Supervision

To Prospective Postgraduate Students

I welcome students interested in econometric theory to pursue Ph.D. or M.Phil. I expect students to be well prepared in mathematics, statistics, economics, and programming (Python, R, or Matlab). Feel free to email me with your CV and self introduction.

To Prospective Research Assistants

Every year I receive multiple requests, mostly from undergraduates, volunteering research assistantship.

• If you want to write original research papers, you should come up with your own research questions; I will be happy to discuss with you.
• Otherwise, there may be data collection and coding tasks. Your contributions will be acknowledged but these jobs will not yield coauthorship.

Genealogy

• My mathematics genealogy

Supervisees

• Ph.D.
  • Jingyi Huang (2018, Barclays Capital Asia Limited)
  • Wang Yishu (in progress)
  • Ziwei Mei (in progress)
  • Chengwang Liao (in progress)
  • Yapeng Zheng (in progress)
• M.Phil.
  • Hongqi Chen (2017, Ph.D. program at University of Illinois Urbana Champaign)
  • Zhan Gao (2018, Ph.D. program at University of Southern California)
  • Jinan Lin (2018, Ph.D. program at University of California Irvine)
  • Yang Chen (2019, Ph.D. program at CUHK)
  • Ka Yan Cheng (2021, Ph.D. program at Emory University)
• Full-time Research Assistants
  • Shu Shen (2022–2024, Ph.D. program at CUHK)
  • Ji Pan (in progress)
• Part-time Research Assistants
  • Zhan Gao (CUHK Mathematics, 2016–2018, M.Phil. program at CUHK)
  • Ka Yan Cheng (CUHK Economics, 2018–2019, M.Phil. program at CUHK)
  • Cheuk Hei Yip (CUHK Economics, 2018–2019, MSc program at LSE)
  • Qiyu Dai (CUHK Statistics, 2021-2023, M.Phil. program at CUHK)
• Visiting Ph.D. students
  • Puyi Fang (2023, Zhejiang University)

Papers with Supervisees

• 2023: #Ziwei Mei, Peter C.B. Phillips and Zhentao Shi, “The Boosted HP Filter Is More General Than You Might Think”

• 2023: #Ziwei Mei and Zhentao Shi, “On LASSO for High Dimensional Predictive Regression”

• 2023: #Ziwei Mei, Liugang Sheng and Zhentao Shi, “Hidden Nickell Bias in Panel Local Projection”

• 2023: Zhentao Shi and #Jingyi Huang, “Forward-Selected Panel Data Approach for Program Evaluation,” Journal of Econometrics, 234, 512-535.

• 2023: Wei Lin, Zhentao Shi, #Yishu Wang and #Ting Hin Yan: “Unfolding Beijing in a Hedonic Way,” Computational Economics, 61, 317-340.

• 2022: Ji Hyung Lee, Zhentao Shi, and #Zhan Gao: “On LASSO for Predictive Regression” Journal of Econometrics, 229(2), 322-340

• 2021: #Zhan Gao and Zhentao Shi: “Implementing Convex Optimization in R: Two Econometric Examples,” Computational Economics, 58, 1127-1135

• 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