Zhentao Shi

Prof. SHI Zhentao
Assistant Professor
Tel: (852) 3943-1432
Email: zhentao.shi@cuhk.edu.hk
Office Location: Room 934, Esther Lee Building
Home Page: http://www.zhentaoshi.com

BA (Zhejiang University)
MA (Peking University)
Ph.D. (Yale University)

Research Interest

Econometric Theory
Applied Econometrics


Prof. Shi is Assistant Professor at the Department of Economics. He specializes in econometric theory, in particular the estimation and inference in high-dimensional econometric models. He is also interested in empirical studies in finance, trade, labor and industrial organization.


  • "Structural Estimation of Behavioral Heterogeneity," 2018, with Huanhuan Zheng, Journal of Applied Econometrics, 33(5), 690-707
  • "Identifying Latent Structures in Panel Data", 2016, with Liangjun Su and Peter Phillips, Econometrica, 84(6), 2215-2264
  • "Econometric Estimation with High-Dimensional Moment Equalities", 2016, Journal of Econometrics, 195, 104-119
  • "Estimation of Sparse Structural Parameters with Many Endogenous Variables", 2016, Econometric Reviews, 35(8-10): 1582-1608
  • ''Pitfalls in Market Timing Test'', with James Chu and Liping Lu, 2009, Economic Letters, 103(3), 123–126
  • "A Comparative Research on the Efficiency of China Mainland and Hong Kong Stock Markets", with Yaoguang Chen and Yuefei Zhang, 2006, Journal of Financial Research (金融研究), 6, 33-40 (in Chinese)
  • "An Analysis of Long-run Gold Price Determinants", with Liuyong Yang, 2004, Journal of Statistical Research (統計研究), 6 (2), 21-24 (in Chinese)