Ruoyao Shi (史若瑶)

I am an assistant professor at Department of Economics, University of California, Riverside. My research areas are econometrics methods and applied microeconomics.

Here is my CV. Here is my Google Scholar page.

Working Papers

3. Econometric Inference Using Hausman Instruments (joint with Jinyong Hahn, Zhipeng Liao and Nan Liu, under review) [supplemental appendix]

2. Identification and Estimation of Nonstationary Dynamic Binary Choice Models (joint with Cheng Chou and Geert Ridder, (resubmission requested at Journal of Econometrics)

    Abstract: In a dynamic binary choice model that allows for general forms of nonstationarity, we transform the identification of the flow utility parameters into the solution of a (linear) system of equations. The identification of the parameters, therefore, follows the usual argument for linear GMM. In particular, we show that the state transition distribution is not essential for the identification and estimation of the parameters. We propose a three-step conditional-choice-probability-based semiparametric estimator that bypasses estimation of and simulating from the state transition distribution. Simulation experiments show that our estimator gives comparable or better estimates than a competitor estimator, yet it requires fewer assumptions in certain scenarios, is substantially easier to implement, and is computationally much less demanding. The asymptotic distribution of the estimator is provided, and the sensitivity of the estimator to a key assumption is also examined.

1. Identification and Estimation of Nonparametric Hedonic Equilibrium Model with Unobserved Quality (resubmission requested at Journal of Econometrics)

    Abstract: This paper studies a nonparametric hedonic equilibrium model in which certain product characteristics are unobserved by researchers. Unlike most previously studied hedonic models, the observed and unobserved agent heterogeneities both enter the structural functions nonparametrically. Prices are endogenously determined in the equilibrium. Using both within market and cross market price variations, I show the nonparametric identification of all the structural functions of the model up to normalization. In particular, the unobserved product quality function is identified if the relative prices of the agent characteristics differ in at least two markets. Following the constructive identification strategy, I provide easy-to-implement series minimum distance estimators of the structural functions and derive their uniform rates of convergence. To demonstrate the estimation procedure, I estimate the unobserved efficiency of American full-time workers as a function of age and unobserved ability.

Publications

7. Mark Kamstra and Ruoyao Shi (2024), "Testing and Ranking of Asset Pricing Models Using the GRS Statistic." Journal of Risk and Financial Management, 17(4), 168. [R code]

6. Jinyong Hahn, Hyungsik Roger Moon and Ruoyao Shi (2024), "Test of Neglected Heterogeneity in Dyadic Models." Forthcoming at Journal of Econometrics. An earlier version was circulated under the title "Breusch and Pagan's (1980) Test Revisited". [working paper]

5. Jinyong Hahn, Zhipeng Liao, Geert Ridder and Ruoyao Shi (2023), "The Influence Function of Semiparametric Two-step Estimators with Estimated Control Variables." Economics Letters 231, 111277. [pre-proof] [supplemental appendices]

4. Ruoyao Shi (2024), "An Averaging Estimator for Two-Step M-Estimation in Semiparametric Models." Econometric Theory, 40(3), 652-687. [working paper and supplemental material]

3. Cheng Chou and Ruoyao Shi (2021), "What Time Use Surveys Can (And Cannot) Tell Us About Labor Supply." Journal of Applied Econometrics, 36(7), 917-937. [working paper] [online appendices] [data and program]

2. Xu Cheng, Zhipeng Liao and Ruoyao Shi (2019), "On Uniform Asymptotic Risk of Averaging GMM Estimators." Quantitative Economics, 10(3), 931-979.

1. Jinyong Hahn and Ruoyao Shi (2017), "Synthetic Control and Inference." Econometrics, 5(4): 52.

Teaching

PhD

Undergraduate

Awards and Fellowships

As Assistant Professor

As Student