Professor of Economics — Econometrics & AI
Weining
Wang
Econometrics for modern economic and financial data: high-dimensional inference, networks, structural change, causal dynamics, forecasting and machine-learning methods.
About
I am a Professor of Economics at the University of Bristol. My research develops econometric methods for complex, high-dimensional and dependent data, with applications to economic networks, financial risk, structural change and forecasting.
My current work connects modern econometrics with machine learning and AI-based time-series methods, including Transformer-based systemic-risk measurement, causal state-dependent local projections and robust or quasi-Bayesian GMM.
Before Bristol, I held professorial appointments at the University of Groningen and the University of York, following earlier positions at City, University of London and Humboldt University of Berlin.
Selected Publications
Recent journal articles and working papers. The complete list is linked below.
Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models
Conditionally accepted · Quantitative Economics
Uniform Inference on High-Dimensional Spatial Panel Networks
Journal of Business & Economic Statistics
Causal State-Dependent Local Projections
Working paper · Bristol Economics Discussion Paper
Transformer-Based CoVaR: Systemic Risk in Textual Information
Working paper · Revision requested, Journal of Financial Econometrics
Nonlinearity in Dynamic Causal Effects: Making the Bad into the Good, and the Good into the Great?
Journal of Business & Economic Statistics · 43(4), 770–777
Improved Estimation of Dynamic Models of Conditional Means and Variances
Journal of Time Series Analysis · 46(3), 458–490
Using Generalized Estimating Equations to Estimate Nonlinear Models with Spatial Data
Econometric Reviews · 44(2), 214–242
ℓ² Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM
The Annals of Statistics · 52(2), 602–627
Timeline
Academic appointments and education.
Professor of Economics
School of Economics, University of Bristol
Bristol, United Kingdom
Chair Professor in Econometrics
University of Groningen
Groningen, Netherlands
Chair Professor in Financial Econometrics
University of York
York, United Kingdom
Reader
City, University of London
London, United Kingdom
Junior Professor
Humboldt University of Berlin
Berlin, Germany
Dr. rer. pol. in Economics
Humboldt University of Berlin
Berlin, Germany
MSc in Statistics
Humboldt University of Berlin
Berlin, Germany
BSc in Mathematics
Hong Kong Baptist University
Hong Kong
Current Research
Selected ongoing projects from the Google academic website.
Estimating Spillover Effects under Dense Measurement Error
Joint work with Aureo de Paula and Yingxing Li on spillover estimation when network measurements are dense and noisy.
Causal State-Dependent Local Projections
A causal and nonparametric framework for state-dependent responses to aggregate shocks.
From VARs to AI-Based Time-Series Forecasting
A review of the shift from classical multivariate forecasting toward modern machine-learning and AI-based methods.
Transformer-Based CoVaR
Integrates financial text and market data to estimate systemic risk and improve CoVaR forecasts.
Plausible GMM: A Quasi-Bayesian Approach
Models uncertainty about moment misspecification and develops robust quasi-Bayesian inference.
Beta-Sorted Portfolios
Econometric foundations and uniform inference for beta-sorted portfolio methods in empirical asset pricing.