Zhentao Shi

Department of Economics, the Chinese University of Hong Kong

Assistant Professor

Shatin, N.T.

Hong Kong

  • Department of Economics, the Chinese University of Hong Kong

SCHOLARLY PAPERS

11

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1,782

TOTAL CITATIONS
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Top 21,314

in Total Papers Citations

47

Scholarly Papers (11)

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1.

Does Noise Hurt Economic Forecasts?

Number of pages: 58 Posted: 20 Dec 2023 Last Revised: 19 Nov 2024
Yuan Liao, Xinjie Ma, Andreas Neuhierl and Zhentao Shi
Rutgers, The State University of New Jersey - Department of Economics, Business School, National University of Singapore, Washington University in St. Louis - John M. Olin Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 441 (132,432)

Abstract:

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machine learning, factor model, double descent, dense signals

2.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Tsinghua University, Department of Economics, the Chinese University of Hong Kong and University of Auckland Business School
Downloads 353 (169,906)
Citation 5

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Classification; Cluster analysis; Convergence club; Dynamic panel; Group Lasso; High dimensionality; Oracle property; Panel structure model; Parameter heterogeneity; Penalized least squares; Penalized GMM

3.

Econometric Estimation with High-Dimensional Moment Equalities

Number of pages: 50 Posted: 05 Sep 2014 Last Revised: 18 Jul 2016
Zhentao Shi
Department of Economics, the Chinese University of Hong Kong
Downloads 258 (235,908)
Citation 2

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bias correction, boosting, empirical likelihood, high-dimensional estimation

4.

Estimation of Sparse Structural Parameters with Many Endogenous Variables

Number of pages: 29 Posted: 24 Oct 2014 Last Revised: 05 Oct 2016
Zhentao Shi
Department of Economics, the Chinese University of Hong Kong
Downloads 168 (351,941)

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GMM, Lasso, instruments, high-dimensional, oracle inequality

5.

Boosting: Why you Can Use the HP Filter

Cowles Foundation Discussion Paper No. 2212, December 2019
Number of pages: 57 Posted: 07 Dec 2019
Peter C. B. Phillips and Zhentao Shi
University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 159 (368,812)
Citation 18

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Boosting, Cycles, Empirical macroeconomics, Hodrick-Prescott filter, Machine learning, Nonstationary time series, Trends, Unit root processes

6.

Boosting the Hodrick-Prescott Filter

Cowles Foundation Discussion Paper No. 2192, May 2019
Number of pages: 46 Posted: 05 Sep 2019
Peter C. B. Phillips and Zhentao Shi
University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 127 (441,338)
Citation 4

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Boosting, Cycles, Empirical macroeconomics, Hodrick-Prescott filter, Machine learning, Nonstationary time series, Trends, Unit root processes

7.

R Package Vignette for Boosted HP Filter

Number of pages: 5 Posted: 09 Jun 2022
Zhentao Shi
Department of Economics, the Chinese University of Hong Kong
Downloads 101 (522,944)

Abstract:

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HP filter, time series

8.

The Boosted HP Filter Is More General Than You Might Think

Downloads 84 (587,361)

The Boosted HP Filter Is More General Than You Might Think

Number of pages: 41 Posted: 28 Sep 2022
Ziwei Mei, Peter C. B. Phillips and Zhentao Shi
The Chinese University of Hong Kong (CUHK) - Department of Economics, University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 84 (594,842)

Abstract:

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Boosting, Business cycle, Machine learning, Macroeconomics, Recession

The Boosted HP Filter is More General Than You Might Think

ArXiv. /abs/2209.09810. DOI: 10.48550/arXiv.2209.09810., The University of Auckland Business School Research Paper Series
Posted: 07 Sep 2023
Ziwei Mei, Peter C. B. Phillips and Zhentao Shi
The Chinese University of Hong Kong (CUHK) - Department of Economics, University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong

Abstract:

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Boosting, Business cycle, Machine learning, Macroeconomics, Recession

9.

Identifying Latent Structures in Panel Data

Cowles Foundation Discussion Paper No. 1965
Number of pages: 77 Posted: 03 Dec 2014
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Singapore Management University - School of Economics, Department of Economics, the Chinese University of Hong Kong and University of Auckland Business School
Downloads 84 (587,361)
Citation 18

Abstract:

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Classification, Cluster analysis, Convergence club, Dynamic panel, Group Lasso, High dimensionality, Oracle property, Panel structure model, Parameter heterogeneity, Penalized least squares, Penalized GMM

10.

Econometric Inference for High Dimensional Predictive Regressions

Number of pages: 59 Posted: 12 Nov 2024
Zhan Gao, Ji Hyung Lee, Ziwei Mei and Zhentao Shi
University of Southern California, affiliation not provided to SSRN, The Chinese University of Hong Kong (CUHK) - Department of Economics and Department of Economics, the Chinese University of Hong Kong
Downloads 7 (1,165,882)

Abstract:

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Forecast, Data-rich Environment, Hypothesis testing, Shrinkage, Unit root

11.

A Structural Pairwise Network Model with Individual Heterogeneity

Posted: 08 Oct 2016
Zhentao Shi and Xi Chen
Department of Economics, the Chinese University of Hong Kong and Yale School of Public Health - Department of Health Policy and Management

Abstract:

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network, pairwise regression, panel data, random utility model, fixed effect