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Associate Professor

  • Department of Economics, the Chinese University of Hong Kong

I work on econometric theory, with focus on estimation and inference of machine learning methods for economic and financial applications.

Zhentao Shi's Projects

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packages for Peter Phillips and Zhentao Shi (2021): "Boosting the Hodrick-Prescott Filter".

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Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"

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The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Panel Data”

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Econ5121A@CUHK. This is an open-source writing project.

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Econ5170@CUHK: Computational Methods in Economics (2020 Spring).

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R package and replication files for Forward-Selected Panel Data Approach (Shi and Huang, 2021)

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Python for Finance (O'Reilly)

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Demonstration for "Econometric Estimation with High-Dimensional Moment Equalities" (2016).

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