| 史震濤 Prof. SHI Zhentao Associate Professor |
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| Tel: (852) 3943-1432 | |
| Email: zhentao.shi@cuhk.edu.hk | |
| Office Location: Room 934, Esther Lee Building | |
| Home Page: http://zhentaoshi.github.io/ | |
| Education BA (Zhejiang University) |
Research Interest Econometric Theory |
Prof. Shi is Associate Professor at the Department of Economics. He specializes in econometric theory, with focus on estimation and inference of machine learning methods for economic and financial applications.
• "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," forthcoming, with Liangjun Su and Tian Xie, Review of Economics and Statistics.
• "Forward-Selected Panel Data Approach for Program Evaluation," forthcoming, with Jingyi Huang, Journal of Econometrics.
• "Culling the Herd of Moments with Penalized Empirical Likelihood," forthcoming, with Jinyuan Chang and Jia Zhang, Journal of Business & Economic Statistics.
• "Transformed Estimation for Panel Interactive Effects Models," forthcoming, with Cheng Hsiao and Qiankun Zhou, Journal of Business & Economic Statistics.
• “Measuring Social Interaction Effects When Instruments Are Weak,” 2022, with Stephen L. Ross, Journal of Business & Economic Statistics, 40:3, 995-1006.
• "On LASSO for Predictive Regression," 2022, with Ji Hyung Lee and Zhan Gao, Journal of Econometrics, 229(2), 322-340.
• "Boosting: Why You Can Use the HP Filter," 2021, with Peter Phillips, International Economic Review, 62(2), 521-570.
• "Structural Estimation of Behavioral Heterogeneity," 2018, with Huanhuan Zheng, Journal of Applied Econometrics, 33(5), 690-707.
• "Identifying Latent Structures in Panel Data", 2016, with Liangjun Su and Peter Phillips, Econometrica, 84(6), 2215-2264.
• "Econometric Estimation with High-Dimensional Moment Equalities", 2016, Journal of Econometrics, 195, 104-119.
