Instrumental Variable

• “Robust Instrumental Analysis”, with Qingliang Fan and Zijian Guo, 2024.
• “Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates“, with Qingliang Fan, Zijian Guo and Cun-Hui Zhang, 2023.
• “A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates’’, with Qingliang Fan and Zijian Guo, 2023. (Earlier Version)

Time Series

• 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 HP Filter Is More General Than You Might Think’’, forthcoming at Journal of Applied Econometrics.
• “On LASSO Inference for High Dimensional Predictive Regression”, with Zhan Gao, Ji Hyung Lee and Zhentao Shi, 2024.

Panel Data

• “Nickell Meets Stambaugh: A Tale of Two Biases’’, with Chengwang Liao and Zhentao Shi, 2024.
• “Nickell Bias in Panel Local Projection: Finanial Crises Are Worse Than You Think’’, with Liugang Sheng and Zhentao Shi, 2023.

Applied Text Analysis

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