Assistant Professor

I am on Study Leave, Fall 2019.

Research Interests

• Econometrics
• Time Series Econometrics
• Financial Econometrics
• Industrial Organization

Education

• Ph.D., Economics, Boston University, Boston, US, May 2015

Teaching

• EC9A8: Topics in Advanced Econometrics (second year Ph.D.), involves teaching on Causal Inference + Machine Learning, Department of Economics, University of Warwick, Spring 2019
• 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 2016, Fall 2016 – Spring 2017, Spring 2019

PhD Students

• Zizhong Yan
• Nikolas Kuhlen

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
  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

Working Papers

• Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
• Quantile Graphical Models: Prediction and Conditional Independence with Applications to Financial Risk Management (with Alexandre Belloni (Duke) and Victor Chernozhukov (MIT))
• Analysis of Networks via the Sparse β-Model (with Kengo Kato (Cornell) and Chenlei Leng (Warwick))

• 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))

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
• 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

  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.