Instrumental Variable

“Identification Conditions and Uniform Inference for Multiple Treatment Effects with Possibly Invalid Instrumental Variables”, with Qingliang Fan and Zijian Guo, 2024.
“Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity“, with Qingliang Fan, Zijian Guo, and Cun-Hui Zhang, 2024.
Qingliang Fan, Zijian Guo, and Ziwei Mei (2024). “A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates”, forthcoming at Journal of Business & Economic Statistics.

Time Series

[Job Market Paper] “Simultaneous Inference for Predictability with High Dimensional Mixed Roots”, 2024.
Ziwei Mei and Zhentao Shi (2024). “On LASSO for High Dimensional Predictive Regression’’, forthcoming at Journal of Econometrics.
Ziwei Mei, Peter C.B. Phillips, and Zhentao Shi (2024). “The boosted Hodrick‐Prescott filter is more general than you might think’’, Journal of Applied Econometrics.
“Econometric Inference for High Dimensional Predictive Regressions”, with Zhan Gao, Ji Hyung Lee, and Zhentao Shi, 2024.

“Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions’’, with Chengwang Liao and Zhentao Shi, 2024. [Supplement]
“Nickell Bias in Panel Local Projection: Finanial Crises Are Worse Than You Think’’, with Liugang Sheng and Zhentao Shi, 2024. Revise & Resubmit at Journal of International Economics.

Jianhao Lin, Ziwei Mei, Liangyuan Chen, Chuanqi Zhu (2023), “Is the People’s Bank of China consistent in words and deeds?”, China Economic Review.