Details about Xiaohong Chen

E-mail:
Workplace:	Cowles Foundation for Research in Economics, Yale University, (more information at EDIRC)

Access statistics for papers by Xiaohong Chen.

Last updated 2019-08-31. Update your information in the RePEc Author Service.

Short-id: pch1746

---

Jump to Journal Articles Edited books Chapters

Working Papers

2019

1. Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions
   Papers, arXiv.org

2018

2. Overidentification in Regular Models
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015)
   See also Journal Article in Econometrica (2018)

2017

3. Monte Carlo Confidence Sets for Identified Sets
   Papers, arXiv.org View citations (1)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) View citations (1)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (1)
   See also Journal Article in Econometrica (2018)
4. Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
   Also in Papers, arXiv.org (2017) View citations (1)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (1)

2016

5. MCMC Confidence sets for Identified Sets
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (4)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (3)
6. Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   See also Journal Article in Annual Review of Economics (2016)
7. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (1)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (1)

2015

8. Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (5)
9. Sieve Semiparametric Two-Step GMM under Weak Dependence
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
   See also Journal Article in Journal of Econometrics (2015)
10. Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
    Papers, arXiv.org View citations (8)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) View citations (1)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) View citations (3)
    See also Journal Article in Econometrica (2015)

2014

11. Asymptotic efficiency of semiparametric two-step GMM
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (8)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (5)
    See also Journal Article in Review of Economic Studies (2014)
12. High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article in Journal of Econometrics (2015)
13. Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) View citations (1)
    See also Journal Article in Journal of Econometrics (2015)

2013

14. An estimation of economic models with recursive preferences
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (22)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (2)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
    2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (3)
    See also Journal Article in Quantitative Economics (2013)
15. Likelihood Inference in Some Finite Mixture Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (2)
    See also Journal Article in Journal of Econometrics (2014)
16. Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
    Papers, arXiv.org
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (9)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (9)
17. Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)

2012

18. Averaging of moment condition estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
19. Local Identification of Nonparametric and Semiparametric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) View citations (3)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2011) View citations (2)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
    See also Journal Article in Econometrica (2014)
20. Sieve Inference on Semi-nonparametric Time Series Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (4)

2011

21. A practical asymptotic variance estimator for two-step semiparametric estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
    See also Journal Article in The Review of Economics and Statistics (2012)
22. Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
23. Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (13)
    See also Journal Article in Econometrica (2012)
24. Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2011)
25. Sensitivity Analysis in Semiparametric Likelihood Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (11)

2009

26. An Alternative Way of ComputingEfficient Instrumental VariableEstimators
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (3)
27. Efficient Estimation of Copula-based Semiparametric Markov Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (20)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (14)
28. Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (56)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (53)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (7)
    Working Papers, Yale University, Department of Economics (2008) View citations (5)
    See also Journal Article in Journal of Econometrics (2009)
29. Nonlinearity and Temporal Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    Also in Working Papers, Yale University, Department of Economics (2008) View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (13)
    CIRANO Working Papers, CIRANO (2009) View citations (1)
    See also Journal Article in Journal of Econometrics (2010)
30. Principal Components and Long Run Implications of Multivariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
31. Principal components and the long run
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (3)
32. Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (1)
    See also Journal Article in Journal of Econometrics (2012)

2008

33. Copula-Based Nonlinear Quantile Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2008) View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (1)
    See also Journal Article in Econometrics Journal (2009)
34. Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2010)
35. Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (10)
    Working Papers, Yale University, Department of Economics (2008) View citations (7)
36. Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (11)
    Also in Working Papers, Yale University, Department of Economics (2008) View citations (19)

2007

37. An Estimation of Economic Models with Recursive
    FMG Discussion Papers, Financial Markets Group View citations (2)
38. Nonparametric Identification and Estimation of Nonclassical Errors-in-Variables Models Without Additional Information
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (1)
39. Nonparametric Identification of Regression Models Containing a Misclassified Dichotomous Regressor Without Instruments
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (3)
    See also Journal Article in Economics Letters (2008)
40. On Rate Optimality for Ill-posed Inverse Problems in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (25)
    See also Journal Article in Econometric Theory (2011)

2006

41. Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)

2004

42. (IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
    FMG Discussion Papers, Financial Markets Group View citations (11)
43. A Model Selection Test for Bivariate Failure-Time Data
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics
    See also Journal Article in Econometric Theory (2007)
44. An Empirical Investigation of Habit-Based Asset Pricing Models
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (3)
45. Efficient Estimation of Semiparametric Multivariate Copula Models
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics View citations (3)
    See also Journal Article in Journal of the American Statistical Association (2006)
46. Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics
    See also Journal Article in Journal of Econometrics (2006)
47. Estimation of Copula-Based Semiparametric Time Series Models
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (2)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2004) View citations (1)
    See also Journal Article in Journal of Econometrics (2006)
48. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
49. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
    2004 Meeting Papers, Society for Economic Dynamics View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2009)
50. Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
    Working Papers, Warwick Business School, Finance Group View citations (12)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (12)

