Affiliation(s):

• Department of Economics, Wayne State University

I earned a Bachelor of Management in Management Science and a Bachelor of Engineering in Computer Science from the University of Science and Technology of China. My PhD is in Economics from the University of Rochester.

My area is econometrics, which applies statistical methods to economic models and data to quantify economic phenomena. My current research centers on both theoretical and applied econometrics.

On the theoretical side, I work on developing tests to detect nonlinear regime-switching patterns in economic and financial data. Linear models have been widely used in economics for its simplicity. However, real business cycle, geopolitical conflict and financial crisis all suggest that linear model might not be sufficient to characterize the real world. Instead, multi-state regime switching models are better representations. My test is to differentiate stochastic shocks to linear models from regime switching specifications in the data.

On the applied side, I work on topics in international finance and crude oil markets. Modeling and forecasting exchange rates are one of my interests. Contrary to what theories suggest, macroeconomic variables are found to contain little predictive content for exchange rates empirically, the so-called exchange rate disconnect or puzzles. I focus on proposing new variables and evaluating existing methodology to reconcile the puzzles. Crude oil markets have attracted great attention from academics, central banks and private sectors in recent years. Crude oil prices can be highly volatile, suggesting significant risk. However, crude oil volatility is very complex in nature, thus I utilize models that account for both regime switching and long-range dependence. I also investigate the evolution of oil market efficiency in the face of new phenomena like the fracking revolution.

It always fascinates me when economic theory and empirical results are in conflict. What drives the discrepancy? Was it assumption, data, or methodology? Thus, I arrive at attempting to reconcile those puzzles in economics. It is also very rewarding to be able to contribute my share to the joint efforts to uncover those mysteries.

Big data and machine learning are the emerging area of research I would like to participate in. The growing availability of new sources of big data in economics and finance makes it possible to produce more up-to-date, more accurate and more disaggregated statistics through machine learning. While econometrics has a solid foundation in mathematical statistics, machine learning is more data driven. Nevertheless, theory- and data-driven modes of analysis have always coexisted. Combining the two not only help us improve the results, but also expand the scope of our work.

The following paper is what I ask students to read and present in the 3rd course of our PhD econometrics sequence: 
Acemoglu, Daron, Simon Johnson, and James A. Robinson. 2001. “The Colonial Origins of Comparative Development: An Empirical Investigation.” American Economic Review, 91 (5): 1369-1401.
It is one of the most cited papers in economics, estimating the effect of institutions on the large differences in income per capita across countries. To address endogeneity, they proposed to use European settler mortality as an instrumental variable of institutional development in former colonies. It combines econometrics, development economics, history and political science. A very interesting and informative STEM paper!

My role model is Madame Curie. I learned about her in one of my Chinese classes in elementary school. The story was about an interview with Madame Curie eighteen years after her discovery of radium. Journalist asked her why she gave up the patent. She answered, “Radium was not to enrich anyone. Radium is an element; it belongs to the people”. When asked if there was anything she ever wanted, Madame Curie said, “I need a gram of radium to continue my research, but I cannot afford it”. American public was so touched and started a national campaign to raise funds for her. She was given a gram of radium, twice, for her to conduct research.

I was ten years old and was totally amazed by the story. I then borrowed books, trying to know more about her. I was utterly in awe. Her dedication to research, her passion for science, her love for her country and for people and her courage to break gender barriers made her my role model forever

I love travelling. Here are a few highlights of my trips. I visited Isle Royale National Park in Lake Superior and enjoyed its solitude and remote wilderness. I hiked in the Andes for 5 days to reach Machu Picchu on a summer solstice, and I saw the most stunning night sky from the Southern Hemisphere. Right now I am in the middle of a plan to visit the “Five Great Mountains of China”. I have crossed out three, with two more (Southern Yue and Western Yue) to go