”#” marks supervisees
Zhan Gao, Ji Hyung Lee, #Ziwei Mei, and Zhentao Shi (2026): “Econometric Inference for High Dimensional Predictive Regressions,” Journal of Econometrics, Volume 255, May, 106240. [arXiv:2409.10030]
#Ziwei Mei, Liugang Sheng and Zhentao Shi (2026): “Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think,” Journal of International Economics, 104210. [arXiv:2302.13455] [replication] [Stata] [R package]
Zhentao Shi, Liangjun Su and Tian Xie (2025): “L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis,” Review of Economics and Statistics, 107(2): 523-538. [arXiv:2010.09477] [code1] [code2] [3rd-party:py:mlsynth]
Yue Qiu, Shaoguang Qu, Zhentao Shi, and Tian Xie (2025): “Forecast Combination in Cryptocurrency Realized Volatility,” Economic Modelling, 144, 106986
邱越, 史震涛, #王一澍, 谢天 (2025): “多模态人工智能模型在房价政策影响与预测中的应用-以深圳二手房市场为例”, 系统科学与数学. [ResearchGate]
#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]
Zhentao Shi and #Jingyi Huang (2023): “Forward-Selected Panel Data Approach for Program Evaluation,” Journal of Econometrics, 234, 512-535. [arXiv: 1908.05894] [supplement] [3rd-party:py:mlsynth] [R package]
Jinyuan Chang, Zhentao Shi and Jia Zhang (2023): “Culling the Herd of Moments with Penalized Empirical Likelihood,” Journal of Business and Economic Statistics, 41, 791-805. [arXiv:2108.03382]
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 and Economic Statistics, 40(4), 1831-1848.
Stephen L. Ross and Zhentao Shi (2022): “Measuring Social Interaction Effects When Instruments Are Weak,” Journal of Business and 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]
#Zhan Gao and Zhentao Shi (2021): “Implementing Convex Optimization in R: Two Econometric Examples,” Computational Economics, 58, 1127-1135. [pre-print and code]
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.
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 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.
张月飞， 史震涛， 陈耀光 (2006): “香港与大陆股市有效性比较研究,” 金融研究, 6, 33-40.
杨柳勇，史震涛 (2004): “黄金价格的长期决定因素分析,” 统计研究, 6 (2), 21-24.