2003

51. Estimation of Semiparametric Models when the Criterion Function is not Smooth
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (64)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (74)
    See also Journal Article in Econometrica (2003)
52. Evaluating Density Forecasts via the Copula Approach
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics
53. Nonparametric IV estimation of shape-invariant Engel curves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (36)

2002

54. Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2002)

2001

55. The Estimation of Conditional Densities
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)

2000

56. Identification and SQRT N Efficient Estimation of Semiparametric Panel Data Models with Binary Dependent Variables and a Latent Factor
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)

1999

57. b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models
    Working Papers, Center for Research in Economics and Statistics View citations (5)

Journal Articles

2019

1. Semiparametric estimation of the bid–ask spread in extended roll models
   Journal of Econometrics, 2019, 208, (1), 160-178

2018

2. Monte Carlo Confidence Sets for Identified Sets
   Econometrica, 2018, 86, (6), 1965-2018 View citations (1)
   See also Working Paper (2017)
3. Optimal sup†norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
   Quantitative Economics, 2018, 9, (1), 39-84 View citations (2)
4. Overidentification in Regular Models
   Econometrica, 2018, 86, (5), 1771-1817
   See also Working Paper (2018)

2017

5. A reverse Gaussian correlation inequality by adding cones
   Statistics & Probability Letters, 2017, 123, (C), 84-87
6. Multiplicative consistency analysis for interval fuzzy preference relations: A comparative study
   Omega, 2017, 68, (C), 17-38 View citations (1)
7. Semiparametric identification of the bid–ask spread in extended Roll models
   Journal of Econometrics, 2017, 200, (2), 312-325 View citations (1)

2016

8. AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
   Econometric Theory, 2016, 32, (01), 30-70 View citations (8)
9. Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide
   Annual Review of Economics, 2016, 8, (1), 259-290
   See also Working Paper (2016)

2015

10. High dimensional generalized empirical likelihood for moment restrictions with dependent data
    Journal of Econometrics, 2015, 185, (1), 283-304 View citations (15)
    See also Working Paper (2014)
11. Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
    Journal of Econometrics, 2015, 188, (2), 447-465 View citations (34)
    See also Working Paper (2014)
12. Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models
    Econometrica, 2015, 83, (3), 1013-1079 View citations (16)
    See also Working Paper (2015)
13. Sieve semiparametric two-step GMM under weak dependence
    Journal of Econometrics, 2015, 189, (1), 163-186 View citations (13)
    See also Working Paper (2015)

2014

14. Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz
    Econometrics Journal, 2014, 17, (2), Si-Sii
15. Asymptotic Efficiency of Semiparametric Two-step GMM
    Review of Economic Studies, 2014, 81, (3), 919-943 View citations (8)
    See also Working Paper (2014)
16. Efficient estimation of semiparametric copula models for bivariate survival data
    Journal of Multivariate Analysis, 2014, 123, (C), 330-344
17. Likelihood inference in some finite mixture models
    Journal of Econometrics, 2014, 182, (1), 87-99 View citations (8)
    See also Working Paper (2013)
18. Local Identification of Nonparametric and Semiparametric Models
    Econometrica, 2014, 82, (2), 785-809 View citations (20)
    See also Working Paper (2012)
19. Sieve M inference on irregular parameters
    Journal of Econometrics, 2014, 182, (1), 70-86 View citations (4)
20. Sieve inference on possibly misspecified semi-nonparametric time series models
    Journal of Econometrics, 2014, 178, (P3), 639-658 View citations (22)

2013

21. An estimation of economic models with recursive preferences
    Quantitative Economics, 2013, 4, (1), 39-83 View citations (25)
    See also Working Paper (2013)
22. Comment
    Journal of the American Statistical Association, 2013, 108, (504), 1262-1264
23. FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
    Econometric Theory, 2013, 29, (04), 838-856 View citations (12)

2012

24. A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
    The Review of Economics and Statistics, 2012, 94, (2), 481-498 View citations (33)
    See also Working Paper (2011)
25. Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals
    Econometrica, 2012, 80, (1), 277-321 View citations (75)
    See also Working Paper (2011)
26. The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
    Journal of Econometrics, 2012, 170, (2), 442-457 View citations (15)
    See also Working Paper (2009)

