🎓 I am an Assistant Professor of Economics at Southern Methodist University.
💬 zhangao [at] smu [dot] edu | zhangaoecon [at] gmail [dot] com
Research
Publications
- (2026+) “LASSO Inference for High Dimensional Predictive Regressions”, (with Ji Hyung Lee, Ziwei Mei and Zhentao Shi). Journal of Econometrics, 255, 106240.
supplement arXiv: 2409.10030 replication code - (2026+) “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
- “Generalized Method of Moments with Grouped Heterogeneous Validity in Panel Data Models”.
- “Crisis, communication, and the boundaries of online prosociality”, (with Mingxuan Liu, Alex Bisberg and Dimitri Williams).
Software
- LasForecast - High-dimensional Predictive Regression (Lee Shi Gao 2022; Mei Shi 2024; Gao Mei Lee Shi 2026
XDLaso) - Classo - Classifier-Lasso for detecting grouped heterogeneity in panel data model (Su Shi Phillips 2016; Gao Shi 2021)
Teaching
- ECO 7377 Microeconometrics. Spring 2026.
- ECO 4370 / 6370 Computing for Economics. Fall 2025