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.

Full-time Research Assistants

Full-time RAs are CUHK employees. They are financially supported by research grants (>= 20,000 HKD per month). At this time, all available positions are filled.

Declaration: I have never authorized any third-party social media accounts to advertise RA recruitment.

Part-Time Research Assistants

Part-time RAs are unpaid, in principle. Every year I receive multiple requests, mostly from CUHK 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 (RUC; 2018, Barclays Capital Asia Limited)
  • Yishu Wang (CU; 2024, Research Associate at CUHK)
  • Ziwei Mei (SYSU; in progress)
  • Chengwang Liao (SJTU; in progress)
  • Yapeng Zheng (USTC; in progress)
• M.Phil.
  • Hongqi Chen (SJTU; 2017, Ph.D. program at University of Illinois Urbana Champaign)
  • Zhan Gao (CU; 2018, Ph.D. program at University of Southern California)
  • Jinan Lin (SCUT; 2018, Ph.D. program at University of California Irvine)
  • Yang Chen (XMU; 2019, Ph.D. program at CUHK)
  • Ka Yan Cheng (CU; 2021, Ph.D. program at Emory University)
• Full-time Research Assistants
  • Shu Shen (SHUFE; 2022–2024, Ph.D. program at CUHK)
  • Ji Pan (ZJU; in progress)
• Part-time Research Assistants
  • Zhan Gao (CU Mathematics, 2016–2018, M.Phil. program at CUHK)
  • Ka Yan Cheng (CU Economics, 2018–2019, M.Phil. program at CUHK)
  • Cheuk Hei Yip (CU Economics, 2018–2019, MSc program at LSE)
  • Qiyu Dai (CU Statistics, 2021-2023, M.Phil. program at CUHK)
• Visiting Ph.D. students
  • Puyi Fang (2023, Zhejiang University)

Papers with Supervisees

Working papers

• 2024: #Chengwang Liao, #Ziwei Mei, and Zhentao Shi: “Nickell Meets Stambaugh: A Tale of Two Biases,” working paper

• 2024: Zhentao Shi and #Yapeng Zheng, “A Structural Network Pairwise Regression Model with Unobservable Heterogeneity,” working paper

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

Published

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

• 2024: #Ziwei Mei, Peter C.B. Phillips, and Zhentao Shi: “The Boosted HP Filter Is More General Than You Might Think,” Journal of Applied Econometrics.

• 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