Xiaohong Chen

发表

Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications

Xiaohong Chen, H. White, 1996, Econometric Theory.

Estimation of Semiparametric Models When the Criterion Function is Not Smooth

Xiaohong Chen, O. Linton, I. Van Keilegom, 2002 .

Semiparametric efficiency in GMM models with auxiliary data

Xiaohong Chen, H. Hong, Alessandro Tarozzi, 2007, 0705.0069.

Efficient Estimation of Semiparametric Multivariate Copula Models Efficient Estimation of Semiparametric Multivariate Copula Models *

Xiaohong Chen, Yanqin Fan, Viktor Tsyrennikov, 2004 .

STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS

Xiaohong Chen, N. Chan, L. Peng, 2009 .

Copula-Based Nonlinear Quantile Autoregression

Xiaohong Chen, R. Koenker, Zhijie Xiao, 2008 .

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

Xiaohong Chen, Yanqin Fan, 2006 .

Efficient Estimation of Copula-Based Semiparametric Markov Models

Xiaohong Chen, W. Wu, Yanping Yi, 2009 .

Estimation of Copula-Based Semiparametric Time Series Models

Xiaohong Chen, Yanqin Fan, 2006 .

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Xiaohong Chen, Demian Pouzo, 2009 .

Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

Xiaohong Chen, C. Ai, 2003 .

Asymptotic Properties of Some Projection-Based Robbins-Monro Procedures in a Hilbert Space

Xiaohong Chen, Halbert L. White, Jr., 2002 .

Nonparametric Adaptive Learning with Feedback

Xiaohong Chen, H. White, 1998 .

Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression

Xiaohong Chen, T. Christensen, 2015, 1508.03365.

Overidentification in Regular Models

Xiaohong Chen, Andrés Santos, 2015 .

Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models

Xiaohong Chen, 2007 .

Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models

Xiaohong Chen, Demian Pouzo, 2014, 1411.1144.

Semi‐Nonparametric IV Estimation of Shape‐Invariant Engel Curves

Xiaohong Chen, R. Blundell, Dennis Kristensen, 2003 .

Optimal Sup-Norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation

Xiaohong Chen, T. Christensen, 2015 .

Dynamic Nonlinear Pricing Model Based on Adaptive and Sophisticated Learning

Xiaohong Chen, Wen-Jie Bi, Yinghui Sun, 2014 .

Causality, prediction, and specification analysis: Recent advances and future directions

Norman R. Swanson, Xiaohong Chen, Xiaohong Chen, 2014 .

A note on the closed-form identification of regression models with a mismeasured binary regressor

Yingyao Hu, Arthur Lewbel, Xiaohong Chen, 2008 .

Measurement Error Models with Auxiliary Data

Han Hong, Elie Tamer, Xiaohong Chen, 2005 .

Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects

Han Hong, Xiaohong Chen, Xiaohong Chen, 2008 .

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Xiaohong Chen, 2011 .

MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

Xiaohong Chen, M. Carrasco, 2002, Econometric Theory.

Efficient Estimation of Copula-Based Semiparametric Markov Models

Xiaohong Chen, W. Wu, Yanping Yi, 2009, 0901.0751.

High dimensional generalized empirical likelihood for moment restrictions with dependent data

Xiaohong Chen, Song-xi Chen, Jinyuan Chang, 2013, 1308.5732.

A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators

Daniel A. Ackerberg, Xiaohong Chen, J. Hahn, 2011, Review of Economics and Statistics.

Estimation of Semiparametric Models When the Criterion Function is Not Smooth

Oliver Linton, Ingrid Van Keilegom, Xiaohong Chen, 2002 .

ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS

Xiaohong Chen, Markus Reiss, Xiaohong Chen, 2007, Econometric Theory.

Sieve extremum estimates for weakly dependent data

Xiaotong Shen, Xiaohong Chen, Xiaohong Chen, 1998 .

Comment

Xiaohong Chen, Xiaohong Chen, 2013 .

Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables

Chunrong Ai, Xiaohong Chen, Xiaohong Chen, 2007 .

Nonlinearity and Temporal Dependence

Lars Peter Hansen, Marine Carrasco, Xiaohong Chen, 2008 .

Asymptotic Properties of Penalized M Estimators with Time Series Observations

Xiaohong Chen, Z. Liao, 2013 .

CENTRAL LIMIT AND FUNCTIONAL CENTRAL LIMIT THEOREMS FOR HILBERT-VALUED DEPENDENT HETEROGENEOUS ARRAYS WITH APPLICATIONS

Halbert L. White, Jr., Xiaohong Chen, Xiaohong Chen, 1997, Econometric Theory.

Land of addicts? an empirical investigation of habit-based asset pricing models

Xiaohong Chen, S. Ludvigson, 2009 .

Copula-based time series with filtered nonstationarity

Xiaohong Chen, Zhijie Xiao, Bo Wang, 2020 .

Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression

Xiaohong Chen, T. Christensen, 2013, 1311.0412.

Improved Rates and Asymptotic Normality for Nonparametric Neural Network Estimators

Halbert White, Xiaohong Chen, Xiaohong Chen, 1999, IEEE Trans. Inf. Theory.

Sieve M inference on irregular parameters

Zhipeng Liao, Xiaohong Chen, Xiaohong Chen, 2014 .

Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models

Han Hong, Matthew Shum, Xiaohong Chen, 2007 .

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Xiaohong Chen, P. Phillips, R. Dahlhaus, 2003 .

Pseudo‐likelihood ratio tests for semiparametric multivariate copula model selection

Yanqin Fan, Xiaohong Chen, Xiaohong Chen, 2005 .

Semiparametric identification of the bid–ask spread in extended Roll models

Xiaohong Chen, O. Linton, Yanping Yi, 2017 .

Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide

Xiaohong Chen, Y. Qiu, 2016 .

Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide

Xiaohong Chen, Y. Qiu, 2016 .

Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series

Yanqin Fan, Xiaohong Chen, Xiaohong Chen, 1999 .

Sieve Semiparametric Two-Step GMM Under Weak Dependence

Zhipeng Liao, Xiaohong Chen, Xiaohong Chen, 2015 .

AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS

David T. Jacho-Chávez, Xiaohong Chen, O. Linton, 2014, Econometric Theory.

Sieve Inference on Semi-Nonparametric Time Series Models

Xiaohong Chen, Yixiao Sun, Z. Liao, 2012 .

Sieve Inference on Semi-Nonparametric Time Series Models

Xiaohong Chen, Yixiao Sun, Z. Liao, 2012 .

An Alternative Way of Computing Efficient Instrumental Variable Estimators

Oliver Linton, David T. Jacho-Chávez, Xiaohong Chen, 2009 .

Monte Carlo Confidence Sets for Identified Sets

Elie Tamer, Xiaohong Chen, Timothy Christensen, 2016, 1605.00499.

MCMC Confidence Sets for Identified Sets

Xiaohong Chen, E. Tamer, T. Christensen, 2016 .

MCMC Con dence Sets for Identi ed Sets

Xiaohong Chen, E. Tamer, T. Christensen, 2016 .

Robust identification of investor beliefs

Xiaohong Chen, L. Hansen, Peter G. Hansen, 2020, Proceedings of the National Academy of Sciences.

Robust Identification of Investor Beliefs

Xiaohong Chen, L. Hansen, Peter G. Hansen, 2020 .

Robust identification of investor beliefs

Xiaohong Chen, L. Hansen, Peter G. Hansen, 2020, Proceedings of the National Academy of Sciences.

Likelihood Inference in Finite Mixture Models with Applications to Experimental Data ∗

Xiaohong Chen, E. Tamer, Niu, 2013 .

Sensitivity Analysis in Semiparametric Likelihood Models

Xiaohong Chen, E. Tamer, Alexander Torgovitsky, 2011 .

b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models

Xiaohong Chen, M. Carrasco, 1999 .

