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Publications

1. Ziwei Mei and Zhentao Shi (2024). “On LASSO for High Dimensional Predictive Regression’’, Journal of Econometrics, 242(2), 105809. [arXiv]
2. Qingliang Fan, Zijian Guo, and Ziwei Mei (2024). “A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates’’, Journal of Business & Economic Statistics, Open access. [arXiv]
3. 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, Open access. [arXiv]
4. Jianhao Lin, Ziwei Mei, Liangyuan Chen, and Chuanqi Zhu (2023), “Is the People’s Bank of China consistent in words and deeds?”, China Economic Review.

Working Papers

1. [Job Market Paper] “Simultaneous Inference for Predictability with High Dimensional Mixed Roots”, 2024.

2. “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.

3. “Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions’’, with Chengwang Liao and Zhentao Shi, 2024. [Supplement]

4. “Econometric Inference for High Dimensional Predictive Regressions”, with Zhan Gao, Ji Hyung Lee, and Zhentao Shi, 2024.

5. “Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity”, with Qingliang Fan, Zijian Guo, and Cun-Hui Zhang, 2024.

6. “Identification Conditions and Uniform Inference for Multiple Treatment Effects with Possibly Invalid Instrumental Variables”, with Qingliang Fan and Zijian Guo, 2024.