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Xiaohong Chen - Publications

Affiliations: 
Economics Yale University, New Haven, CT 
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60 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Chen X, Hansen LP, Hansen P. Robust Identification of Investor Beliefs National Bureau of Economic Research. DOI: 10.2139/Ssrn.3606276  0.302
2020 Chen X, Huang Z, Yi Y. Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models Journal of Econometrics. DOI: 10.1016/J.Jeconom.2020.07.012  0.372
2019 Chen X, Pouzo D, Powell JL. Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions Journal of Econometrics. 213: 30-53. DOI: 10.1016/J.Jeconom.2019.04.004  0.379
2018 Chen X, Santos A. Overidentification in Regular Models Econometrica. 86: 1771-1817. DOI: 10.2139/Ssrn.2597670  0.36
2017 Chen X, Christensen TM, Tamer E. Monte Carlo Confidence Sets for Identified Sets Econometrica. 86: 1965-2018. DOI: 10.3982/Ecta14525  0.345
2017 Chen X, Christensen TM. Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression Quantitative Economics. 9: 39-84. DOI: 10.1920/Wp.Cem.2017.0917  0.334
2017 Chen X, Linton O, Yi Y. Semiparametric identification of the bid–ask spread in extended Roll models Journal of Econometrics. 200: 312-325. DOI: 10.1016/J.Jeconom.2017.06.013  0.324
2016 Chen X, Qiu YJJ. Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide Annual Review of Economics. 8: 259-290. DOI: 10.1146/Annurev-Economics-080213-041155  0.383
2016 Chen X, Jacho-Chávez DT, Linton O. Averaging of an increasing number of moment condition estimators Econometric Theory. 32: 30-70. DOI: 10.1017/S0266466614000851  0.368
2015 Chen X, Pouzo D. Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models: Sieve Wald and QLR Inference Econometrica. 83: 1013-1079. DOI: 10.3982/Ecta10771  0.317
2015 Chen X, Liao Z. Sieve Semiparametric Two-Step GMM Under Weak Dependence Journal of Econometrics. 189: 163-186. DOI: 10.2139/Ssrn.2630224  0.363
2015 Chen X, Pouzo D. Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models Econometrica. 83: 1013-1079. DOI: 10.2139/Ssrn.2518456  0.39
2015 Chen X, Christensen TM. Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions Journal of Econometrics. 188: 447-465. DOI: 10.1016/J.Jeconom.2015.03.010  0.323
2015 Chang J, Chen SX, Chen X. High dimensional generalized empirical likelihood for moment restrictions with dependent data Journal of Econometrics. 185: 283-304. DOI: 10.1016/J.Jeconom.2014.10.011  0.373
2014 Huang Y, Chen X, Wu WB. Recursive Nonparametric Estimation for Time Series Ieee Transactions On Information Theory. 60: 1301-1312. DOI: 10.1109/Tit.2013.2292813  0.367
2014 Ackerberg D, Chen X, Hahn J, Liao Z. Asymptotic Efficiency of Semiparametric Two-Step GMM The Review of Economic Studies. 81: 919-943. DOI: 10.1093/Restud/Rdu011  0.361
2014 Cheng G, Zhou L, Chen X, Huang JZ. Efficient estimation of semiparametric copula models for bivariate survival data Journal of Multivariate Analysis. 123: 330-344. DOI: 10.1016/J.Jmva.2013.10.008  0.381
2014 Chen X, Liao Z. Sieve M inference on irregular parameters Journal of Econometrics. 182: 70-86. DOI: 10.1016/J.Jeconom.2014.04.009  0.38
2014 Chen X, Liao Z, Sun Y. Sieve inference on possibly misspecified semi-nonparametric time series models Journal of Econometrics. 178: 639-658. DOI: 10.1016/J.Jeconom.2013.10.002  0.359
2013 Chen X, Favilukis J, Ludvigson SC. An estimation of economic models with recursive preferences Quantitative Economics. 4: 39-83. DOI: 10.3982/Qe97  0.345