On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation

Xiaohong Chen, Zhengling Qi, 2022, ICML.

Casual inference of General Treatment Effects using Neural Networks with A Diverging Number of Confounders

Xiaohong Chen, Y. Liu, Shujie Ma, 2020, 2009.07055.

Evaluating Density Forecasts via the Copula Approach

Xiaohong Chen, Yanqin Fan, 2003 .

Inference for parameters identified by conditional moment restrictions using a penalized Bierens maximum statistic

Xiaohong Chen, S. Lee, M. Seo, 2020, 2008.11140.

Powerful Inference.

Xiaohong Chen, S. Lee, M. Seo, 2020 .

An Estimation of Economic Models with Recursive

Xiaohong Chen, S. Ludvigson, J. Favilukis, 2007 .

Heterogeneity and Aggregate Fluctuations

Frank Schorfheide, Minsu Chang, Xiaohong Chen, 2021, SSRN Electronic Journal.

Efficient Estimation in NPIV Models: A Comparison of Various Neural Networks-Based Estimators

Xiaohong Chen, E. Tamer, Jiafeng Chen, 2021, ArXiv.

Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators

Xiaohong Chen, E. Tamer, Jiafeng Chen, 2023, Journal of Econometrics.

Self-normalized Cram\'er Type Moderate Deviations under Dependence

Wei Biao Wu, Qi-Man Shao, Xiaohong Chen, 2014, 1409.3642.

On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing

Xiaohong Chen, Demian Pouzo, 2009 .

Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments

Xiaohong Chen, A. Lewbel, Yingyao Hu, 2007 .

An Estimation of Economic Models with Recursive Preferences

Xiaohong Chen, S. Ludvigson, J. Favilukis, 2011 .

Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space

Xiaohong Chen, H. White, 2002 .

Selection of Copulas with Applications in Finance

Xiaohong Chen, Z. Cai, Yanqin Fan, 2008 .

Selection of Copulas for Risk Management ∗

Xiaohong Chen, Z. Cai, Yanqin Fan, 2009 .

Identification and SQRT N Efficient Estimation of Semiparametric Panel Data Models with Binary Dependent Variables and a Latent Factor

J. Heckman, Xiaohong Chen, E. Vytlacil, 2000 .

Credit growth in China : determinants and consequences

Xiaohong Chen, 2020 .

Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models

Xiaohong Chen, Demian Pouzo, 2013 .

Recursive Nonparametric Estimation for Time Series

Xiaohong Chen, Wei Biao Wu, Yinxiao Huang, 2014, IEEE Transactions on Information Theory.

Sieve Extremum Estimation

Xiaohong Chen, 2008 .

Averaging of moment condition estimators

David T. Jacho-Chávez, Xiaohong Chen, O. Linton, 2012 .

Recent advances and future directions in causality, prediction, and specification analysis

Norman R. Swanson, Halbert White, Xiaohong Chen, 2013 .

A reverse Gaussian correlation inequality by adding cones

Xiaohong Chen, Fuchang Gao, 2017 .

Efficient estimation of semiparametric copula models for bivariate survival data

Guang Cheng, Lan Zhou, Jianhua Z. Huang, 2014, J. Multivar. Anal..

Sieve inference on possibly misspecified semi-nonparametric time series models

Xiaohong Chen, Yixiao Sun, Z. Liao, 2014 .

Identification and estimation of nonlinear models using two samples with nonclassical measurement errors

Yingyao Hu, Raymond J. Carroll, Xiaohong Chen, 2010, Journal of nonparametric statistics.

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments

Demian Pouzo, Xiaohong Chen, Xiaohong Chen, 2008 .

Returns to Lying When the Truth is Unobserved and Identifying Measurement Error Models Without Instruments

Susanne M. Schennach, Xiaohong Chen, A. Lewbel, 2008 .

