WEI Jiezheng

Professor Jia Li
Email: jiali@smu.edu.sg
Tel: +65 6828 0707

Professor Yichong Zhang
Email: yczhang@smu.edu.sg
Tel: +65 6828 0881

Professor Andrew J. Patton
Email: andrewpatton@smu.edu.sg
Tel: +65 6828 0752

Professor Qiyuan Li
Email: qiyuanli@hku.hk
Tel: 3910 3305

WORKING PAPERS

“Weak Identification in News-Jump Regressions” (Job Market Paper)

News-jump regressions are high-frequency event-study regressions under infill asymptotics. When news-jumps in explanatory variables over narrow observation windows are of the same magnitude as diffusive background noise, the regression coefficient is weakly identified, invalidating least-squares estimation and inference. I develop identification-robust inference based on Anderson–Rubin tests and derive, in a Gaussian limit experiment arising from the jump-diffusion process, a minimal sufficient and complete statistic for jumps, thereby enabling powerful conditional inference. In applications, I invert the proposed robust tests to revisit the empirical questions of Nakamura and Steinsson (2018) using minute-by-minute data, assess the effects of oil shocks triggered by the Russia–Ukraine and Iran wars, and examine the dependence of news-driven ETF jumps on market-index jumps. 

RESEARCH PAPERS

“Identifying Monetary Policy Shocks with Large Language Models”, with Sen Zhang

“Honest Inference for High-Dimensional Linear Models”, with Dennis Lim, Pengjin Min, and Jonathan H W Tan

“A Fixed-k Bipower Jump Test”, with Jia Li, Qiyuan Li, and Andrew J. Patton

“Evaluating AI Forecasts on Future Sport Events”, with Jia Li and Andrew J. Patton