SHI Zhentao 1

Prof. SHI Zhentao
Associate Professor
Tel: (852) 3943-1432
Office Location: Room 934, Esther Lee Building
Home Page:

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

Research Interest

Econometric Theory
Applied Econometrics


Prof. Shi is Associate Professor at the Department of Economics. He specializes in econometric theory, with focus on estimation and inference of machine learning methods for economic and financial applications.


• "Forward-Selected Panel Data Approach for Program Evaluation," forthcoming, with Jingyi Huang, Journal of Econometrics

• "On LASSO for Predictive Regression," forthcoming, with Ji Hyung Lee and Zhan Gao, Journal of Econometrics

• “Measuring Social Interaction Effects When Instruments Are Weak,” forthcoming, with Stephen L. Ross, Journal of Business & Economic Statistics

• "Boosting: Why You Can Use the HP Filter," 2021, with Peter Phillips, International Economic Review, 62(2), 521-570

• "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

Courses Taught

1st Term
2nd Term