Papers by years

”#” marks supervised postgraduate students

Working papers

• “Does Noise Hurt Economic Forecasts?,” with Yuan Liao, Xinjie Ma, and Andreas Neuhierl, 2024. [arXiv:2312.05593]

• “Nickell Bias in Panel Local Projection,” with #Ziwei Mei and Liugang Sheng, 2024, R&R at Journal of International Economics. [code]

• “Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions,” with #Chengwang Liao and #Ziwei Mei, 2024. [arXiv:2410.09825] [code:py] [supplement]

• “Econometric Inference for High Dimensional Predictive Regressions,” with Zhan Gao, Ji Hyung Lee, and #Ziwei Mei, 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.

• “Estimating Large Covariance Matrices with Unobserved Clustering,” with Wenxin Huang, Yiru Wang and Baoning Zheng, 2024.

• “Estimation and Inference in Dyadic Network Formation Models with Nontransferable Utilities,” with Ming Li and #Yapeng Zheng, 2024. [arXiv:2410.23852]

• “L2-Relaxation for Economic Prediction,” with #Yishu Wang, 2024

• “Empirical Likelihood Approach for High Dimensional Moment Restrictions With Dependent Data,” with Jinyuan Chang, Qiao Hu, and Jia Zhang, 2024.

• [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

Publications

• Zhentao Shi, Liangjun Su and Tian Xie (2025): “L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis,” Review of Economics and Statistics, 1-44. [arXiv:2010.09477] [code1] [code2]

• Yue Qiu, Zhentao Shi, Yifan Wang and Tian Xie (2025): “Forecast Combination in Cryptocurrency Realized Volatility,” forthcoming in Economic Modelling

• #Ziwei Mei and Zhentao Shi (2024): “On LASSO for High Dimensional Predictive Regression,” Journal of Econometrics, 242(2), 105809. [arXiv:2212.07052] [code]

• #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. Open access. [arXiv:2209.09810] [code]

• Jinyuan Chang, Zhentao Shi and Jia Zhang (2023): “Culling the Herd of Moments with Penalized Empirical Likelihood,” Journal of Business & Economic Statistics, 41(3), 791-805. [arXiv:2108.03382]

• Zhentao Shi and #Jingyi Huang (2023): “Forward-Selected Panel Data Approach for Program Evaluation,” Journal of Econometrics, 234(2), 512-535. [arXiv: 1908.05894] [R package] [supplement]

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

• Ji Hyung Lee, Zhentao Shi, and #Zhan Gao (2022): “On LASSO for Predictive Regression,” Journal of Econometrics, 229(2), 322-340. [arXiv: 1810.03140] [slides] [code]

• 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.

• Peter C.B. Phillips and Zhentao Shi (2021): “Boosting: Why You Can Use the HP Filter,” International Economic Review, 62(2), 521-570. [arXiv: 1905.00175] [slides] [Stata, Python, MATLAB, and Julia code] [Shiny App] [R package] [vignette] [中文]

• #Ka Yan Cheng, Naijing Huang and Zhentao Shi (2021): “Survey-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.

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

• Zhentao Shi and Huanhuan Zheng (2018): “Structural Estimation of Behavioral Heterogeneity,” Journal of Applied Econometrics, 33(5), 690-707. [arXiv:1802.03735] [code]

• Liangjun Su, Zhentao Shi and Peter C.B. Phillips (2016): “Identifying Latent Structures in Panel Data,” Econometrica, 84(6), 2215-2264. [supplement] [R 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.

• James Chu, Liping Lu and Zhentao Shi (2009): “Pitfalls in Market Timing Test,” Economic Letters, 103(3), 123–126.

• 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.