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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. “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. “Econometric Inference for High Dimensional Predictive Regressions”, with Zhan Gao, Ji Hyung Lee, and Zhentao Shi, 2024. Revise & Resubmit at Journal of Econometrics.

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

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.