2013 Tao M, Wang Y, Chen X. Fast Convergence Rates In Estimating Large Volatility Matrices Using High-Frequency Financial Data Econometric Theory. 29: 838-856. DOI: 10.1017/S0266466612000746  0.328
2013 Chen X, Ponomareva M, Tamer ET. Likelihood Inference in Some Finite Mixture Models Journal of Econometrics. 182: 87-99. DOI: 10.1016/J.Jeconom.2014.04.010  0.369
2012 Chen X, Favilukis JY, Ludvigson SC. An Estimation of Economic Models with Recursive Preferences National Bureau of Economic Research. DOI: 10.2139/Ssrn.2188924  0.347
2012 Chen X, Pouzo D. Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals Econometrica. 80: 277-321. DOI: 10.2139/Ssrn.1753011  0.365
2011 Chen X, Chernozhukov VV, Lee S, Newey WK. Local Identification of Nonparametric and Semiparametric Models Econometrica. 82: 785-809. DOI: 10.1920/Wp.Cem.2011.1711  0.32
2011 Chen X, Hong H, Nekipelov D. Nonlinear models of measurement errors Journal of Economic Literature. 49: 901-937. DOI: 10.1257/Jel.49.4.901  0.323
2011 Ackerberg DA, Chen X, Hahn J. A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators The Review of Economics and Statistics. 94: 481-498. DOI: 10.1162/Rest_A_00251  0.354
2011 Chen X, Reiss M. On Rate Optimality for Ill-Posed Inverse Problems in Econometrics Econometric Theory. 27: 497-521. DOI: 10.1017/S0266466610000381  0.352
2010 Chen X, Fan Y, Pouzo D, Ying Z. Estimation and model selection of semiparametric multivariate survival functions under general censorship. Journal of Econometrics. 157: 129-142. PMID 24790286 DOI: 10.1016/J.Jeconom.2009.10.021  0.368
2010 Carroll RJ, Chen X, Hu Y. Identification and Estimation of Nonlinear Models Using Two Samples with Nonclassical Measurement Errors. Journal of Nonparametric Statistics. 22: 379-399. PMID 20495685 DOI: 10.1080/10485250902874688  0.332
2009 Chen X, Wu WBW, Yi Y. Efficient Estimation of Copula-Based Semiparametric Markov Models Annals of Statistics. 37: 4214-4253. DOI: 10.2139/Ssrn.1349768  0.397
2009 Chen X, Hansen LP, Scheinkman J. Nonlinear principal components and long-run implications of multivariate diffusions The Annals of Statistics. 37: 4279-4312. DOI: 10.1214/09-Aos706  0.3
2009 Chen X, Koenker R, Xiao Z. Copula-based nonlinear quantile autoregression Econometrics Journal. 12. DOI: 10.1111/J.1368-423X.2008.00274.X  0.381
2009 Ai C, Chen X. Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions Journal of Econometrics. 170: 442-457. DOI: 10.1016/J.Jeconom.2012.05.015  0.363
2009 Chen X, Pouzo D. Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals Journal of Econometrics. 152: 46-60. DOI: 10.1016/J.Jeconom.2009.02.002  0.391
2009 Chen X, Pouzo D. On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing Science in China, Series a: Mathematics. 52: 1157-1168. DOI: 10.1007/S11425-009-0058-Y  0.333
2009 Chen X, Ludvigson SC. Land of addicts? An empirical investigation of habit-based asset pricing models Journal of Applied Econometrics. 24: 1057-1093. DOI: 10.1002/Jae.1091  0.364
2008 Chen X, Pouzo D. Estimation of nonparametric conditional moment models with possibly nonsmooth moments Econometrica. 80. DOI: 10.2139/Ssrn.1126241  0.384
2008 Chen X, Hong H, Tarozzi A. Semiparametric efficiency in GMM models with auxiliary data Annals of Statistics. 36: 808-843. DOI: 10.1214/009053607000000947  0.366
2008 Chen X, Hu Y, Lewbel A. A note on the closed-form identification of regression models with a mismeasured binary regressor Statistics and Probability Letters. 78: 1473-1479. DOI: 10.1016/J.Spl.2007.12.024  0.333
