Research Interest: My research focuses on developing robust econometric methods to address challenging empirical issues, including structural models with limited identification information, model misspecification, strong cross-sectional or time-series dependence, and high-dimensional estimation and inference with machine learning methods. These methods are applied across diverse fields such as labor economics, industrial organization, macroeconomics, and finance.

Working Papers

“Optimal Estimation of Two-Way Effects under Limited Mobility”
(with Sheng Chao Ho and Frank Schorfheide). New Draft Coming Soon!
Presented by me and coauthors at seminars and conferences

“How to Weight in Moments Matching: A New Approach and Applications to Earnings Dynamics”
(with Alejandro Sanchez-Becerra and Andrew Shephard).
Revise and Resubmit, The Review of Economic Studies

“Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation”
(with Peng Shao and Frank Schorfheide).
Revise and Resubmit, Quantitative Economics

Publications:

“Identifying the Volatility Risk Price Through the Leverage Effect” (with Eric Renault and Paul Sangrey)   Supplemental Appendix
Journal of Econometrics, accepted

“Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models” (with Winston Dou and Zhipeng Liao)   Supplemental Appendix ; Additional Materials
Econometrica, 2022, 90(2), 685–713

“Instrumental Variable Estimation of Structural VAR Models with Possible Non-stationarity” (with Xu Han and Atsushi Inoue)
Econometric Theory, 2022, 38(5), 845-874.

“Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests” (with Donald Andrews & Patrik Guggenberger )
Journal of Econometrics, 2020, 218(2), 496-531

“On Uniform Asymptotic Risk of Averaging GMM Estimator” (with Zhipeng Liao & Ruoyao Shi)
Quantitative Economics, 2019, 931–979

“Shrinkage Estimation of High-Dimensional Factor Models with Structural  Instabilities” (with Zhipeng Liao & Frank Schorfheide)   Data and Matlab Programs
The Review of Economic Studies, 2016, 83(4), 1511-1543.

“Comment on ‘In-sample Inference and Forecasting in Misspecified Factor Models’” (with Bruce Hansen),
Journal of Business and Economic Statistics, 2016, 34(3), 345-347

“Robust Inference in Nonlinear Models with Mixed Identification Strength”
Journal of Econometrics, 2015, 189(1), 207-228.

“Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach (with Bruce Hansen)
Journal of Econometrics, 2015, 186(2), 280-293.

“Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with  Many Moments” (with Zhipeng Liao)     Supplemental Appendix
Journal of Econometrics, 2015, 186(2), 443-464.

“GMM Estimation and Uniform Subverter Inference with Possible Identification  Failure” (with Donald Andrews)    Supplemental Appendix
Econometric Theory, 2014, 30(2), 287-333.

“Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure (with Donald Andrews)   Supplemental Appendix
Journal of Econometrics, 2013, 173(1), 36-56.

“Estimation and Inference with Weak, Semi-strong, and Strong Identification” (with Donald Andrews)    Supplemental Appendix; Correction
Econometrica, 2012, 80(5), 2153-2211.

“Cointegrating Rank Selection in Models with Time-Varying Variance” (with Peter Phillips)
Journal of Econometrics, 2012, 169(2), 155-165.

“Semiparametric Cointegrating Rank Selection” (with Peter Phillips)
The Econometrics Journal, 2009, 12(1), 83-104.