Details about Xiaohong Chen
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
2020
- Robust Identification of Investor Beliefs
NBER Working Papers, National Bureau of Economic Research, Inc
2019
- Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions
Papers, arXiv.org
2018
- Overidentification in Regular Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) 
See also Journal Article in Econometrica (2018)
2017
- 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)
- 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)
See also Journal Article in Quantitative Economics (2018)
2016
- MCMC Confidence sets for Identified Sets
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (5) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (4)
- 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)
- Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (1) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (1)
2015
- 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 (8)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (8)
- Sieve Semiparametric Two-Step GMM under Weak Dependence
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
See also Journal Article in Journal of Econometrics (2015)
- Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
Papers, arXiv.org View citations (19)
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
- Asymptotic efficiency of semiparametric two-step GMM
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (13)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (5) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) 
See also Journal Article in Review of Economic Studies (2014)
- 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)
- 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
- 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 (24)
Also in 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)  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 (3) 2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (2)
See also Journal Article in Quantitative Economics (2013)
- 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)
- Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
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 (2013) View citations (9) Papers, arXiv.org (2013)
- 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
- Averaging of moment condition estimators
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
- 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)
- 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
- 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)
- Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
- 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 (14)
See also Journal Article in Econometrica (2012)
- 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)
- Sensitivity Analysis in Semiparametric Likelihood Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (35)
2009
- 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)
- Efficient Estimation of Copula-based Semiparametric Markov Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (25)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (19)
- 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 (68)
Also in Working Papers, Yale University, Department of Economics (2008) View citations (5) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (7) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (65)
See also Journal Article in Journal of Econometrics (2009)
- Nonlinearity and Temporal Dependence
CIRANO Working Papers, CIRANO View citations (1)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (13) Working Papers, Yale University, Department of Economics (2008) View citations (3) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (1)
See also Journal Article in Journal of Econometrics (2010)
- Principal Components and Long Run Implications of Multivariate Diffusions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
- Principal components and the long run
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (3)
- 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
- 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)
- 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)
- Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments
Working Papers, Yale University, Department of Economics View citations (7)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (10) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (10)
- Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects
Working Papers, Yale University, Department of Economics View citations (19)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (11)
2007
- An Estimation of Economic Models with Recursive
FMG Discussion Papers, Financial Markets Group View citations (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 View citations (1)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (1)
- 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)
- 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
- 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
- (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)
- 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)
- An Empirical Investigation of Habit-Based Asset Pricing Models
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (3)
- 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)
- 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)
- 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)
- Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
- Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
2004 Meeting Papers, Society for Economic Dynamics View citations (10)
See also Journal Article in Journal of Applied Econometrics (2009)
- 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 (12)
2003
- 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 (94)
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 (104)
See also Journal Article in Econometrica (2003)
- Evaluating Density Forecasts via the Copula Approach
Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics
- Nonparametric IV estimation of shape-invariant Engel curves
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (37)
2002
- 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
- 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
- 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
- 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
- Semiparametric estimation of the bid–ask spread in extended roll models
Journal of Econometrics, 2019, 208, (1), 160-178
2018
- Monte Carlo Confidence Sets for Identified Sets
Econometrica, 2018, 86, (6), 1965-2018 View citations (17)
See also Working Paper (2017)
- Optimal sup‐norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
Quantitative Economics, 2018, 9, (1), 39-84 View citations (17)
See also Working Paper (2017)
- Overidentification in Regular Models
Econometrica, 2018, 86, (5), 1771-1817 View citations (7)
See also Working Paper (2018)
2017
- A reverse Gaussian correlation inequality by adding cones
Statistics & Probability Letters, 2017, 123, (C), 84-87
- Multiplicative consistency analysis for interval fuzzy preference relations: A comparative study
Omega, 2017, 68, (C), 17-38 View citations (3)
- Semiparametric identification of the bid–ask spread in extended Roll models
Journal of Econometrics, 2017, 200, (2), 312-325 View citations (2)
2016
- AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
Econometric Theory, 2016, 32, (1), 30-70 View citations (8)
- 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
- High dimensional generalized empirical likelihood for moment restrictions with dependent data
Journal of Econometrics, 2015, 185, (1), 283-304 View citations (16)
See also Working Paper (2014)
- 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 (45)
See also Working Paper (2014)
- Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models
Econometrica, 2015, 83, (3), 1013-1079 View citations (27)
See also Working Paper (2015)
- Sieve semiparametric two-step GMM under weak dependence
Journal of Econometrics, 2015, 189, (1), 163-186 View citations (15)
See also Working Paper (2015)
2014
- Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz
Econometrics Journal, 2014, 17, (2), Si-Sii
- Asymptotic Efficiency of Semiparametric Two-step GMM
Review of Economic Studies, 2014, 81, (3), 919-943 View citations (13)
See also Working Paper (2014)
- Efficient estimation of semiparametric copula models for bivariate survival data
Journal of Multivariate Analysis, 2014, 123, (C), 330-344 View citations (1)
- Likelihood inference in some finite mixture models
Journal of Econometrics, 2014, 182, (1), 87-99 View citations (8)
See also Working Paper (2013)
- Local Identification of Nonparametric and Semiparametric Models
Econometrica, 2014, 82, (2), 785-809 View citations (26)
See also Working Paper (2012)
- Sieve M inference on irregular parameters
Journal of Econometrics, 2014, 182, (1), 70-86 View citations (6)
- Sieve inference on possibly misspecified semi-nonparametric time series models
Journal of Econometrics, 2014, 178, (P3), 639-658 View citations (25)
2013
- An estimation of economic models with recursive preferences
Quantitative Economics, 2013, 4, (1), 39-83 View citations (27)
See also Working Paper (2013)
- Comment
Journal of the American Statistical Association, 2013, 108, (504), 1262-1264
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
Econometric Theory, 2013, 29, (4), 838-856 View citations (14)
2012
- A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
The Review of Economics and Statistics, 2012, 94, (2), 481-498 View citations (37)
See also Working Paper (2011)
- Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals
Econometrica, 2012, 80, (1), 277-321 View citations (94)
See also Working Paper (2011)
- The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
Journal of Econometrics, 2012, 170, (2), 442-457 View citations (20)
See also Working Paper (2009)
2011
- Flexible Estimation of Treatment Effect Parameters
American Economic Review, 2011, 101, (3), 544-51 View citations (7)
- Nonlinear Models of Measurement Errors
Journal of Economic Literature, 2011, 49, (4), 901-37 View citations (63)
- ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS
Econometric Theory, 2011, 27, (3), 497-521 View citations (40)
See also Working Paper (2007)
2010
- Energy and environmental systems planning under uncertainty--An inexact fuzzy-stochastic programming approach
Applied Energy, 2010, 87, (10), 3189-3211 View citations (32)
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
Journal of Econometrics, 2010, 157, (1), 129-142 View citations (10)
See also Working Paper (2008)
- Identification and estimation of nonlinear models using two samples with nonclassical measurement errors
Journal of Nonparametric Statistics, 2010, 22, (4), 419-423 View citations (7)
Also in Journal of Nonparametric Statistics, 2010, 22, (4), 379-399 (2010) View citations (12)
- Nonlinearity and temporal dependence
Journal of Econometrics, 2010, 155, (2), 155-169 View citations (31)
See also Working Paper (2009)
2009
- Copula-based nonlinear quantile autoregression
Econometrics Journal, 2009, 12, (s1), S50-S67 View citations (16)
See also Working Paper (2008)
- Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Journal of Econometrics, 2009, 152, (1), 46-60 View citations (74)
See also Working Paper (2009)
- Land of addicts? an empirical investigation of habit-based asset pricing models
Journal of Applied Econometrics, 2009, 24, (7), 1057-1093 View citations (56)
Also in Journal of Applied Econometrics, 2009, 24, (7), 1057-1093 (2009) View citations (12)
See also Working Paper (2004)
2008
- 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 (15)
- Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments
Economics Letters, 2008, 100, (3), 381-384 View citations (18)
See also Working Paper (2007)
2007
- A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA
Econometric Theory, 2007, 23, (3), 414-439 View citations (4)
See also Working Paper (2004)
- Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables
Journal of Econometrics, 2007, 141, (1), 5-43 View citations (51)
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
Journal of Econometrics, 2007, 141, (1), 109-140 View citations (27)
- Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
Econometrica, 2007, 75, (6), 1613-1669 View citations (168)
2006
- Efficient Estimation of Semiparametric Multivariate Copula Models
Journal of the American Statistical Association, 2006, 101, 1228-1240 View citations (68)
See also Working Paper (2004)
- 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 (132)
See also Working Paper (2004)
- Estimation of copula-based semiparametric time series models
Journal of Econometrics, 2006, 130, (2), 307-335 View citations (130)
See also Working Paper (2004)
2005
- Measurement Error Models with Auxiliary Data
Review of Economic Studies, 2005, 72, (2), 343-366 View citations (52)
2003
- Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
Econometrica, 2003, 71, (6), 1795-1843 View citations (232)
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
Econometrica, 2003, 71, (5), 1591-1608 View citations (175)
See also Working Paper (2003)
- Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment
Journal of Business & Economic Statistics, 2003, 21, (4), 482-85
2002
- 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)
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Econometric Theory, 2002, 18, (1), 17-39 View citations (239)
2001
- A new semiparametric spatial model for panel time series
Journal of Econometrics, 2001, 105, (1), 59-83 View citations (48)
- Model check by kernel methods under weak moment conditions
Computational Statistics & Data Analysis, 2001, 36, (3), 403-409
1999
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
Journal of Econometrics, 1999, 91, (2), 373-401 View citations (49)
1998
- CENTRAL LIMIT AND FUNCTIONAL CENTRAL LIMIT THEOREMS FOR HILBERT-VALUED DEPENDENT HETEROGENEOUS ARRAYS WITH APPLICATIONS
Econometric Theory, 1998, 14, (2), 260-284 View citations (36)
- Nonparametric Adaptive Learning with Feedback
Journal of Economic Theory, 1998, 82, (1), 190-222 View citations (19)
- Sieve Extremum Estimates for Weakly Dependent Data
Econometrica, 1998, 66, (2), 289-314 View citations (118)
1996
- Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
Econometric Theory, 1996, 12, (2), 284-304 View citations (16)
Edited books
2013
- Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
Springer Books, Springer
Chapters
2007
- Large Sample Sieve Estimation of Semi-Nonparametric Models
Chapter 76 in Handbook of Econometrics, 2007, vol. 6B View citations (170)
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