Nonparametric identification and estimation of nonclassical errors-in-variables models without additional information

Xiaohong Chen, A. Lewbel, Yingyao Hu, 2007 .

Identification and Inference of Nonlinear Models Using Two Samples with Aribrary Measurement Errors

Xiaohong Chen, Yingyao Hu, 2006 .

Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship

Zhiliang Ying, Yanqin Fan, Demian Pouzo, 2008, Journal of econometrics.

Nonlinear Models of Measurement Errors

Han Hong, Xiaohong Chen, Denis Nekipelov, 2011 .

Local Identification of Nonparametric and Semiparametric Models

W. Newey, Xiaohong Chen, V. Chernozhukov, 2011, 1105.3007.

Likelihood Inference in Some Finite Mixture Models

Xiaohong Chen, E. Tamer, M. Ponomareva, 2013 .

Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions

Xiaohong Chen, Timothy Christensen, Xiaohong Chen, 2014, 1412.6020.

Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

Xiaohong Chen, O. Linton, Yanping Yi, 2016 .

Spectral Decomposition of Forms 1

Xiaohong Chen, L. Hansen, J. Scheinkman, 2007 .

Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions

J. Powell, Xiaohong Chen, Demian Pouzo, 2019, Journal of Econometrics.

Public participation, investment networks, and China's outward FDI evidence from 58 countries along the belt and road

Xiaohong Chen, Dongkun Li, Paul Wohlfarth, 2022, Emerging Markets Review.

Semiparametric estimation of the bid–ask spread in extended roll models

Xiaohong Chen, O. Linton, Yanping Yi, 2019, Journal of Econometrics.

Flexible Estimation of Treatment Effect Parameters

Han Hong, Xiaohong Chen, Xiaohong Chen, 2011 .

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

Xiaohong Chen, S. Ludvigson, 2004 .

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Xiaohong Chen, Sydney C. Ludvigson, Xiaohong Chen, 2004 .

Time-Series Restrictions for the Cross-Section of Expected Returns: Evaluating Multifactor CCAPMs

Xiaohong Chen, Martin Schneider, Douglas Gale, 2004 .

Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals

Demian Pouzo, Xiaohong Chen, Xiaohong Chen, 2008 .

Nonlinearity and Temporal Dependence

Xiaohong Chen, L. Hansen, 2008 .

Semiparametric Efficiency in GMM Models with Nonclassical Measurement Error

Xiaohong Chen, Alessandro Tarozzi, 2006 .

Asymptotic Efficiency of Semiparametric Two-Step GMM

Xiaohong Chen, J. Hahn, Z. Liao, 2012 .

Local Identification of Nonparametric and Semiparametric Models Citation

W. Newey, Xiaohong Chen, V. Chernozhukov, 2013 .

Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves

Xiaohong Chen, Yuan Liao, Weichen Wang, 2022, ArXiv.

Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions

Chunrong Ai, Xiaohong Chen, Xiaohong Chen, 2009 .

A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA

Xiaohong Chen, Yanqin Fan, 2007, Econometric Theory.

China's money demand in a cointegrating vector error correction model

Xiaohong Chen, Ron P. Smith, P. Wohlfarth, 2021 .

A Stochastic Dynamic Programming Approach Based on Bounded Rationality and Application to Dynamic Portfolio Choice

Xiaohong Chen, Wenjie Bi, Liuqing Tian, 2014 .

(www.interscience.wiley.com) DOI: 10.1002/jae.1091 LAND OF ADDICTS? AN EMPIRICAL INVESTIGATION OF HABIT-BASED ASSET PRICING MODELS

Xiaohong Chen, S. Ludvigson, 2022 .

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Xiaohong Chen, 2011 .

ESTIMATION OF NONPARAMETRIC CONDITIONAL MOMENT

Xiaohong Chen, Demian Pouzo, 2012 .

