7 citations · 23 across the 8 of their papers we have counts for
10 papers
Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think
Ziwei Mei, Liugang Sheng, Zhentao Shi
Panel local projection (LP) with fixed-effects (FE) is widely adopted for evaluating the economic consequences of financial crises across countries. This paper highlights a fundame…
On LASSO for High Dimensional Predictive Regression
Ziwei Mei, Zhentao Shi
This paper examines LASSO, a widely-used -penalized regression method, in high dimensional linear predictive regressions, particularly when the number of potential predictor…
The boosted HP filter is more general than you might think
Ziwei Mei, Peter C. B. Phillips, Zhentao Shi
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP fi…
Culling the herd of moments with penalized empirical likelihood
Jinyuan Chang, Zhentao Shi, Jia Zhang
Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of val…
L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
Zhentao Shi, Liangjun Su, Tian Xie
This paper tackles forecast combination with many forecasts or minimum variance portfolio selection with many assets. A novel convex problem called L2-relaxation is proposed. In co…
Forward-Selected Panel Data Approach for Program Evaluation
Zhentao Shi, Jingyi Huang
Policy evaluation is central to economic data analysis, but economists mostly work with observational data in view of limited opportunities to carry out controlled experiments. In…
Boosting: Why You Can Use the HP Filter
Peter C. B. Phillips, Zhentao Shi
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research. Like all nonparametric methods, the HP filter depends critica…
On LASSO for Predictive Regression
Ji Hyung Lee, Zhentao Shi, Zhan Gao
Explanatory variables in a predictive regression typically exhibit low signal strength and various degrees of persistence. Variable selection in such a context is of great importan…
Implementing Convex Optimization in R: Two Econometric Examples
Zhan Gao, Zhentao Shi
Economists specify high-dimensional models to address heterogeneity in empirical studies with complex big data. Estimation of these models calls for optimization techniques to hand…
Structural Estimation of Behavioral Heterogeneity
Zhentao Shi, Huanhuan Zheng
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to d…