Publications
"Quantile Control via Random Forest." 2024, to appear in Journal of Econometrics (with Qiang Chen and Zhijie Xiao).
"Model Averaging for Nonlinear Regression Models." Journal of Business & Economic Statistics, 2022, 40(2): 785-789 (with Yang Feng, Qingfeng Liu, and Guoqing Zhao).
"Model Averaging Estimation for Conditional Volatility Models with an Application to Stock Market Volatility Forecast." Journal of Forecasting, 2020, 39(5): 841-863 (with Qingfeng Liu and Guoqing Zhao).
Working Papers
Stochastic Learning of Semiparametric Monotone Index Models with Large Sample Size.
Estimating High Dimensional Monotone Index Models by Iterative Convex Optimization (with Shakeeb Khan, Xiaoying Lan, and Elie Tamer), R&R at Journal of Econometrics.
Quadratic Random Coefficients (with Arthur Lewbel).
Work in Progress
Semiparametric Estimation of Sample Selection Model with Covariates of Large Dimensions (with Shakeeb Khan and Elie Tamer).
Random Forest over Quantiles (with Zhijie Xiao).