3 papers
stat.ME2026
Cointegrated Regressors: Where Folded Concave Penalties Go Beyond LASSO
Hongqi Chen, Chengwang Liao, Ziwei Mei +1
LASSO is one of the most popular regularization methods for high-dimensional regression models. While cointegration is common in practical applications of predictive regressions wi…
econ.EM2025
A Relaxation Approach to Synthetic Control
Chengwang Liao, Zhentao Shi, Yapeng Zheng
The synthetic control method (SCM) is widely used for constructing the counterfactual of a treated unit based on data from control units in a donor pool. Allowing the donor pool to…
econ.EM2024
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…