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 and economics. Feel free to email me with your CV and self introduction.

To Undergraduates

Every year I receive multiple requests that volunteer research assistantship.

  • If you want to write original research papers, you should come up with your own ideas; I will be happy to discuss with you.
  • Otherwise, from time to time there may be data collection, coding, and translation (from English to Chinese) tasks. I will acknowledge your contributions but these jobs will not produce papers with you as a coauthor.

Publications with Advisees

  • 2022: #Ziwei Mei, Peter C.B. Phillips and Zhentao Shi, “The Boosted HP Filter Is More General Than You Might Think”

  • 2022: #Ziwei Mei and Zhentao Shi, “On LASSO for High Dimensional Predictive Regression”

  • 2022: #Ziwei Mei, Liugang Sheng and Zhentao Shi, “Hidden Nickell Bias in Panel Local Projection”

  • 2022: Zhentao Shi and #Jingyi Huang, “Forward-Selected Panel Data Approach for Program Evaluation,” Journal of Econometrics

  • 2022: Wei Lin, Zhentao Shi, #Yishu Wang and #Ting Hin Yan: “Unfolding Beijing in a Hedonic Way,” Computational Economics

  • 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


  • Ph.D.
    • Jingyi Huang (2018, Barclays Capital Asia Limited)
  • 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)
  • Undergraduate Research Assistants
    • Zhan Gao (CUHK Math, 2016–2018, M.Phil. program at CUHK)
    • Ka Yan Cheng (CUHK Econ, 2018–2019, M.Phil. program at CUHK)
    • Cheuk Hei Yip (CUHK Econ, 2018–2019, MSc program at London School of Economics and Political Science)