Publications
- Ziwei Mei and Zhentao Shi (2024). “On LASSO for High Dimensional Predictive Regression’’, Journal of Econometrics, 242(2), 105809. [arXiv]
- Qingliang Fan, Zijian Guo, and Ziwei Mei (2024). “A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates’’, Journal of Business & Economic Statistics, 43(2), 413-422. [arXiv]
- 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, 39(7), 1260-1281. [arXiv]
- 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. 78, 101919.
Working Papers
- “Nickell Bias in Panel Local Projection: Finanial Crises Are Worse Than You Think’’, with Liugang Sheng and Zhentao Shi, 2024. Revision requested by Journal of International Economics.
- “Econometric Inference for High Dimensional Predictive Regressions”, with Zhan Gao, Ji Hyung Lee, and Zhentao Shi, 2024. Revision requested by Journal of Econometrics.
- “Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions’’, with Chengwang Liao and Zhentao Shi, 2024. [Supplement] Revision requested by Journal of Econometrics.
- “Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity”, with Qingliang Fan, Zijian Guo, and Cun-Hui Zhang, 2024. Revision requested by Journal of Machine Learning Research.
- “Identification Conditions and Uniform Inference for Multiple Treatment Effects with Possibly Invalid Instrumental Variables”, with Qingliang Fan and Zijian Guo, 2024.
- “Simultaneous Inference for Predictability with High Dimensional Mixed Roots”, 2025.
