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Zhentao Shi

Chinese University of Hong Kong (from arXiv:2502.18970, 2025) · ORCID · OpenAlex

31 papers in scope · 19 published · 15 on the econ.EM arXiv · 540 citations · h-index 9 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Ziwei Mei
  2. Ji Hyung Lee
  3. Chunyang Liao
  4. Etiënne Wijler
  5. Julien Hambuckers
  6. Li Sun
  7. Ulrike Schneider
  8. Karsten Reichold
  9. Liugang Sheng
  10. Peter C.B. Phillips
  11. Jingyi Huang
  12. Zhan Gao
  13. Stephan Smeekes
  14. Rui Fan
  15. Yundong Tu
  16. Jonas Striaukas
  17. Éric Ghysels
  18. Andrii Babii
  19. Chaohua Dong
  20. Vadim Gorin

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(19 of 31)

LASSO inference for high dimensional predictive regressions
published2026 · Journal of Econometrics
with Zhan Gao, Ji Hyung Lee, Ziwei Mei
Journal of Econometrics
L2-relaxation for Economic Prediction
working paper2025 · arXiv
with Yishu Wang
Paper profile arXiv arXiv:2510.12183
A Relaxation Approach to Synthetic Control
working paper2025 · arXiv
with Chengwang Liao
Paper profile arXiv arXiv:2508.01793
A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data
working paper2025 · arXiv
with Jin Xi, Haitian Xie
Paper profile arXiv arXiv:2505.22388
Empirical likelihood approach for high-dimensional moment restrictions with dependent data
working paper2025 · arXiv
with Jinyuan Chang, Qiao Sheng Hu, Jia Zhang
Paper profile arXiv arXiv:2502.18970
Predicting cryptocurrency volatility: The power of model clustering
published2025 · Economic Modelling · 8 citations
with Yue Qiu, Shen Qu, Tian Xie
Economic Modelling
Bagging the Network
working paper2024 · arXiv
with Ming Li, Yapeng Zheng
Paper profile arXiv arXiv:2410.23852
Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions
working paper2024 · arXiv
with Chunyang Liao, Ziwei Mei
Paper profile arXiv arXiv:2410.09825
The boosted Hodrick‐Prescott filter is more general than you might think
published2024 · Journal of Applied Econometrics · 9 citations
with Ziwei Mei, Peter C.B. Phillips
Journal of Applied Econometrics
On LASSO for high dimensional predictive regression
published2024 · Journal of Econometrics · 32 citations · first circulated 2022
with Ziwei Mei
Paper profile Journal of Econometrics arXiv:2212.07052
Econometric Inference for High Dimensional Predictive Regressions
working paper2024 · arXiv
with Zhan Gao, Ji Hyung Lee, Ziwei Mei
Paper profile arXiv arXiv:2409.10030
Benign Overfitting in Economic Forecasting via Noise Regularization
working paper2023 · arXiv
with Yuan Liao, Xinjie Ma, Andreas Neuhierl
Paper profile arXiv arXiv:2312.05593
Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think
working paper2023 · arXiv · 7 citations
with Ziwei Mei, Liugang Sheng
Paper profile arXiv arXiv:2302.13455
Economic Forecasts Using Many Noises
working paper2023 · arXiv · 2 citations
with Yuan Liao, Xinjie Ma, Andreas Neuhierl
Paper profile arXiv arXiv:2312.05593
ℓ 2 -Relaxation: With Applications to Forecast Combination and Portfolio Analysis
published2022 · The Review of Economics and Statistics · 5 citations · first circulated 2020
with Liangjun Su, Tian Xie, Xie Tian
Paper profile The Review of Economics and Statistics arXiv:2010.09477
The boosted HP filter is more general than you might think
working paper2022 · arXiv · 5 citations
with Ziwei Mei, Peter C.B. Phillips
Paper profile arXiv arXiv:2209.09810
Culling the Herd of Moments with Penalized Empirical Likelihood
published2022 · Journal of Business and Economic Statistics · 3 citations · first circulated 2021
with Jinyuan Chang, Jia Zhang
Paper profile Journal of Business and Economic Statistics arXiv:2108.03382
Unfolding Beijing in a Hedonic Way
published2021 · Computational Economics · 2 citations
with Wei Lin, Yishu Wang, Ting Hin Yan
Computational Economics
Transformed Estimation for Panel Interactive Effects Models
published2021 · Journal of Business and Economic Statistics · 9 citations
with Chêng Hsiao, Qiankun Zhou
Journal of Business and Economic Statistics
Forward-selected panel data approach for program evaluation
published2021 · Journal of Econometrics · 5 citations · first circulated 2019
with Jingyi Huang
Paper profile Journal of Econometrics arXiv:1908.05894
On LASSO for predictive regression
published2021 · Journal of Econometrics · 1 citations
with Ji Hyung Lee, Zhan Gao
Paper profile Journal of Econometrics arXiv:1810.03140
Measuring Social Interaction Effects When Instruments Are Weak
published2021 · Journal of Business and Economic Statistics · 7 citations
with Stephen L. Ross
Journal of Business and Economic Statistics
BOOSTING: WHY YOU CAN USE THE HP FILTER
published2020 · International Economic Review · 112 citations · first circulated 2019
with Peter C.B. Phillips
Paper profile International Economic Review arXiv:1905.00175
Implementing Convex Optimization in R: Two Econometric Examples
published2020 · Computational Economics
with Zhan Gao
Paper profile Computational Economics arXiv:1806.10423
Adaptive Makeup Transfer via Bat Algorithm
published2019 · Mathematics · 11 citations
with Yeqing Ren, Youqiang Sun, Xuechun Jing, Zhihua Cui
Mathematics
Structural Estimation of Behavioral Heterogeneity
working paper2018 · arXiv
with Huanhuan Zheng
Paper profile arXiv arXiv:1802.03735
Econometric estimation with high-dimensional moment equalities
published2016 · Journal of Econometrics · 26 citations
Journal of Econometrics
Identifying Latent Structures in Panel Data
published2016 · Econometrica · 264 citations · first circulated 2014
with Liangjun Su, Peter C.B. Phillips
Econometrica
Estimation of Sparse Structural Parameters with Many Endogenous Variables
published2015 · Econometric Reviews · 11 citations · first circulated 2014
Econometric Reviews
Agent-based model and simulation on firm size
published2012 · International Journal of Computational Science and Engineering · 2 citations
with Jianchao Zeng, Zhihua Cui
International Journal of Computational Science and Engineering
Pitfalls in market timing test
published2009 · Economics Letters · 19 citations
with Chia-Shang James Chu, Liping Lu
Economics Letters

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.