Mingli Chen
Contact Details
Telephone: +44 (0)24 765 22901
Email: M dot Chen dot 3 at warwick dot ac dot uk
Room: S1.114
Office Hour: Tuesday 11-1pm
Related Links
Associate Professor
Research Interests
- Econometrics
- Time Series Econometrics
- Financial Econometrics
- Industrial Organization
Education
- Ph.D., Economics, Boston University, Boston, US, May 2015
Teaching
- EC9C8: Topics in Advanced Econometrics (second year Ph.D.), involves teaching on Causal Inference + Machine Learning, Department of Economics, University of Warwick, Spring 2019, Spring 2020
- EC9A3: Advanced Econometric Theory (first year Ph.D.), Department of Economics, University of Warwick, Spring 2016, Spring 2017, Spring 2018
- EC331: Research in Applied Economics (undergraduate thesis), Department of Economics, University of Warwick, Fall 2015 – Spring 2017, Fall 2018 - Spring 2021
PhD Students
- Nikolas Kuhlen (University of Cambridge; joint with Vasco Carvalho (Cambridge), Chenlei Leng (Warwick)), supported by Turing Institute
- Yaolang Zhong
Publication
- Counterfactual: An R Package for Counterfactual Analysis
with Victor Chernozhukov, Iván Fernández-Val, and Blaise Melly
The R Journal, Volume 9, Issue 1, June 2017, pp. 370-384 - A Comparative Study of Causal Reward Design
with Xinlei Pan (UC Berkeley)
Causal Machine Learning Workshop (ICML 2018)
*Spotlight Presentation - Nonlinear Factor Models for Network and Panel Data (with Ivan Fernandez-Val (BU) and Martin Weidner (UCL))
Journal of Econometrics - Analysis of Networks via the Sparse β-Model (with Kengo Kato (Cornell) and Chenlei Leng (Warwick))
Journal of the Royal Statistical Society: Series B
Working Papers
- Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
* Reject&Resubmit at Review of Economics and Statistics - Quantile Graphical Models: Prediction and Conditional Independence with Applications to Financial Risk Management (with Alexandre Belloni (Duke) and Victor Chernozhukov (MIT))
* Reject&Resubmit at Econometrica - High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing (with Alexandre Belloni (Duke), Oscar Hernan Madrid Padilla (UCLA), and Zixuan (Kevin) Wang (Harvard))
* Submitted - Payment Instrument Choice with Scanner Data: An MM algorithm for Fixed Effects in Non-linear Models (with Marc Rysman (BU), Shuang Wang (BU) and Krzysztof Wozniak (Federal Reserve Board))
- Deep Reinforcement Learning in a Monetary Model (with Andreas Joseph (Bank of England), Michael Kumhof (Bank of England), Xinlei Pan (UC Berkeley), Rui Shi (Warwick), Xuan Zhou (Deakin))
Selected Grants and Awards
- Turing PDRA Award 2020 (CI, £58,454)
- ESRC/NIESR Award 2019 (PI, £44,987)
- Alan Turing Institute-HSBC-ONS Economic Data Science Awards 2018 (PI, £78,000)
- Honorable Mention for Arnold Zellner Thesis Award Competition, Journal of Business and Economic Statistics, 2017
- Co-Winner of LABOUR Prize, Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE 2017)
Others
- Co-organizer, Turing workshop on "Statistics of Network Analysis", 29-30 May 2018, sponsored by the Alan Turing Institute.
- (Co-)organizer, Econometrics Seminars and Workshop Series at Warwick, 2015 - present
- Link for 2016
Theme: High Dimensional Econometrics/Statistics
Masterclasses delivered by Victor Chernozhukov (MIT), topics on Machine Learning in Econometrics - Link for 2017
Theme: Panel Data
Masterclasses delivered by Bo Honoré (Princeton), topics on Panel Data Models - Link for 2018
Theme: Network Analysis
Masterclasses to be delivered by Bryan Graham (UC Berkeley), topics on Econometrics Analysis of Network Data - Link for 2019
Theme: Causal Inference
Masterclasses to be delivered by Donald Rubin (Harvard), topics on Causal Inference
- Link for 2016
- Junior Hiring Committee, 2015-2017
- Co-Organizer of the Turing Institute/UCL/CeMMAP Workshop on “Causal Learning with Interactions”, 11-12 December 2019, in London
- Warwick-China Coordinator, 2020-2021
Conference Program -
2019 Member of the Scientific Program Committee of the Bank England Conference on “Modelling with Big Data and Machine Learning: Interpretability and Model Uncertainty”, held at the Bank of England.
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2020 Member of the Scientific Program Committee of the Bank England Virtual Conference on “Modelling with Big Data & Machine Learning: Measuring Economic Instability”