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

2021

1. Heterogeneity and Aggregate Fluctuations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)

2020

2. Robust Identification of Investor Beliefs
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

2019

3. Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions
   Papers, arXiv.org View citations (2)

2018

4. Overidentification in Regular Models
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) View citations (7)
   See also Journal Article Overidentification in Regular Models, Econometrica, Econometric Society (2018) View citations (21) (2018)

2017

5. Monte Carlo Confidence Sets for Identified Sets
   Papers, arXiv.org View citations (1)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (1)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) View citations (1)
   See also Journal Article Monte Carlo Confidence Sets for Identified Sets, Econometrica, Econometric Society (2018) View citations (68) (2018)
6. 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 (2)
   Also in Papers, arXiv.org (2017) View citations (2)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (2)
   See also Journal Article Optimal sup‐norm rates and uniform inference on nonlinear functionals of nonparametric IV regression, Quantitative Economics, Econometric Society (2018) View citations (47) (2018)

2016

7. MCMC Confidence sets for Identified Sets
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (8)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (7)
8. Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (11)
   See also Journal Article Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide, Annual Review of Economics, Annual Reviews (2016) View citations (10) (2016)
9. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (2)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (2)

2015

10. 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 (13)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (13)
11. Sieve Semiparametric Two-Step GMM under Weak Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (31)
    See also Journal Article Sieve semiparametric two-step GMM under weak dependence, Journal of Econometrics, Elsevier (2015) View citations (32) (2015)
12. Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
    Papers, arXiv.org View citations (53)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) View citations (5)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) View citations (5)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) View citations (5)
    See also Journal Article Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models, Econometrica, Econometric Society (2015) View citations (51) (2015)

2014

13. Asymptotic efficiency of semiparametric two-step GMM
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (34)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (6)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (1)
    See also Journal Article Asymptotic Efficiency of Semiparametric Two-step GMM, The Review of Economic Studies, Review of Economic Studies Ltd (2014) View citations (33) (2014)
14. 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 High dimensional generalized empirical likelihood for moment restrictions with dependent data, Journal of Econometrics, Elsevier (2015) View citations (33) (2015)
15. 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 (6)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) View citations (6)
    See also Journal Article Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions, Journal of Econometrics, Elsevier (2015) View citations (99) (2015)

2013

16. 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 (47)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
    2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (7)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (5)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (8)
    See also Journal Article An estimation of economic models with recursive preferences, Quantitative Economics, Econometric Society (2013) View citations (56) (2013)
17. Likelihood Inference in Some Finite Mixture Models
    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 (2013) View citations (2)
    See also Journal Article Likelihood inference in some finite mixture models, Journal of Econometrics, Elsevier (2014) View citations (14) (2014)
18. Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (24)
    Papers, arXiv.org (2013) View citations (24)
19. 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 (10)

2012

20. Averaging of moment condition estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
21. Local Identification of Nonparametric and Semiparametric 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 (2011) View citations (7)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) View citations (6)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
    See also Journal Article Local Identification of Nonparametric and Semiparametric Models, Econometrica, Econometric Society (2014) View citations (48) (2014)
22. Sieve Inference on Semi-nonparametric Time Series Models
    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 (2012) View citations (8)

2011

23. 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 (4)
    See also Journal Article A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators, The Review of Economics and Statistics, MIT Press (2012) View citations (58) (2012)
24. Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
25. Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (21)
    See also Journal Article Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals, Econometrica, Econometric Society (2012) View citations (162) (2012)
26. 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 View citations (11)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2011) View citations (7)
27. Sensitivity Analysis in Semiparametric Likelihood Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (50)

2009

28. 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 (8)
29. Efficient Estimation of Copula-based Semiparametric Markov Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (46)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (40)
30. 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 (144)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (9)
    Working Papers, Yale University, Department of Economics (2008) View citations (7)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (141)
    See also Journal Article Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals, Journal of Econometrics, Elsevier (2009) View citations (148) (2009)
31. Nonlinearity and Temporal Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Working Papers, Yale University, Department of Economics (2008) View citations (5)
    CIRANO Working Papers, CIRANO (2009) View citations (2)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (15)
    See also Journal Article Nonlinearity and temporal dependence, Journal of Econometrics, Elsevier (2010) View citations (40) (2010)
32. Principal Components and Long Run Implications of Multivariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
33. Principal components and the long run
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (24)
34. 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 (4)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (5)
    See also Journal Article The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions, Journal of Econometrics, Elsevier (2012) View citations (49) (2012)

