🎓 I am a Ph.D. candidate in Economics at University of Southern California where I had the privilege of being advised by Professor Roger Moon (Chair), Professor Cheng Hsiao and Professor Geert Ridder. My primary research field is econometrics, with a focus on machine learning methods for high-dimensional time series and panel data.

📰 I will be joining Southern Methodist University as an Assistant Professor in Fall 2025.

💬 zhangao [at] usc [dot] edu | gaozhan [dot] cuhk [at] gmail [dot] com

Research

Peer-reviewed Publications

• (2025+) “Robust Estimation of Regression Models with Potentially Endogenous Outliers via a Modern Optimization Lens”, (with Hyungsik Roger Moon). Accepted at Econometric Reviews.
  arXiv: 2408.03930
• (2023) “Identification and Estimation of Categorical Random Coefficient Models”, (with M. Hashem Pesaran), Empirical Economics, 64(6), 2543–2588.
  supplement R package ccrm 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 CopulaGraphic
• (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.
• “Generalized Method of Moments with Grouped Heterogeneous Validity in Panel Data Models”.
• “From Isolation to Compassion: A Natural Experiment of How Stay-at-home Orders Unleashed a Wave of Virtual Altruism”, (with Mingxuan Liu, Alex Bisberg and Dimitri Williams).

Software

• R package classo: Classified-Lasso proposed in Su, Shi and Phillips (2016): “Identifying latent structures in panel data”, Econometrica, 84(6), 2215-2264. Refer to Gao and Shi (2021) for details of the numerical optimization implementation.
• R package LasForecast: A versatile toolbox for predictive regressions with high-dimensional mixed-roots covariates.
• An illustration of implementing bubble testing based on Phillips, Shi and Yu (2015) and the MultipleBubbles package.

Teaching

Spring 2025 @ USC

• ECON 609 Econometric Methods | Notes - Optimization
• ECON 577 Financial Economics | Notes on Asset Pricing (heavily dependent on lecture notes by Prof. Xiaohu Wang at CUHK)

Previous semesters:

• ECON 515 Time Series Analysis | R Intro | Stationarity | ARIMA | Unit roots | Bubble Testing | Volatility | VAR | Forecasting