Contact Information
Institute of Economics, School of Social Sciences, Tsinghua University
hongjunli@mail.tsinghua.edu.cn
Research Interests
Econometrics, Empirical Industrial Organization
--Nonparametric Econometrics, Machine Learning, High Dimensional Data
Academic Experiences
September 2021--now, Associate Professor, Institute of Economics, School of Social Sciences, Tsinghua University
April 2014 -- September 2021, Associate Professor, International School of Economics and Management, Capital University of Economics and Business
Education
PhD in Economics, 2014, Texas A&M University
Master in Economics, Peking University
B.S. in Engineering, Tsinghua University
Publications
7. A Modified Bootstrap for Kernel-based Specification Test with Heavy-tailed Data ( with T. Huang, and Z. Li), 2020, Economics Letters, Volume 189, 108986.
6. Cross-Validated Mixed Data type Bandwidth Selection for Nonparametric Cumulative Distribution and Survivor Functions (with C. Li and J. Racine),2017, Econometric Reviews, Volume 36, pp. 970-987.
5. Determining the Number of Factors when the Number of Factors Increases with Sample Size (with Q. Li and Y. Shi), 2017, Journal of Econometrics, Volume 197, Issue 1, pp. 76–86.
4. Model Averaging with High-dimensional Dependent Data (with S. Zhao and J. Zhou), 2016, Economics Letters, Volume 148, pp. 68-71.
3. Consistent model specification tests based on k-nearest-neighbor estimation method (with Q. Li and R. Liu), 2016, Journal of Econometrics, Volume 194, Issue 1, pp. 187-202.
2. Estimation of panel data partly specified Tobit regression with fixed effects (with C. Ai, Z. Lin and M. Meng), 2015, Journal of Econometrics, Volume 188, Issue 2, pp. 313-568.
1. Testing purchasing power parity hypothesis: a semiparametric varying coefficient approach (with Z. Lin and C. Hsiao), 2015, Empirical Economics, Volume 48, Issue 1, pp 427-438.
Working Papers
1. Subsampling-Based Random Projection Regression (with K. Chiong and M. Shum)
2. A Machine Learning Approach to the Estimation and Inference of Heterogeneous Linear Regression Models (with M. Iwasawa).
3. MRC Estimation of Single Index Model with Varying Coefficient (with, J. Li and W. Zhang).
4. Estimation and Inference of Panel Data Models with Constrained Interactive Effects (with K. Li and S. Wang).
5. The Effect of Vertical Specialization on Exchange Rate Pass-through.
Work in Progress
1．Optimal Portfolio Selection with Random Projection
2．Nonasymptotic Inference of Hypothesis Testing (with M. Shum)
3．Nonparametric Estimation of I(1) Process with Drift Term
4．Identification and Estimation of Panel Data Model with Latent Groups and Potential Structural Changes (with J. Qian and L. Su)
5．Grouped Factor Model and Its Application to Exchange Rate Analysis (with Q. Wang and Y. Shi)
6．Estimation and Inference of Panel Data Models with Constrained Interactive Effects (with G. Cui and K. Li)
7．Dimension Matters
8．Conditional High Dimensional Portfolio Construction (with Z. Cai)
9．Controlling Interactive Fixed Effect of Panel Data Models Using Diversified Projections (with Q. Li, L. Wang and Q. Wang)
10．Market Competition in the Presence of Influential Users
Presentation
2016 Tsinghua University
2017 Shanghai Jiaotong University, HongKong University of Science and Technology
2019 Shanghai University of Finance and Economics, Jinan University, Huazhong University of Science and Technology
2020 Tsinghua University, Renmin University of China
2021 Xiamen University
Research Grants
National Natural Science Foundation of China (#71601130), Panel Data Model with Constrained Interactive Effects: Theory and Application.
Teaching
Tsinghua
1. Undergraduate：
-- Econometrics 2: Spring 2022
-- Industrial Economics：Spring 2022
2. Graduate：
-- Machine Learning: Fall 2022
Capital University of Economics and Business
-- Advanced Econometrics: Spring 2016, Spring 2017, Fall 2020
-- Frontier of Econometrics: Fall 2016, Fall 2017, Fall 2018
-- Mathematics for Economists: Fall 2014, Fall 2015
-- Statistical Inference: Spring 2015
Referee for Econometric Theory, Journal of the American Statistical Association, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Computational Statistics & Data Analysis, Economics Letters, Economic Modeling, Statistical Papers, etc.