2008

35. Copula-Based Nonlinear Quantile Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (3)
    Boston College Working Papers in Economics, Boston College Department of Economics (2008) View citations (3)
    See also Journal Article Copula-based nonlinear quantile autoregression, Econometrics Journal, Royal Economic Society (2009) View citations (30) (2009)
36. 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 Estimation and model selection of semiparametric multivariate survival functions under general censorship, Journal of Econometrics, Elsevier (2010) View citations (15) (2010)
37. Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
    Also in Working Papers, Yale University, Department of Economics (2008) View citations (13)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (16)
38. Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects
    Working Papers, Yale University, Department of Economics View citations (22)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (13)

2007

39. An Estimation of Economic Models with Recursive
    FMG Discussion Papers, Financial Markets Group View citations (11)
40. 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)
41. 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 Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments, Economics Letters, Elsevier (2008) View citations (21) (2008)
42. On Rate Optimality for Ill-posed Inverse Problems in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (22)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (32)
    See also Journal Article ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS, Econometric Theory, Cambridge University Press (2011) View citations (65) (2011)

2006

43. 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 (9)

2004

44. (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 (10)
45. 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 A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA, Econometric Theory, Cambridge University Press (2007) View citations (6) (2007)
46. An Empirical Investigation of Habit-Based Asset Pricing Models
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (17)
47. 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 Efficient Estimation of Semiparametric Multivariate Copula Models, Journal of the American Statistical Association, American Statistical Association (2006) View citations (91) (2006)
48. 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 View citations (3)
    See also Journal Article Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification, Journal of Econometrics, Elsevier (2006) View citations (188) (2006)
49. Estimation of Copula-Based Semiparametric Time Series Models
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics View citations (3)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (3)
    See also Journal Article Estimation of copula-based semiparametric time series models, Journal of Econometrics, Elsevier (2006) View citations (172) (2006)
50. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
51. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
    2004 Meeting Papers, Society for Economic Dynamics View citations (24)
    See also Journal Article Land of addicts? an empirical investigation of habit-based asset pricing models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009) View citations (101) (2009)
52. 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, London School of Economics and Political Science, LSE Library View citations (44)

2003

53. 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 (349)
    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 (292)
    See also Journal Article Estimation of Semiparametric Models when the Criterion Function Is Not Smooth, Econometrica, Econometric Society (2003) View citations (340) (2003)
54. Evaluating Density Forecasts via the Copula Approach
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics View citations (2)
55. Nonparametric IV estimation of shape-invariant Engel curves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (40)

2002

56. 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 (8)
    See also Journal Article Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2002) View citations (9) (2002)

2001

57. The Estimation of Conditional Densities
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (14)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (13)

2000

58. 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

59. b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models
    Working Papers, Center for Research in Economics and Statistics View citations (8)

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 (68)
   See also Working Paper Monte Carlo Confidence Sets for Identified Sets, Papers (2017) View citations (1) (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 (47)
   See also Working Paper Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression, Cowles Foundation Discussion Papers (2017) View citations (2) (2017)
4. Overidentification in Regular Models
   Econometrica, 2018, 86, (5), 1771-1817 View citations (21)
   See also Working Paper Overidentification in Regular Models, Cowles Foundation Discussion Papers (2018) View citations (21) (2018)

2017

5. A reverse Gaussian correlation inequality by adding cones
   Statistics & Probability Letters, 2017, 123, (C), 84-87 View citations (4)
6. Multiplicative consistency analysis for interval fuzzy preference relations: A comparative study
   Omega, 2017, 68, (C), 17-38 View citations (7)
7. Semiparametric identification of the bid–ask spread in extended Roll models
   Journal of Econometrics, 2017, 200, (2), 312-325 View citations (3)

