🎓 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, AI, and interdisciplinary research joint with the biostatistics and communications communities.

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

Research

Links: Google Scholar | arXiv | ORCID | Github 

Peer-reviewed Publications

• (2023) “Identification and Estimation of Categorical Random Coefficient Models”, (with M. Hashem Pesaran), Empirical Economics, 64(6), 2543–2588.
  supplement | R package ccrm | CWPE2228] | CESifo WP No. 9714 | 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

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), submitted.
4. “On Best Subset Selection for Predictive Regression”, (with Hongqi Chen, Ji Hyung Lee and Zhentao Shi), submitted.
5. “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), submitted.
6. “Heterogeneous Return to Education and Wage Inequality in China” (with Xiongfei Li), draft available upon requested.

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: Time series forecasting with high-dimensional covariates using Lasso-type shrinkage methods.
• An illustration of implementing bubble testing based on Phillips, Shi and Yu (2015) and the MultipleBubbles package.
• Contribution to open-source software: bHP, fsPDA, etc. Full list: Github profile.
• Supplementary packages for papers are along with the publication/working paper items.

Teaching

Teaching statement

Fall 2024

• ECON 515 Time Series Analysis
  Lectures: 01-Intro-R | 02-Git

Previous semesters:

• ECON 609 Econometric Methods | Notes - Optimization 
• ECON 570 Big Data Econometrics | 01-Intro-R | 02-Git | 03-optimization
• ECON 611 Probability and Statistics
• ECON 613 Economic and Financial Time Series
• ECON 419 Advanced Econometrics