Papers by topics

Machine learning theory

“Does Noise Hurt Economic Forecasts?,” with Yuan Liao, Xinjie Ma, and Andreas Neuhierl, 2023.
Zhentao Shi, Liangjun Su and Tian Xie (2025): “L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis,” Review of Economics and Statistics.
Zhentao Shi and #Jingyi Huang (2023): “Forward-Selected Panel Data Approach for Program Evaluation,” Journal of Econometrics, 234, 512-535.
Liangjun Su, Zhentao Shi and Peter Phillips (2016): “Identifying Latent Structures in Panel Data,” Econometrica, 84(6), 2215-2264.
“Estimating Large Covariance Matrices with Unobserved Clustering,” with Wenxin Huang, Yiru Wang and Baoning Zheng, 2024.
“L2-Relaxation for Economic Prediction,” with #Yishu Wang, 2024

“Estimation and Inference in Dyadic Network Formation Models with Nontransferable Utilities,” with Ming Li and #Yapeng Zheng, 2024.
Jinyuan Chang, Zhentao Shi and Jia Zhang (2022): “Culling the Herd of Moments with Penalized Empirical Likelihood,” Journal of Business & Economic Statistics, 41, 791-805.
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.

“Empirical Likelihood Approach for High Dimensional Moment Restrictions With Dependent Data”, with Jinyuan Chang, Qiao Hu, and Jia Zhang, 2024.
#Ziwei Mei and Zhentao Shi (2024): “On LASSO for High Dimensional Predictive Regression,” Journal of Econometrics, 242(2), 105809.
“Econometric Inference for High Dimensional Predictive Regressions,” with Zhan Gao, Ji Hyung Lee, and #Ziwei Mei, 2024.
Ji Hyung Lee, Zhentao Shi and #Zhan Gao (2022): “On LASSO for Predictive Regression,” Journal of Econometrics, 229(2), 322-340.
Peter C.B. Phillips and Zhentao Shi (2021): “Boosting: Why You Can Use the HP Filter,” International Economic Review, 62(2), 521-570.
#Ziwei Mei, Peter C.B. Phillips and Zhentao Shi (2024): “The Boosted HP Filter Is More General Than You Might Think,” Journal of Applied Econometrics, 39(7), 1260-1281.

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

General econometric theory

“Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions,” with #Chengwang Liao and #Ziwei Mei, 2024.
“Nickell Bias in Panel Local Projection,” with #Ziwei Mei and Liugang Sheng, 2024.
Cheng Hsiao, Zhentao Shi and Qiankun Zhou (2022): “Transformed Estimation for Panel Interactive Effects Models,” Journal of Business & Economic Statistics, 40(4), 1831-1848.
Stephen L. Ross and Zhentao Shi (2022): “Measuring Social Interaction Effects When Instruments Are Weak,” Journal of Business & Economic Statistics, 40(3), 995-1006.
Zhentao Shi and Huanhuan Zheng (2018): “Structural Estimation of Behavioral Heterogeneity,” Journal of Applied Econometrics, 33(5), 690-707.
James Chu, Liping Lu and Zhentao Shi (2009): “Pitfalls in Market Timing Test,” Economic Letters, 103(3), 123–126.

[in Chinese] “Application of Multi-Modal Artificial Intelligence Model in Policy Impact and Prediction of Housing Prices: A Case Study of Shenzhen’s Second-Hand Housing Market,” with Yue Qiu, #Yishu Wang, and Tian Xie, 2024
“Unveiling Dynamics in Climate Disaster Information Dissemination: A Variance Decomposition Network Approach,” with Sebastien Box-Couillard, Yichun Fan, Yi Huang, Yilan Xu, and Siqi Zheng, 2024
“Team Persistent or Team Transitory? Sectoral Linkage and Inflation Persistence,” with Liugang Sheng and Steve Pak Yeung Wu, 2024
Yue Qiu, Zhentao Shi, Yifan Wang and Tian Xie (2024): “Forecast Combination in Cryptocurrency Realized Volatility,” forthcoming in Economic Modelling

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

Yuefei Zhang, Zhentao Shi, 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.
Liuyong Yang and Zhentao Shi (2004): [in Chinese] “An Analysis of Long-run Gold Price Determinants,” Journal of Statistical Research (统计研究), 6 (2), 21-24.