2016

8. AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
   Econometric Theory, 2016, 32, (1), 30-70 View citations (12)
9. Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide
   Annual Review of Economics, 2016, 8, (1), 259-290 View citations (10)
   See also Working Paper Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide, Cowles Foundation Discussion Papers (2016) View citations (11) (2016)

2015

10. High dimensional generalized empirical likelihood for moment restrictions with dependent data
    Journal of Econometrics, 2015, 185, (1), 283-304 View citations (33)
    See also Working Paper High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data, MPRA Paper (2014) View citations (2) (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 (99)
    See also Working Paper Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions, Cowles Foundation Discussion Papers (2014) View citations (6) (2014)
12. Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models
    Econometrica, 2015, 83, (3), 1013-1079 View citations (51)
    See also Working Paper Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models, Papers (2015) View citations (53) (2015)
13. Sieve semiparametric two-step GMM under weak dependence
    Journal of Econometrics, 2015, 189, (1), 163-186 View citations (32)
    See also Working Paper Sieve Semiparametric Two-Step GMM under Weak Dependence, Cowles Foundation Discussion Papers (2015) View citations (31) (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
    The Review of Economic Studies, 2014, 81, (3), 919-943 View citations (33)
    See also Working Paper Asymptotic efficiency of semiparametric two-step GMM, CeMMAP working papers (2014) View citations (34) (2014)
16. Efficient estimation of semiparametric copula models for bivariate survival data
    Journal of Multivariate Analysis, 2014, 123, (C), 330-344 View citations (1)
17. Likelihood inference in some finite mixture models
    Journal of Econometrics, 2014, 182, (1), 87-99 View citations (14)
    See also Working Paper Likelihood Inference in Some Finite Mixture Models, Cowles Foundation Discussion Papers (2013) View citations (1) (2013)
18. Local Identification of Nonparametric and Semiparametric Models
    Econometrica, 2014, 82, (2), 785-809 View citations (48)
    See also Working Paper Local Identification of Nonparametric and Semiparametric Models, Cowles Foundation Discussion Papers (2012) (2012)
19. Sieve M inference on irregular parameters
    Journal of Econometrics, 2014, 182, (1), 70-86 View citations (17)
20. Sieve inference on possibly misspecified semi-nonparametric time series models
    Journal of Econometrics, 2014, 178, (P3), 639-658 View citations (44)

2013

21. An estimation of economic models with recursive preferences
    Quantitative Economics, 2013, 4, (1), 39-83 View citations (56)
    See also Working Paper An estimation of economic models with recursive preferences, LSE Research Online Documents on Economics (2013) View citations (47) (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, (4), 838-856 View citations (22)

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 (58)
    See also Working Paper A practical asymptotic variance estimator for two-step semiparametric estimators, CeMMAP working papers (2011) View citations (4) (2011)
25. Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals
    Econometrica, 2012, 80, (1), 277-321 View citations (162)
    See also Working Paper Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals, Cowles Foundation Discussion Papers (2011) View citations (1) (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 (49)
    See also Working Paper Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions, Cowles Foundation Discussion Papers (2009) View citations (4) (2009)

2011

27. Flexible Estimation of Treatment Effect Parameters
    American Economic Review, 2011, 101, (3), 544-51 View citations (14)
28. Nonlinear Models of Measurement Errors
    Journal of Economic Literature, 2011, 49, (4), 901-37 View citations (101)
29. ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS
    Econometric Theory, 2011, 27, (3), 497-521 View citations (65)
    See also Working Paper On Rate Optimality for Ill-posed Inverse Problems in Econometrics, Cowles Foundation Discussion Papers (2007) View citations (22) (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 (39)
31. Estimation and model selection of semiparametric multivariate survival functions under general censorship
    Journal of Econometrics, 2010, 157, (1), 129-142 View citations (15)
    See also Working Paper Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship, Cowles Foundation Discussion Papers (2008) (2008)
32. Identification and estimation of nonlinear models using two samples with nonclassical measurement errors
    Journal of Nonparametric Statistics, 2010, 22, (4), 419-423 View citations (26)
    Also in Journal of Nonparametric Statistics, 2010, 22, (4), 379-399 (2010) View citations (26)
33. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 View citations (40)
    See also Working Paper Nonlinearity and Temporal Dependence, Cowles Foundation Discussion Papers (2009) View citations (2) (2009)

