7 papers
Zero Variance Portfolio
Jinyuan Chang, Yi Ding, Zhentao Shi +1
When the number of assets is larger than the sample size, the minimum variance portfolio interpolates the training data, delivering pathological zero in-sample variance. We show th…
L2-relaxation for Economic Prediction
Zhentao Shi, Yishu Wang
We leverage an ensemble of many regressors, the number of which can exceed the sample size, for economic prediction. An underlying latent factor structure implies a dense regressio…
A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data
Zhentao Shi, Jin Xi, Haitian Xie
This paper investigates the use of synthetic control methods for causal inference in macroeconomic settings when dealing with possibly nonstationary data. While the synthetic contr…
Empirical likelihood approach for high-dimensional moment restrictions with dependent data
Jinyuan Chang, Qiao Hu, Zhentao Shi +1
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across…
Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions
Chengwang Liao, Ziwei Mei, Zhentao Shi
In panel predictive regressions with persistent covariates, coexistence of the Nickell bias and the Stambaugh bias imposes challenges for estimation and hypothesis testing. This pa…
LASSO Inference for High Dimensional Predictive Regressions
Zhan Gao, Ji Hyung Lee, Ziwei Mei +1
LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross…