🎓 I am an Assitant Professor of Economics at Southern Methodist University.

💬 zhangao [at] smu [dot] edu | zhangaoecon [at] gmail [dot] com

Research

Publications

• (2025+) “Robust Estimation of Regression Models with Potentially Endogenous Outliers via a Modern Optimization Lens”, (with Hyungsik Roger Moon). Econometric Reviews.
  arXiv: 2408.03930 R package
• (2023) “Identification and Estimation of Categorical Random Coefficient Models”, (with M. Hashem Pesaran), Empirical Economics, 64(6), 2543–2588.
  supplement R package arXiv: 2303.14380 poster slides
• (2023) “Copula Graphic Estimation of Survival Function with Dependent Censoring and its Application to an Analysis of Pancreatic Cancer Clinical Trial”, (with Jung Hyun Jo, Inkyung Jung, Hyungsik Roger Moon, Geert Ridder and Si Young Song), Statistical Methods in Medical Research, 32(5), 944-962.
  R package
• (2022) “On LASSO for Predictive Regression”, (with Ji Hyung Lee and Zhentao Shi), Journal of Econometrics, 229(2), 322-349.
  supplement replication code arXiv: 1810.03140 slides
• (2021) “Implementing Convex Optimization in R: Two Econometric Examples”, (with Zhentao Shi), Computational Economics, 58, 1127-1135.
  supplement replication code arXiv: 1806.10423

Selected Working Papers

• “Econometric Inference for High Dimensional Predictive Regressions”, (with Ji Hyung Lee, Ziwei Mei and Zhentao Shi), revision requested by Journal of Econometrics.
• “Crisis, communication, and the boundaries of online prosociality”, (with Mingxuan Liu, Alex Bisberg and Dimitri Williams), submitted.
• “Generalized Method of Moments with Grouped Heterogeneous Validity in Panel Data Models”.

Teaching

Fall 2025 @ SMU ECO 4370 / 6370 Computing for Economics