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

2024

1. The boosted HP filter is more general than you might think
   Papers, arXiv.org View citations (4)

2022

2. Culling the herd of moments with penalized empirical likelihood
   Papers, arXiv.org
3. L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
   Papers, arXiv.org View citations (1)

2021

4. Forward-Selected Panel Data Approach for Program Evaluation
   Papers, arXiv.org View citations (4)
5. On LASSO for Predictive Regression
   Papers, arXiv.org View citations (8)
   See also Journal Article On LASSO for predictive regression, Journal of Econometrics, Elsevier (2022) View citations (6) (2022)

2020

6. Boosting: Why You Can Use the HP Filter
   Papers, arXiv.org View citations (6)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) View citations (8)
   See also Journal Article BOOSTING: WHY YOU CAN USE THE HP FILTER, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2021) View citations (24) (2021)

2019

7. Boosting the Hodrick-Prescott Filter
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
8. Implementing Convex Optimization in R: Two Econometric Examples
   Papers, arXiv.org
   See also Journal Article Implementing Convex Optimization in R: Two Econometric Examples, Computational Economics, Springer (2021) (2021)

2018

9. Structural Estimation of Behavioral Heterogeneity
   Papers, arXiv.org View citations (2)
   See also Journal Article Structural estimation of behavioral heterogeneity, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (2) (2018)

2016

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

2014

11. Identifying Latent Structures in Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in Working Papers, Singapore Management University, School of Economics (2014) View citations (10)
    See also Journal Article Identifying Latent Structures in Panel Data, Econometrica, Econometric Society (2016) View citations (129) (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 Measuring Social Interaction Effects when Instruments are Weak, Working Papers (2016) (2016)
2. On LASSO for predictive regression
   Journal of Econometrics, 2022, 229, (2), 322-349 View citations (6)
   See also Working Paper On LASSO for Predictive Regression, Papers (2021) View citations (8) (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 (24)
   See also Working Paper Boosting: Why You Can Use the HP Filter, Papers (2020) View citations (6) (2020)
5. Implementing Convex Optimization in R: Two Econometric Examples
   Computational Economics, 2021, 58, (4), 1127-1135
   See also Working Paper Implementing Convex Optimization in R: Two Econometric Examples, Papers (2019) (2019)

2018

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

2016

7. Econometric estimation with high-dimensional moment equalities
   Journal of Econometrics, 2016, 195, (1), 104-119 View citations (15)
8. Estimation of Sparse Structural Parameters with Many Endogenous Variables
   Econometric Reviews, 2016, 35, (8-10), 1582-1608 View citations (4)
9. Identifying Latent Structures in Panel Data
   Econometrica, 2016, 84, 2215-2264 View citations (129)
   See also Working Paper Identifying Latent Structures in Panel Data, Cowles Foundation Discussion Papers (2014) View citations (9) (2014)

2009

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