Michael Qingliang Fan | Economist at CUHK

Associate Professor of Economics

Department of Economics
The Chinese University of Hong Kong

My research spans theoretical and applied econometrics, causal inference with machine learning, and high-dimensional portfolio analysis.

I develop methods for credible empirical work in data-rich environments, with applications in economics and finance.

Explore research View publications View CV

Research agenda

Methodology and applied study

I work across econometric theory and applied research, with a particular interest in reliable inference when datasets are large, complex, or high-dimensional.

Econometric theory & causal inference

Identification, estimation, and inference for treatment effects, instrumental variables, and nonlinear models with high-dimensional covariates.

Financial econometrics & portfolios

High-dimensional portfolio construction, robust risk analysis, factor models, and machine-learning methods for investment decisions.

Applied econometrics

Empirical projects in labor economics, financial economics, management science, and decision-making in data-rich environments.

Selected Publications

View the complete publication list

JASA · 2026

Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints

With Mehmet Caner

DOI Code

JBES · 2025

A Heteroscedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates

With Ziwei Mei and Zijian Guo

PM test code Q test code

JRSS-B · 2024

On the Instrumental Variable Estimation with Many Weak and Invalid Instruments

With Yiqi Lin, Frank Windmeijer, and Xinyuan Song

Code

Journal of Econometrics · 2024

Time-varying Minimum Variance Portfolio

With Ruike Wu, Yanrong Yang, and Wei Zhong

Code

REStat · 2024

Endogenous Treatment Effect Estimation with a Large and Mixed Set of Instruments and Control Variables

With Yaqian Wu

Code

JBES · 2022

Estimation of Conditional Average Treatment Effects with High-Dimensional Data

With Y.-C. Hsu, R. Lieli, and Y. Zhang

Code R package

Strategic Management Journal · 2021

CEO Early-Life Disaster Experience and Corporate Social Performance

With Don O’Sullivan and Leon Zolotoy

Econometric Theory · 2020

Large System of Seemingly Unrelated Regressions: A Penalized Quasi-Maximum Likelihood Estimation Perspective

With X. Han, G. Pan, and B. Jiang

JBES · 2018

Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective

With Wei Zhong

R package

Journal of Econometrics · 2015

Hybrid GEL Estimators: Instrument Selection with Adaptive Lasso

With Mehmet Caner

Resources

Public GitHub repositories

Code, software, data, and documentation supporting current and published research.

CROWNHigh-dimensional portfolios with tracking-error and weight constraintsView repository → hdcateConditional average treatment effects with high-dimensional dataView repository → HDNPIVNonlinear endogenous effects with high-dimensional covariatesView repository → PMtestPower-enhanced tests of overidentifying restrictionsView repository → R2IVEEndogenous treatment effects with many instruments and controlsView repository → TV-MVPTime-varying minimum variance portfolio implementationView repository → WITEstimation with many weak and potentially invalid instrumentsView repository →

CRAN packages

hdcateConditional average treatment effects naiveregHigh-dimensional instrumental variables

For more information, see Personal website

Work with me

Research opportunities in Hong Kong

I welcome inquiries from prospective full-time and part-time research assistants or fellows with strong quantitative and programming backgrounds.

View opportunities

Contact

Michael Fan

Emailmichaelqfan@cuhk.edu.hk

Telephone+852 3943 8001

OfficeRoom 903
Esther Lee Building

DepartmentDepartment of Economics
The Chinese University of Hong Kong
Shatin, New Territories, Hong Kong

WebsitePersonal website