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Details about Xiaohong Chen

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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


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Working Papers

2019

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

2018

  1. Overidentification in Regular Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) Downloads

    See also Journal Article in Econometrica (2018)

2017

  1. Monte Carlo Confidence Sets for Identified Sets
    Papers, arXiv.org Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) Downloads View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) Downloads View citations (1)

    See also Journal Article in Econometrica (2018)
  2. 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 Downloads View citations (1)
    Also in Papers, arXiv.org (2017) Downloads View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) Downloads View citations (1)

2016

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

2015

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

    See also Journal Article in Econometrica (2015)

2014

  1. Asymptotic efficiency of semiparametric two-step GMM
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (8)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (5)

    See also Journal Article in Review of Economic Studies (2014)
  2. High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2015)
  3. 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 Downloads View citations (3)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2015)

2013

  1. An estimation of economic models with recursive preferences
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (22)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (2)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads
    2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (3)

    See also Journal Article in Quantitative Economics (2013)
  2. Likelihood Inference in Some Finite Mixture Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2014)
  3. Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
    Papers, arXiv.org Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads View citations (9)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (9)
  4. Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)

2012

  1. Averaging of moment condition estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
  2. Local Identification of Nonparametric and Semiparametric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads View citations (3)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2011) Downloads View citations (2)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads

    See also Journal Article in Econometrica (2014)
  3. Sieve Inference on Semi-nonparametric Time Series Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads View citations (4)

2011

  1. A practical asymptotic variance estimator for two-step semiparametric estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    See also Journal Article in The Review of Economics and Statistics (2012)
  2. Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  3. Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (13)

    See also Journal Article in Econometrica (2012)
  4. 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 Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2011) Downloads
  5. Sensitivity Analysis in Semiparametric Likelihood Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (11)

2009

  1. An Alternative Way of ComputingEfficient Instrumental VariableEstimators
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads View citations (3)
  2. Efficient Estimation of Copula-based Semiparametric Markov Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (20)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) Downloads View citations (14)
  3. Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (56)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) Downloads View citations (53)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) Downloads View citations (7)
    Working Papers, Yale University, Department of Economics (2008) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2009)
  4. Nonlinearity and Temporal Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Working Papers, Yale University, Department of Economics (2008) Downloads View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads View citations (13)
    CIRANO Working Papers, CIRANO (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  5. Principal Components and Long Run Implications of Multivariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
  6. Principal components and the long run
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (3)
  7. Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)

2008

  1. Copula-Based Nonlinear Quantile Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2008) Downloads View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) Downloads View citations (1)

    See also Journal Article in Econometrics Journal (2009)
  2. Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2010)
  3. Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) Downloads View citations (10)
    Working Papers, Yale University, Department of Economics (2008) Downloads View citations (7)
  4. 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 Downloads View citations (11)
    Also in Working Papers, Yale University, Department of Economics (2008) Downloads View citations (19)

2007

  1. An Estimation of Economic Models with Recursive
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
  2. Nonparametric Identification and Estimation of Nonclassical Errors-in-Variables Models Without Additional Information
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) Downloads View citations (1)
  3. Nonparametric Identification of Regression Models Containing a Misclassified Dichotomous Regressor Without Instruments
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (3)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) Downloads View citations (3)

    See also Journal Article in Economics Letters (2008)
  4. On Rate Optimality for Ill-posed Inverse Problems in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) Downloads View citations (25)

    See also Journal Article in Econometric Theory (2011)

2006

  1. 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 Downloads View citations (3)

2004

  1. (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 Downloads View citations (11)
  2. A Model Selection Test for Bivariate Failure-Time Data
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    See also Journal Article in Econometric Theory (2007)
  3. An Empirical Investigation of Habit-Based Asset Pricing Models
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (3)
  4. Efficient Estimation of Semiparametric Multivariate Copula Models
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (3)
    See also Journal Article in Journal of the American Statistical Association (2006)
  5. 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 Downloads
    See also Journal Article in Journal of Econometrics (2006)
  6. Estimation of Copula-Based Semiparametric Time Series Models
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads View citations (2)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2004) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2006)
  7. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  8. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
    2004 Meeting Papers, Society for Economic Dynamics Downloads View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2009)
  9. 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 Downloads View citations (12)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (12)

2003

  1. 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 Downloads View citations (64)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads View citations (74)

    See also Journal Article in Econometrica (2003)
  2. Evaluating Density Forecasts via the Copula Approach
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
  3. Nonparametric IV estimation of shape-invariant Engel curves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (36)

2002

  1. 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 Downloads View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2002)

2001

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

2000

  1. 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 Downloads View citations (1)

1999

  1. b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models
    Working Papers, Center for Research in Economics and Statistics Downloads 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 Downloads

2018

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

2017

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

2016

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

2015

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

2014

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

2013

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

2012

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

2011

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

2010

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

2009

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

    See also Working Paper (2004)

2008

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

2007

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

2006

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

2005

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

2003

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

2002

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

2001

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

1999

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

1998

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

1996

  1. Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
    Econometric Theory, 1996, 12, (02), 284-304 Downloads 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 Downloads View citations (140)
 
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