Working Papers

”#” marks supervised postgraduate students

• “Transformed Estimation for Panel Interactive Effects Models,” with Cheng Hsiao and Qiankun Zhou, 2020, revised and resubmit at Journal of Business & Economic Statistics

• “Unfolding Beijing in a Hedonic Way,” with Wei Lin, #Yishu Wang and #Ting Hin Yan, 2020, revise and resubmit at Computational Economics [code]

• “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, submitted

• “A Structural Network Pairwise Regression Model with Unobservable Heterogeneity,” with Xi Chen, 2016

Publications

• 2021: Zhentao Shi and #Jingyi Huang
  • “Forward-Selected Panel Data Approach for Program Evaluation,” Journal of Econometrics
  • [arXiv: 1908.05894]
• 2021: Ji Hyung Lee, Zhentao Shi, and #Zhan Gao
  • “On LASSO for Predictive Regression,” Journal of Econometrics
  • [arXiv: 1810.03140] [slides] [code]
• 2021: Stephen L. Ross and Zhentao Shi
  • “Measuring Social Interaction Effects When Instruments Are Weak,” Journal of Business & Economic Statistics
• 2021: Peter Phillips and Zhentao Shi
  • “Boosting: Why You Can Use the HP Filter,” International Economic Review, 62(2), 521-570
  • [arXiv: 1905.00175] [slides] [MATLAB, Python and Julia code] [Shiny App]
• 2020: #Zhan Gao and Zhentao Shi
  • “Implementing Convex Optimization in R: Two Econometric Examples,” Computational Economics
  • [pre-print and code]
• 2018: Zhentao Shi and Huanhuan Zheng,
  • “Structural Estimation of Behavioral Heterogeneity”, Journal of Applied Econometrics, 33(5), 690-707
  • [arXiv:1802.03735] [code]
• 2016: Liangjun Su, Zhentao Shi and Peter Phillips
  • “Identifying Latent Structures in Panel Data,” Econometrica, 84(6), 2215-2264
  • [supplement] [code]
• 2016: Zhentao Shi
  • “Econometric Estimation with High-Dimensional Moment Equalities,” Journal of Econometrics, 195, 104-119
• 2016: Zhentao Shi
  • “Estimation of Sparse Structural Parameters with Many Endogenous Variables,” Econometric Reviews, 35(8-10): 1582-1608
• 2009: James Chu, Liping Lu and Zhentao Shi
  • “Pitfalls in Market Timing Test,” Economic Letters, 103(3), 123–126

In Chinese

• 2006: Zhentao Shi, Yuefei Zhang, and Yaogguang Chen
  • “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
• 2004: Zhentao Shi and Liuyong Yang
  • “An Analysis of Long-run Gold Price Determinants,” Journal of Statistical Research (统计研究), 6 (2), 21-24

book chapter

• 2021: #Ka Yan Cheng, Naijing Huang and Zhentao Shi
  • “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