🎓 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. Before coming to LA, I received M.Phil in Economics (18’) and B.Sc. in Mathematics (16’) from The Chinese University of Hong Kong where I was fortunate to be advised by Professor Zhentao Shi.

📝 I will be on the academic job market for AY 2024-25 and available for interviews.

🔗 Curriculum Vitae

📖 My research interests lie in econometrics, machine learning and applied econometrics. I specialize in high-dimensional methods in time series and panel data models. I also have broad interests and have done works in financial econometrics, computational methods, labor/personnel economics, economics of digital platforms, and interdisciplinary research joint with the biostatistics and communications communities.

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

Research

Peer-reviewed Publications

Working Papers

  1. “Generalized Method of Moments with Grouped Heterogeneous Validity in Panel Data Models”, Job Market Paper.
  2. Robust Estimation of Regression Models with Potentially Endogenous Outliers via a Modern Optimization Lens”, (with Hyungsik Roger Moon), revision requested by Econometric Reviews.
  3. On LASSO Inference for High-dimensional Predictive Regression”, (with Ji Hyung Lee, Ziwei Mei and Zhentao Shi).
  4. “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).
  5. “Heterogeneous Return to Education and Wage Inequality in China” (with Xiongfei Li).

Software

Teaching

Fall 2024

Date    
Sep. 12R (basics) | PDF   
Sep. 24R (advanced)Git and Github | PDF  
Oct. 1Stationarity | PDFARIMAUnit rootsBubble Testing
Oct. 17VARCointegrationVolatility 
Nov. 12ForecastingLasso  

Previous semesters: