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 | Cambridge Working Papers in Economics, CWPE2228] | CESifo Working Paper No. 9714 | arXiv: 2303.14380
• [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

Software

• R package classo
  • Implement Classified-Lasso proposed in Su, Shi and Phillips (2016): “Identifying latent structures in panel data”, Econometrica, 84(6), 2215-2264.
• R package LasForecast (under development)
  • Implement time series forecasting with Lasso-type shrinkage methods.
• An illustration of implementing bubble testing based on Phillips, Shi and Yu (2015) and the MultipleBubbles package.