2007 Chen X, Hu Y, Lewbel A. Nonparametric identification and estimation of nonclassical errors-in-variables models without additional information Statistica Sinica. DOI: 10.1920/Wp.Cem.2007.1807  0.39
2007 Blundell R, Chen X, Kristensen D. Semi-nonparametric IV estimation of shape-invariant engel curves Econometrica. 75: 1613-1669. DOI: 10.1111/J.1468-0262.2007.00808.X  0.368
2007 Chen X, Fan Y. A Model Selection Test For Bivariate Failure-Time Data Econometric Theory. 23: 414-439. DOI: 10.1017/S0266466607070181  0.348
2007 Chen X. Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models Handbook of Econometrics. 6: 5549-5632. DOI: 10.1016/S1573-4412(07)06076-X  0.394
2007 Ai C, Chen X. Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables Journal of Econometrics. 141: 5-43. DOI: 10.1016/J.Jeconom.2007.01.013  0.396
2007 Chen X, Hong H, Shum M. Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models Journal of Econometrics. 141: 109-140. DOI: 10.1016/J.Jeconom.2007.01.010  0.349
2006 Chen X, Fan Y, Tsyrennikov V. Efficient estimation of semiparametric multivariate copula models Journal of the American Statistical Association. 101: 1228-1240. DOI: 10.1198/016214506000000311  0.359
2006 Chen X, Fan Y. Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification Journal of Econometrics. 135: 125-154. DOI: 10.1016/J.Jeconom.2005.07.027  0.392
2006 Chen X, Fan Y. Estimation of Copula-Based Semiparametric Time Series Models Journal of Econometrics. 130: 307-335. DOI: 10.1016/J.Jeconom.2005.03.004  0.392
2005 Chen X, Hong H, Tamer E. Measurement Error Models with Auxiliary Data The Review of Economic Studies. 72: 343-366. DOI: 10.1111/J.1467-937X.2005.00335.X  0.348
2004 Chen X, Fan Y, Patton AJ. Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates Lse Research Online Documents On Economics. DOI: 10.2139/Ssrn.513024  0.34
2004 Chen X, Fan Y. Evaluating Density Forecasts via the Copula Approach Finance Research Letters. 1: 74-84. DOI: 10.1016/S1544-6123(03)00002-3  0.306
2003 Ai C, Chen X. Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions Econometrica. 71: 1795-1843. DOI: 10.1111/1468-0262.00470  0.383
2002 Chen X, Linton OB, Keilegom IV. Estimation of Semiparametric Models When the Criterion Function is Not Smooth Econometrica. 71: 1591-1608. DOI: 10.1920/Wp.Cem.2002.0202  0.386
2002 Carrasco M, Chen X. Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models Econometric Theory. 18: 17-39. DOI: 10.1017/S0266466602181023  0.341
2001 Chen X, Racine J, Swanson NR. Semiparametric ARX neural-network models with an application to forecasting inflation. Ieee Transactions On Neural Networks / a Publication of the Ieee Neural Networks Council. 12: 674-83. PMID 18249903 DOI: 10.1109/72.935081  0.331
1999 Chen X, White H. Improved rates and asymptotic normality for nonparametric neural network estimators Ieee Transactions On Information Theory. 45: 682-691. DOI: 10.1109/18.749011  0.328
1999 Chen X, Fan Y. Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series Journal of Econometrics. 91: 373-401. DOI: 10.1016/S0304-4076(98)00081-5  0.342
1998 Chen X, Shen X. Sieve extremum estimates for weakly dependent data Econometrica. 66: 289-314. DOI: 10.2307/2998559  0.371
1998 Chen X, White HL. Central Limit and Functional Central Limit Theorems for Hilbert-Valued Dependent Heterogeneous Arrays with Applications Econometric Theory. 14: 260-284. DOI: 10.2139/Ssrn.51140  0.36
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