Ph.D. University of Illinois (2018)
I joined the Rensselaer faculty as an Assistant Professor of Economics in August 2018. I received my Ph.D. in Economics in May 2018 and M.S. in Statistics in May 2015 from the University of Illinois at Urbana-Champaign. I also received my M.A. in Economics from Xiamen University (in China) in June 2011. My research interests include econometric theory, applied econometrics, financial econometrics, and economic forecasting and modeling.
My current research concentrates on two areas: (1) Predictive quantile regression models and its applications. (2) Robust statistical inference under local misspecification. The first area relates to robust inference and forecasting methods for the predictive quantile regression models, which can be applied in many areas of Economics and Finance such as risk management, options pricing, and financial returns prediction. The second area addresses issues related to spurious statistical inference when a model is locally misspecified. In particular, I investigate the type of local misspecification that arises when the null and the alternative hypothesis are contaminated by the nuisance parameters that are locally different from zero. Local misspecification can arise in a range of economic models. It can adversely affect the precision of a test, and thus provide spurious inference about the relation between dependent variable and independent variables.
My recent projects investigate inference methods for the predictive quantile regression models. In one of my projects, we show that highly persistent predictors and conditional heteroskedasticity often adversely affect the performance of the conventional inference methods, particularly at the higher/lower quantiles. Furthermore, we propose an easy-to-use inference method that is robust under both persistence and conditional heteroskedasticity.