Michael Qingliang Fan

Research record

Publications & working papers

A complete research list spanning econometric theory, causal inference, high-dimensional methods, portfolio analysis, and applied economics.

Current research

Working papers

  1. Working paper

    Automatic Debiased Machine Learning for Nonseparable Triangular Models

    With Ziwei Mei, Whitney Newey, and Sami Stouli.

  2. Working paper

    Identification and Uniform Inference for Multiple Treatments with Possibly Invalid Instruments

    With Ziwei Mei and Zijian Guo.

  3. Working paper

    Modeling and Inference for High-dimensional Mediation Analysis with Endogeneity

    With J. Liu and X. Zhang.

  4. Working paper

    Single-index Quantile Factor Model with Observed Characteristics

    With Ruofan Xu.

  5. Working paper

    Cost-aware Portfolios in a Large Universe of Assets

    With Marcelo C. Medeiros, Hanming Yang, and Songshan Yang.

  6. Working paper

    Adaptive Multi-task Learning for Multi-sector Portfolio Optimization

    With Ruike Wu and Yanrong Yang.

  7. Working paper

    Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity

    With Zijian Guo, Ziwei Mei, and Cun-Hui Zhang.

  8. Working paper

    Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets

    With Ruike Wu and Yanrong Yang.

  9. Working paper

    Robust Inference for Spanning Hypothesis of Bond Risk Premia with Highly Persistent Predictors

    With Xiaosai Liao and Xinjue Li.

  10. Working paper

    Robust Bond Risk Premia Predictability Test in the Quantiles

    With Xiaosai Liao and Xinjue Li.

Peer-reviewed work

Journal publications

2026 & forthcoming

  1. Journal of the American Statistical Association · E-pub ahead of print, 2026

    Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints

    With Mehmet Caner.

    DOIImplementation code

  2. Econometric Reviews · Forthcoming

    A Practitioner’s Guide to AI+ML in Portfolio Investing

    With Mehmet Caner. Practitioner’s Guide series review article.

  3. Canadian Journal of Statistics · Forthcoming

    Estimating Endogenous Ordinal Treatment Effects with High-Dimensional Instruments and Covariates

    With Yang Gao, Li Li, and Wei Zhong.

  4. Econometric Reviews · Forthcoming

    A Consistent Test for Stochastic Dominance Relations under Multi-way Clustering

    With Yaqian Wu and Yu-Chin Hsu.

2025

  1. Journal of Business & Economic Statistics · 43(2), 413–422 · Open access

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

    With Ziwei Mei* and Zijian Guo.

    Implementation code

2024

  1. Journal of the Royal Statistical Society: Series B · 86(4), 1068–1088

    On the Instrumental Variable Estimation with Many Weak and Invalid Instruments

    With Yiqi Lin*, Frank Windmeijer, and Xinyuan Song.

    Implementation code

  2. Journal of Econometrics · 239(2), 105339

    Time-varying Minimum Variance Portfolio

    With Ruike Wu*, Yanrong Yang, and Wei Zhong.

    Implementation code

  3. The Review of Economics and Statistics · 106(6), 1655–1674

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

    With Yaqian Wu*.

    Implementation code

2022

  1. Labour Economics

    The Impact of Only Child Peers on Students’ Cognitive and Non-cognitive Outcomes

    With Xiqian Cai and Congying Yuan*.

  2. Journal of Business & Economic Statistics

    Estimation of Conditional Average Treatment Effects with High-Dimensional Data

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

    R package hdcate

  3. The Canadian Journal of Statistics

    Dummy Endogenous Treatment Effect Estimation Using High-Dimensional Instrumental Variables

    With Wei Zhong, Wei Zhou*, and Yang Gao*.

    R package naivereg

2021

  1. Strategic Management Journal

    CEO Early-Life Disaster Experience and Corporate Social Performance

    With Don O’Sullivan and Leon Zolotoy.

  2. Journal of Applied Statistics

    Identifying Key Factors in Momentum in Basketball Games

    With T. Chen, K. Liu, and L. Le*.

  3. Journal of Corporate Finance

    CEO Early-Life Disaster Experience and Stock Price Crash Risk

    With Y. Chen, X. Yang, and L. Zolotoy.

  4. International Review of Economics & Finance

    Partners in Debt: An Endogenous Non-linear Analysis of the Effects of Public and Private Debt on Growth

    With Mehmet Caner and T. Grennes.

  5. Journal of Economic Dynamics and Control

    Credit Expansion, Bank Liberalization, and Structural Change in Bank Asset Accounts

    With Keqing Liu.

  6. Statistics and Probability Letters

    Endogenous Treatment Effect Estimation Using High-Dimensional Instruments and Double Selection

    With Wei Zhong, Yang Gao*, and Wei Zhou*.

    R package naivereg

2020

  1. Econometric Theory · 36, 526–558

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

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

  2. Empirical Economics

    The Impact of Temperature on Gaming Productivity: Evidence from Online Games

    With Xiaojia Bao.

2018

  1. Journal of Business & Economic Statistics · 36, 388–399

    Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective

    With Wei Zhong.

    R package naivereg

  2. Journal of Behavioral and Experimental Finance

    Game Day Effect on Stock Market: Evidence from Four Major Sports Leagues in the U.S.

    With T. Wang*.

  3. Journal of Systems Science and Complexity

    Variable Selection for Structural Equation with Endogeneity

    With Wei Zhong.

  4. Journal of Applied Statistics

    A Functional Data Analysis Approach to Model Score Difference in Professional Basketball Games

    With T. Chen.

2017

  1. Decision Support Systems

    Designing an Intelligent Decision Support System for Effective Negotiation Pricing: A Systematic and Learning Approach

    With X. Fu, X. Zeng, X. Luo, D. Wang, and D. Xu.

  2. Finance Research Letters

    The Impact of Shanghai–Hong Kong Stock Connect Policy on A-H Share Price Premium

    With T. Wang*.

2015

  1. Journal of Econometrics · 187, 256–274

    Hybrid GEL Estimators: Instrument Selection with Adaptive Lasso

    With Mehmet Caner.

* indicates a graduate student at the time of publication.