), 6, 33-40
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Zhentao Shi and Liuyong Yang (2004): [in Chinese] “An Analysis of Long-run Gold Price Determinants,” Journal of Statistical Research (统计研究), 6 (2), 21-24
book chapter
- #Ka Yan Cheng, Naijing Huang and Zhentao Shi (2021): “Survay-Based Forecasting: To Average or Not To Average,” in Vladik Kreinovich, Songsak Sriboonchitta, Woraphon Yamaka (eds.), Studies in Computational Intelligence: Behavioral Predictive Modeling in Economics, vol. 897, pp 87-104, Springer-Verlag