Details about Zhentao Shi

Access statistics for papers by Zhentao Shi.

Last updated 2022-11-08. Update your information in the RePEc Author Service.

Short-id: psh1166

Working Papers

2022

1. Culling the herd of moments with penalized empirical likelihood
   Papers, arXiv.org
2. L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
   Papers, arXiv.org
3. The boosted HP filter is more general than you might think
   Papers, arXiv.org View citations (2)

2021

4. Forward-Selected Panel Data Approach for Program Evaluation
   Papers, arXiv.org View citations (1)
5. On LASSO for Predictive Regression
   Papers, arXiv.org View citations (5)
   See also Journal Article in Journal of Econometrics (2022)

2020

6. Boosting: Why You Can Use the HP Filter
   Papers, arXiv.org View citations (4)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) View citations (4)
   See also Journal Article in International Economic Review (2021)

2019

7. Boosting the Hodrick-Prescott Filter
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
8. Implementing Convex Optimization in R: Two Econometric Examples
   Papers, arXiv.org
   See also Journal Article in Computational Economics (2021)

2018

9. Structural Estimation of Behavioral Heterogeneity
   Papers, arXiv.org View citations (2)
   See also Journal Article in Journal of Applied Econometrics (2018)

2016

10. Measuring Social Interaction Effects when Instruments are Weak
    Working papers, University of Connecticut, Department of Economics
    Also in Working Papers, Human Capital and Economic Opportunity Working Group (2016)
    See also Journal Article in Journal of Business & Economic Statistics (2022)

2014

11. Identifying Latent Structures in Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
    Also in Working Papers, Singapore Management University, School of Economics (2014) View citations (9)
    See also Journal Article in Econometrica (2016)

Journal Articles

2022

1. Measuring Social Interaction Effects When Instruments Are Weak
   Journal of Business & Economic Statistics, 2022, 40, (3), 995-1006
   See also Working Paper (2016)
2. On LASSO for predictive regression
   Journal of Econometrics, 2022, 229, (2), 322-349 View citations (3)
   See also Working Paper (2021)
3. Transformed Estimation for Panel Interactive Effects Models
   Journal of Business & Economic Statistics, 2022, 40, (4), 1831-1848

2021

4. BOOSTING: WHY YOU CAN USE THE HP FILTER
   International Economic Review, 2021, 62, (2), 521-570 View citations (8)
   See also Working Paper (2020)
5. Implementing Convex Optimization in R: Two Econometric Examples
   Computational Economics, 2021, 58, (4), 1127-1135
   See also Working Paper (2019)

2018

6. Structural estimation of behavioral heterogeneity
   Journal of Applied Econometrics, 2018, 33, (5), 690-707 View citations (2)
   See also Working Paper (2018)

2016

7. Econometric estimation with high-dimensional moment equalities
   Journal of Econometrics, 2016, 195, (1), 104-119 View citations (12)
8. Estimation of Sparse Structural Parameters with Many Endogenous Variables
   Econometric Reviews, 2016, 35, (8-10), 1582-1608 View citations (3)
9. Identifying Latent Structures in Panel Data
   Econometrica, 2016, 84, 2215-2264 View citations (84)
   See also Working Paper (2014)

2009

10. Pitfalls in market timing test
    Economics Letters, 2009, 103, (3), 123-126 View citations (10)