ST ] 1 6 M ay 2 01 1 LOCAL IDENTIFICATION OF NONPARAMETRIC AND SEMIPARAMETRIC MODELS

W. Newey, Xiaohong Chen, V. Chernozhukov, 2011 .

Causal Inference of General Treatment Effects using Neural Networks with A Diverging Number of Confounders

Xiaohong Chen, Y. Liu, Shujie Ma, 2020, 2009.07055.

Adaptive Estimation of Quadratic Functionals in Nonparametric Instrumental Variable Models

Christoph Breunig, Xiaohong Chen, Xiaohong Chen, 2021 .

Semiparametric ARX neural-network models with an application to forecasting inflation

Jeffrey S. Racine, Norman R. Swanson, Xiaohong Chen, 2001, IEEE Trans. Neural Networks.

Difference-in-Differences with Multiple Time Periods∗

Xiaohong Chen, J. Wooldridge, Bruno Ferman, 2019 .

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Xiaohong Chen, 2011 .

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Xiaohong Chen, 2004 .

Recent advances and future directions in causality, prediction, and specification analysis

Xiaohong Chen, Norman R. Swanson, Xiaohong Chen, 2013 .

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Xiaohong Chen, Yanping Yi, Zhuo Huang, 2019, Journal of Econometrics.

Dynamic Pricing of Fashion-Like Multiproducts with Customers’ Reference Effect and Limited Memory

Guo Li, Mengqi Liu, Xiaohong Chen, 2014 .

Robust Inference for Moment Condition Models without Rational Expectations

Xiaohong Chen, L. Hansen, Peter G. Hansen, 2021, SSRN Electronic Journal.

SGMM: Stochastic Approximation to Generalized Method of Moments

Xiaohong Chen, Yuan Liao, S. Lee, 2023, ArXiv.

An Estimation of Economic Models with Recursive Preferences

Sydney C. Ludvigson, Xiaohong Chen, S. Ludvigson, 2007 .

Efficient Estimation of Semiparametric Multivariate Copula Models

Xiaohong Chen, Yanqin Fan, Viktor Tsyrennikov, 2006 .

Nonlinearity and Temporal Dependence *

Xiaohong Chen, L. Hansen, J. Scheinkman, 2009 .

FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA

Minjing Tao, Yazhen Wang, Xiaohong Chen, 2013, Econometric Theory.

Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models

Xiaohong Chen, C. Breunig, 2020, 2006.09587.

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Xiaohong Chen, Demian Pouzo, 2009 .

Journal of the American Statistical Association Efficient Estimation of Semiparametric Multivariate Copula Models Efficient Estimation of Semiparametric Multivariate Copula Models

Xiaohong Chen, Yanqin Fan, Viktor Tsyrennikov, 2022 .

Endogenous Entry and Risk Aversion in Oil and Gas Lease Auctions

Xiaohong Chen, E. Guerre, Keiichi Kawai, 2015 .

Nonparametric identification and estimation of nonclassical errors-in-variables models without additional information

Xiaohong Chen, Yingyao Hu, Arthur Lewbel, 2007 .

Recent advances and future directions in causality, prediction, and specification analysis : essays in honor of Halbert L. White Jr

Norman R. Swanson, Xiaohong Chen, H. White, 2013 .

Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

Yanqin Fan, Andrew J. Patton, Xiaohong Chen, 2004 .

Principal Components and Long Run Implications of Multivariate Diffusions

Xiaohong Chen, L. Hansen, J. Scheinkman, 2009, 0908.0547.

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Xiaohong Chen, S. Lee, M. Seo, 2020, 2008.11140.

Identi ... cation and p N E ¢ cient Estimation of Semiparametric Panel Data Models with Binary Dependent Variables and a Latent Factor ¤

J. Heckman, Xiaohong Chen, 1999 .

Cowles Foundation for Research in Economics at Yale University Cowles Foundation Discussion Paper No . 1895 LIKELIHOOD INFERENCE IN SOME FINITE MIXTURE MODELS

Xiaohong Chen, Yale Maria Ponomareva, Niu Elie Tamer, 2013 .

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Xiaohong Chen, 2011 .