2009

34. Copula-based nonlinear quantile autoregression
    Econometrics Journal, 2009, 12, (s1), S50-S67 View citations (30)
    See also Working Paper Copula-Based Nonlinear Quantile Autoregression, Cowles Foundation Discussion Papers (2008) View citations (2) (2008)
35. Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
    Journal of Econometrics, 2009, 152, (1), 46-60 View citations (148)
    See also Working Paper Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals, Cowles Foundation Discussion Papers (2009) View citations (144) (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 (101)
    Also in Journal of Applied Econometrics, 2009, 24, (7), 1057-1093 (2009) View citations (27)
    See also Working Paper Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models, 2004 Meeting Papers (2004) View citations (24) (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 (19)
38. Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments
    Economics Letters, 2008, 100, (3), 381-384 View citations (21)
    See also Working Paper Nonparametric Identification of Regression Models Containing a Misclassified Dichotomous Regressor Without Instruments, Boston College Working Papers in Economics (2007) View citations (3) (2007)

2007

39. A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA
    Econometric Theory, 2007, 23, (3), 414-439 View citations (6)
    See also Working Paper A Model Selection Test for Bivariate Failure-Time Data, Vanderbilt University Department of Economics Working Papers (2004) (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 (101)
41. Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
    Journal of Econometrics, 2007, 141, (1), 109-140 View citations (33)
42. Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
    Econometrica, 2007, 75, (6), 1613-1669 View citations (273)

2006

43. Efficient Estimation of Semiparametric Multivariate Copula Models
    Journal of the American Statistical Association, 2006, 101, 1228-1240 View citations (91)
    See also Working Paper Efficient Estimation of Semiparametric Multivariate Copula Models, Vanderbilt University Department of Economics Working Papers (2004) View citations (3) (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 (188)
    See also Working Paper Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification, Vanderbilt University Department of Economics Working Papers (2004) View citations (3) (2004)
45. Estimation of copula-based semiparametric time series models
    Journal of Econometrics, 2006, 130, (2), 307-335 View citations (172)
    See also Working Paper Estimation of Copula-Based Semiparametric Time Series Models, Vanderbilt University Department of Economics Working Papers (2004) View citations (3) (2004)

2005

46. Measurement Error Models with Auxiliary Data
    The Review of Economic Studies, 2005, 72, (2), 343-366 View citations (85)

2003

47. Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
    Econometrica, 2003, 71, (6), 1795-1843 View citations (450)
48. Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
    Econometrica, 2003, 71, (5), 1591-1608 View citations (340)
    See also Working Paper Estimation of Semiparametric Models when the Criterion Function is not Smooth, STICERD - Econometrics Paper Series (2003) View citations (349) (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), 55 View citations (9)
    See also Working Paper Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space, University of California at San Diego, Economics Working Paper Series (2002) View citations (8) (2002)
51. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2002, 18, (1), 17-39 View citations (298)

2001

52. A new semiparametric spatial model for panel time series
    Journal of Econometrics, 2001, 105, (1), 59-83 View citations (52)
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 (60)

1998

55. CENTRAL LIMIT AND FUNCTIONAL CENTRAL LIMIT THEOREMS FOR HILBERT-VALUED DEPENDENT HETEROGENEOUS ARRAYS WITH APPLICATIONS
    Econometric Theory, 1998, 14, (2), 260-284 View citations (45)
56. Nonparametric Adaptive Learning with Feedback
    Journal of Economic Theory, 1998, 82, (1), 190-222 View citations (23)
57. Sieve Extremum Estimates for Weakly Dependent Data
    Econometrica, 1998, 66, (2), 289-314 View citations (176)

1996

58. Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
    Econometric Theory, 1996, 12, (2), 284-304 View citations (17)

Edited books

2013

1. Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
   Springer Books, Springer View citations (49)

Chapters

2007

1. Large Sample Sieve Estimation of Semi-Nonparametric Models
   Chapter 76 in Handbook of Econometrics, 2007, vol. 6B View citations (491)