2011

27. Flexible Estimation of Treatment Effect Parameters
    American Economic Review, 2011, 101, (3), 544-51 View citations (7)
28. Nonlinear Models of Measurement Errors
    Journal of Economic Literature, 2011, 49, (4), 901-37 View citations (51)
29. ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS
    Econometric Theory, 2011, 27, (03), 497-521 View citations (40)
    See also Working Paper (2007)

2010

30. Energy and environmental systems planning under uncertainty--An inexact fuzzy-stochastic programming approach
    Applied Energy, 2010, 87, (10), 3189-3211 View citations (28)
31. Estimation and model selection of semiparametric multivariate survival functions under general censorship
    Journal of Econometrics, 2010, 157, (1), 129-142 View citations (9)
    See also Working Paper (2008)
32. Identification and estimation of nonlinear models using two samples with nonclassical measurement errors
    Journal of Nonparametric Statistics, 2010, 22, (4), 379-399 View citations (9)
    Also in Journal of Nonparametric Statistics, 2010, 22, (4), 419-423 (2010) View citations (4)
33. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 View citations (27)
    See also Working Paper (2009)

2009

34. Copula-based nonlinear quantile autoregression
    Econometrics Journal, 2009, 12, (s1), S50-S67 View citations (14)
    See also Working Paper (2008)
35. Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
    Journal of Econometrics, 2009, 152, (1), 46-60 View citations (62)
    See also Working Paper (2009)
36. Land of addicts? an empirical investigation of habit-based asset pricing models
    Journal of Applied Econometrics, 2009, 24, (7), 1057-1093 View citations (53)
    Also in Journal of Applied Econometrics, 2009, 24, (7), 1057-1093 (2009) View citations (9)
    See also Working Paper (2004)

2008

37. A note on the closed-form identification of regression models with a mismeasured binary regressor
    Statistics & Probability Letters, 2008, 78, (12), 1473-1479 View citations (12)
38. Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments
    Economics Letters, 2008, 100, (3), 381-384 View citations (17)
    See also Working Paper (2007)

2007

39. A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA
    Econometric Theory, 2007, 23, (03), 414-439 View citations (4)
    See also Working Paper (2004)
40. Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables
    Journal of Econometrics, 2007, 141, (1), 5-43 View citations (47)
41. Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
    Journal of Econometrics, 2007, 141, (1), 109-140 View citations (22)
42. Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
    Econometrica, 2007, 75, (6), 1613-1669 View citations (145)

2006

43. Efficient Estimation of Semiparametric Multivariate Copula Models
    Journal of the American Statistical Association, 2006, 101, 1228-1240 View citations (59)
    See also Working Paper (2004)
44. Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
    Journal of Econometrics, 2006, 135, (1-2), 125-154 View citations (118)
    See also Working Paper (2004)
45. Estimation of copula-based semiparametric time series models
    Journal of Econometrics, 2006, 130, (2), 307-335 View citations (108)
    See also Working Paper (2004)

2005

46. Measurement Error Models with Auxiliary Data
    Review of Economic Studies, 2005, 72, (2), 343-366 View citations (49)

2003

47. Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
    Econometrica, 2003, 71, (6), 1795-1843 View citations (204)
48. Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
    Econometrica, 2003, 71, (5), 1591-1608 View citations (144)
    See also Working Paper (2003)
49. Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment
    Journal of Business & Economic Statistics, 2003, 21, (4), 482-85

2002

50. Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (1), 1-55 View citations (3)
    See also Working Paper (2002)
51. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2002, 18, (01), 17-39 View citations (222)

2001

52. A new semiparametric spatial model for panel time series
    Journal of Econometrics, 2001, 105, (1), 59-83 View citations (48)
53. Model check by kernel methods under weak moment conditions
    Computational Statistics & Data Analysis, 2001, 36, (3), 403-409

1999

54. Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
    Journal of Econometrics, 1999, 91, (2), 373-401 View citations (45)

1998

55. CENTRAL LIMIT AND FUNCTIONAL CENTRAL LIMIT THEOREMS FOR HILBERT-VALUED DEPENDENT HETEROGENEOUS ARRAYS WITH APPLICATIONS
    Econometric Theory, 1998, 14, (02), 260-284 View citations (31)
56. Nonparametric Adaptive Learning with Feedback
    Journal of Economic Theory, 1998, 82, (1), 190-222 View citations (18)
57. Sieve Extremum Estimates for Weakly Dependent Data
    Econometrica, 1998, 66, (2), 289-314 View citations (112)

1996

58. Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
    Econometric Theory, 1996, 12, (02), 284-304 View citations (16)

Edited books

2013

1. Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
   Springer Books, Springer

Chapters

2007

1. Large Sample Sieve Estimation of Semi-Nonparametric Models
   Chapter 76 in Handbook of Econometrics, 2007, vol. 6B View citations (140)