Hi! I'm Shang Gao.

I am a postdoctoral researcher at School of Economics and Management, Tsinghua University, where I work under the supervision of Prof. Liangjun Su.

My research focuses on theoretical econometrics, large dimensional factor models, and machine learning, with applications in macroeconomics and finance.

I received my Ph.D. in Economics from Fudan University in 2024, and my M.A. and B.A. in Economics from Lingnan College, Sun Yat-sen University in 2020 and 2018, respectively.

Shang Gao
gaoshang(at)sem.tsinghua.edu.cn
Qidi Technology Building C, 100084
Haidian District, Beijing, China
CV | Google Scholar
Research Interests
Theoretical Econometrics
Factor Models
Machine Learning
Contact
gaoshang(at)sem.tsinghua.edu.cn Beijing, China
GitHub | SSRN

Research

Publications

Testing for strict stationarity via the discrete Fourier transform

with Zhonghao Fu, Liangjun Su, and Xia Wang
Econometric Theory, 2024, 40, 511–557.

High-dimensional conditional factor model

with Zhonghao Fu, Liangjun Su, and Xia Wang
Journal of Econometrics, 2026, Forthcoming.

Working Papers

On state-varying FAVAR models: estimation, inference and testing

with Zhonghao Fu, Liangjun Su, and Xia Wang
Working Paper

Inference in high-dimensional single-index conditional factor models

with Liangjun Su
Working Paper

Detecting multiple distributional structural breaks via empirical characteristic functions and shrinkage estimation

with Zhonghao Fu, Liangjun Su, and Xia Wang
Working Paper