Ziwei Mei

Ziwei Mei

Assistant Professor in Business Economics

Publications

  1. Chengwang Liao, Ziwei Mei, and Zhentao Shi (2026). “Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions”, Journal of Econometrics, 258, 106347. [arXiv]

  2. Zhan Gao, Ji Hyung Lee, Ziwei Mei, and Zhentao Shi (2026). “LASSO Inference for High Dimensional Predictive Regressions”, Journal of Econometrics, 255, 106240. [arXiv]

  3. Ziwei Mei, Liugang Sheng, and Zhentao Shi (2026). “Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think’’, Journal of International Economics, 160, 104210. [arXiv]‍ [replication] [Stata] [R package]

  4. Qingliang Fan, Zijian Guo, and Ziwei Mei (2025). “A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates’’, Journal of Business & Economic Statistics, 43(2), 413-422. [arXiv]

  5. Ziwei Mei and Zhentao Shi (2024). “On LASSO for High Dimensional Predictive Regression’’, Journal of Econometrics, 242(2), 105809. [arXiv][code]

  6. 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][code]

  7. 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

  1. “Cointegrated Regressors: Where Folded Concave Penalties Go Beyond LASSO”, with Hongqi Chen, Chengwang Liao, and Zhentao Shi, 2026.
  2. “Identification and Robust Inference for Multiple Treatment Effects with Possibly Invalid Instruments”, with Qingliang Fan and Zijian Guo, 2026.
  3. “Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity”, with Qingliang Fan, Zijian Guo, and Cun-Hui Zhang, 2024.
  4. “Simultaneous Inference for Predictability with High Dimensional Mixed Roots”, 2025.