Curriculum Vitae

Contact Information

Employment

• Associate Professor, Department of Economics, The Chinese University of Hong Kong2023--
• Assistant Professor, Department of Economics, The Chinese University of Hong Kong2020--2023
• Associate Professor, Wang Yanan Institute for Studies in Economics (WISE) and Department of Statistics, School of Economics, Xiamen University2017--2020
• Assistant Professor, Wang Yanan Institute for Studies in Economics (WISE) and Department of Statistics, School of Economics, Xiamen University2012--2017

Visiting Professor/Scholar Universities

• Monash University, AustraliaJuly-August, 2019
• The Ohio State UniversityJanuary-February, 2017
• Humboldt University of Berlin, GermanyJanuary-February, 2016

Research Interests

Theoretical and applied econometrics, big data

Education

PhD in Economics, North Carolina State University, May 2012

Publications

1. Portfolio analysis in high dimensions with tracking error and weight constraints, with Mehmet Caner, Journal of American Statistical Association, forthcoming.
2. A Practitioner's Guide to AI+ML in Portfolio Investing, with Mehmet Caner, Econometric Reviews (Practitioner’s Guide series review article), forthcoming.
3. A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates, with Ziwei Mei and Zijian Guo, Journal of Business & Economic Statistics, forthcoming.
4. On the instrumental variable estimation with many weak and invalid instruments, with Yiqi Lin, Frank Windmeijer and Xinyuan Song, Journal of the Royal Statistical Society: Series B, 2024.
5. Fan Q., Wu, R., Yang, Y. and Zhong, W. (2024) "Time-varying minimum variance portfolio." Journal of Econometrics.
6. Fan Q. and Wu Y. (2024), "Endogenous treatment effect estimation with a large and mixed set of instruments and control variables." The Review of Economics and Statistics. Implementation codes on GitHub page.
7. Cai, X, Fan Q. and Yuan C., (2022) "The impact of only child peers on students' cognitive and non-cognitive outcomes", Labour Economics
8. Fan Q., Hsu Y.-C., Lieli, R. and Y. Zhang, (2022) "Estimation of Conditional Average Treatment Effects with High-Dimensional Data", Journal of Business & Economic Statistics, (R package "hdcate" to implement the method)
9. CEO Early-Life Disaster Experience and Corporate Social Performance (with Don O'Sullivan and Leon Zolotoy). Strategic Management Journal, 2021.
10. Zhong, W., Zhou, W, Fan, Q. and Gao, Y. (2021) "Dummy Endogenous Treatment Effect Estimation Using High-Dimensional Instrumental Variables", The Canadian Journal of Statistics
11. Chen, Y., Fan, Q., X., Yang, and L. Zolotoy (2021), "CEO Early-Life Disaster Experience and Stock Price Crash Risk", Journal of Corporate Finance
12. Caner M., Fan Q. and T. Grennes (2021) "Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth", International Review of Economics & Finance
13. Liu K. and Fan Q., (2021) "Credit expansion, bank liberalization, and structural change in bank asset accounts", Journal of Economic Dynamics and Control
14. Zhong, W., Y. Gao, W. Zhou and Fan, Q. (2021) "Endogenous Treatment Effect Estimation Using High-Dimensional Instruments and Double Selection" (the R package now includes the new DS-IV function), Statistics and Probability Letters
15. Chen, T., Fan Q., K. Liu and L. Le, (2021) "Identifying key factors in momentum in basketball games", Journal of Applied Statistics
16. Fan, Q. and Yu, W., (2021) Adaptive k-class estimation in high-dimensional linear models, Communications in Statistics - Simulation and Computation
17. Fan, Q., X. Han, G. Pan and B. Jiang (2020), Large System of Seemingly Unrelated Regressions: A Penalized Quasi-Maximum Likelihood Estimation Perspective, Econometric Theory
18. Bao, X. and Fan, Q., (2020), The Impact of Temperature on Gaming Productivity: Evidence from Online Games, Empirical Economics
19. Fan, Q., Y. Han and X-P Zhang, A Study of Cross Sectional Stock Returns Using High-dimensional SUR Model and Many Firm Level Characteristics, in Proc. of 2019 IEEE GlobalSIP
20. Fan, Q., F. Hu and X-P Zhang, Double-Selection Based High-dimensional Factor Model with Application in Asset Pricing, in Proc. of 2019 IEEE GlobalSIP
21. Fan, Q. and Zhong W., (2018): Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective, Journal of Business & Economic Statistics, (R package)
22. Fan, Q. and Wang, T., (2018), Game Day Effect on Stock Market: Evidence from Four Major Sports Leagues in U.S., Journal of Behavioral and Experimental Finance
23. Fan, Q. and W. Zhong, (2018), Variable Selection for Structural Equation with Endogeneity, Journal of Systems Science and Complexity
24. Chen, T. and Fan, Q., (2018), A Functional Data Analysis Approach to Model Score Difference in Professional Basketball Games, Journal of Applied Statistics
25. Fan, Q., W. Lei and X-P Zhang, (2017), The Impact of Sports Sentiment on Stock Returns: A Case Study from Professional Sports Leagues, proceedings of the 2017 IEEE Global Conference on Signal & Information Processing (GlobalSIP), Symposium on Signal and Information Processing for Finance and Business, 2017
26. Fan, Q., X. Fu and S. Cai, (2017), Virtual World Versus Real World: An Economic Study of The Cyber Games Participation, The HCI International 2017 Conference Proceedings, Lecture Notes in Computer Science (LNCS), In book: HCI in Business, Government and Organizations, F.F.H. Nah and C. H. Tan (Eds.), HCIBGO 2017, Part I, LNCS 10293, pp.58-77, DOI: 10.1007/978-3-319-58481-2_6
27. X. Fu, X. Zeng, X. Luo, D. Wang, D. Xu and Fan,Q., (2017), Designing an Intelligent Decision Support System for Effective Negotiation Pricing: A Systematic and Learning Approach, Decision Support Systems
28. Fan, Q. and Wang, T., (2017), The Impact of Shanghai-Hong Kong Stock Connect Policy on A-H Share Price Premium, Finance Research Letters
29. Caner, M. and Fan, Q., (2015), Hybrid GEL Estimators: Instrument Selection with Adaptive Lasso, Journal of Econometrics

Professional Activities

• Exco and Postgraduate Committee member, and research theme leader "Artificial intelligence for social good", Computational Social Science Laboratory (CSSL@CUHK)
• Research affiliate, The Chinese University of Hong Kong-Zhejiang University Joint Research Center for Digital Economy
• Research affiliate, Centre for Population Research, The Chinese University of Hong Kong
• Technical committee member, 7th IEEE Global Conference on Signal Processing & Information Processing, Symposium on Signal, Information Processing and AI for Finance and Business, November 11 - 14, Ottawa, Canada, 2019
• Chair of local organizing committee, 2019 Asian Meeting of Econometric Society, June 14-16, Xiamen, China
• Technical committee member, 5th IEEE Global Conference on Signal Processing & Information Processing, Symposium on Signal and Information Processing for Finance and Business, November 14 - 16, Montreal, Canada, 2017
• Editorial Board, Quantitavie Economics and Finance
• Associate Editor, Pacific Economic Review

Fellowships, Grants, and Awards

• Treatment effect and instrumental variable models under high-dimensionality, The General Research Fund (GRF), Research Grants Council (RGC), Hong Kong2022-2024
• Xiamen University Research Excellence Award in Humanities and Social Sciences2020
• The 14th Excellent Research Output Award in Social Sciences, Second Prize, Fujian Province, China
• The Virtual Lab Experimental Teaching Award, The Education Department of Fujian Province, China2019
• Bank of China Awards for teaching excellence (Xiamen University)2019
• National higher education teaching award, second prize, Ministry of Education, China2018
• Inclusion of Excellent Youth Academic Researcher Development Program, Fujian Province, China2017
• High Dimensional Multiple Equations And Instrumental Variable Models: Theory And Applications, National Natural Science Foundation China2017.1-2020.12
• Experimental teaching course construction fund: Econometrics (undergraduate level), Key Laboratory of Econometrics (Xiamen University), Ministry of Education China2017.7-2019.6
• Semi-parametric Efficient Instrumental Variable: Selection, Estimation and Hypothesis Testing, National Natural Science Foundation China2014.1-2016.12
• Industrial and Commercial Bank of China Awards for teaching excellence (Xiamen University)2016

Refereeing activities

Review of Economics and Statistics, Journal of Econometrics, Econometric Theory, International Economic Review, Journal of the American Statistical Association, Journal of the Royal Statistical Society: Series B, Annals of Statistics, IEEE Transactions on Information Theory, Journal of Business and Economic Statistics, Journal of Applied Econometrics, Electronic Journal of Statistics, Econometric Reviews, Journal of Applied Statistics, Organization Science, Journal of Corporate Finance, International Journal of Finance and Economics, International Review of Economics and Finance, Finance Research Letters, Health Economics, China Economic Review, International Review of Financial Analysis, Emerging Markets Finance and Trade, Computational Statistics and Data Analysis, Journal of Statistical Planning and Inference, Scandinavian Journal of Statistics, Biometrical Journal, Computational Statistics, Science China: Mathematics, Journal of Statistical Computation and Simulation, Statistical Analysis and Data Mining, GlobalSIP 2017, 2018, 2019 (big data and finance, business analytics), Industrial Marketing Management, Journal of Management Science and Engineering, Journal of Sports Sciences

Conference Presentations

• Asian Meeting of Econometric Society, Shenzhen (virtual)June, 2022
• The 11th ICSA International Conference, HangzhouDecember,2019
• Cemmap-WISE workshop on advances in econometrics, XiamenJune 2019
• California Econometrics Conference, IrvineOctober 2018
• 24 International Panel Data Conference, SeoulJune 2018
• 4th IAAE Conference, SapporoJune, 2017
• 13th SETA meeting, BeijingJune, 2017
• The 10th ICSA international conference, ShanghaiDecember,2016
• 2016 CSA & NCCU Joint Statistical Meetings, TaipeiDecember,2016
• The 11th World Congress of the Econometric Society, MontrealAugust 2015
• 2015 IMS-China, KunmingJuly 2015
• 5th Shanghai Econometrics Workshop, ShanghaiJune 2015
• 11th SETA meeting, JapanMay 2015
• 20th International Panel Data Conference, TokyoJuly 2014
• China Meeting of Econometric Society, XiamenJune 2014
• 10th SETA meeting, TaipeiMay 2014
• 19th International Panel Data Conference, LondonJuly 2013
• 2011 Meetings of the Midwest Econometrics Group, ChicagoOctober 2011
• 20th Annual Meetings of the Midwest Econometrics Group, St. LouisOctober 2010