Xiaohong Chen

Yale University - Cowles Foundation

Box 208281

New Haven, CT 06520-8281

United States

SCHOLARLY PAPERS

47

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309

Scholarly Papers (47)

1.

Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

London Economics Financial Markets Group Working Paper No. 483
Number of pages: 37 Posted: 06 Mar 2004
Xiaohong Chen, Yanqin Fan and Andrew J. Patton
Yale University - Cowles Foundation, Vanderbilt University - College of Arts and Science - Department of Economics and Duke University - Department of Economics
Downloads 963 (31,131)
Citation 45

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Copulas, correlation, nonlinear comovements, goodness-of-fit tests, GARCH

Identification and Inference in First-Price Auctions with Risk Averse Bidders and Selective Entry

Number of pages: 60 Posted: 15 Oct 2020
Xiaohong Chen, Matthew L. Gentry, Tong Li and Jingfeng Lu
Yale University - Cowles Foundation, Florida State University, Vanderbilt University and National University of Singapore (NUS) - Department of Economics
Downloads 33 (589,252)
Citation 2

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Auctions, entry, risk aversion, identification, set inference.

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Number of pages: 70 Posted: 20 Nov 2003
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 245 (162,107)
Citation 21

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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

NYU Working Paper No. S-MF-04-09
Number of pages: 59 Posted: 12 Nov 2008
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 68 (431,554)
Citation 1

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4.

Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects

Cowles Foundation Discussion Paper No. 1644, Yale Economics Department Working Paper No. 42
Number of pages: 51 Posted: 04 Mar 2008
Xiaohong Chen, Han Hong and Alessandro Tarozzi
Yale University - Cowles Foundation, Independent and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 285 (139,697)
Citation 7

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Auxiliary data, Measurement error, Missing data, Treatment effect, Semiparametric efficiency bound, GMM, Sieve estimation

5.

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Cowles Foundation Discussion Paper No. 1804
Number of pages: 57 Posted: 24 May 2011
Xiaohong Chen
Yale University - Cowles Foundation
Downloads 272 (146,553)
Citation 5

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Nonlinear time series, Temporal dependence, Tail dependence, Penalized sieve M estimation, Penalized sieve minimum distance, Semiparametric two-step, Nonlinear ill-posed inverse, Mixtures, Conditional moment restrictions, Nonparametric endogeneity, Dynamic asset pricing, Varying coefficient VAR, GAR

An Estimation of Economic Models with Recursive Preferences

Number of pages: 56 Posted: 14 Mar 2008
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 124 (293,662)
Citation 4

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An Estimation of Economic Models with Recursive Preferences

Cowles Foundation Discussion Paper No. 1883
Number of pages: 59 Posted: 15 Dec 2012
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 50 (501,669)
Citation 18

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An Estimation of Economic Models with Recursive Preferences

Number of pages: 61 Posted: 10 Jun 2011
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 38 (560,761)

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non-expected utility, recursive utility

An Estimation of Economic Models with Recursive Preferences

NBER Working Paper No. w17130
Number of pages: 61 Posted: 20 Jun 2011 Last Revised: 23 Oct 2021
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 22 (665,199)
Citation 10

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7.
Downloads 221 (179,530)
Citation 1

Robust Identification of Investor Beliefs

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-69
Number of pages: 41 Posted: 20 May 2020 Last Revised: 02 Nov 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics
Downloads 183 (213,282)

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Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

Cowles Foundation Discussion Paper No. 2236
Number of pages: 63 Posted: 20 May 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics
Downloads 30 (607,777)

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Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

NBER Working Paper No. w27257
Number of pages: 63 Posted: 02 Jun 2020 Last Revised: 24 Dec 2021
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics
Downloads 8 (781,650)
Citation 1

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8.

Efficient Estimation of Copula-Based Semiparametric Markov Models

Cowles Foundation Discussion Paper No. 1691
Number of pages: 56 Posted: 26 Feb 2009 Last Revised: 16 Mar 2009
Xiaohong Chen, Wei Biao Wu and Yanping Yi
Yale University - Cowles Foundation, University of Chicago and affiliation not provided to SSRN
Downloads 205 (192,611)
Citation 17

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Copula, Tail dependence, Nonlinear Markov models, Geometric ergodicity, Sieve MLE, Semiparametric efficiency, Sieve likelihood ratio statistics, Value-at-Risk

Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals

Yale Economics Department Working Paper No. 38, Cowles Foundation Discussion Paper No. 1640
Number of pages: 48 Posted: 20 Feb 2008
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 133 (278,457)

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penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile Engel curves

Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals

Cowles Foundation Discussion Paper No. 1640R
Number of pages: 34 Posted: 31 Oct 2008 Last Revised: 16 Jul 2009
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 64 (445,707)
Citation 1

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Penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile IV Engel curves

Local Identification of Nonparametric and Semiparametric Models

Cowles Foundation Discussion Paper No. 1795R
Number of pages: 46 Posted: 15 Nov 2012
Yale University - Cowles Foundation, Massachusetts Institute of Technology (MIT) - Department of Economics, Seoul National University and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 96 (351,098)
Citation 14

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Identification, Local identification, Nonparametric models, Asset pricing

Local Identification of Nonparametric and Semiparametric Models

Cowles Foundation Discussion Paper No. 1795
Number of pages: 31 Posted: 25 Apr 2011
Yale University - Cowles Foundation, Massachusetts Institute of Technology (MIT) - Department of Economics, University College London and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 74 (411,741)

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Identification, Local identification, Nonparametric models, Asset pricing

11.

Nonlinearity and Temporal Dependence

Cowles Foundation Discussion Paper No. 1652, Yale Economics Department Working Paper No. 48
Number of pages: 32 Posted: 21 May 2008
Xiaohong Chen, Lars Peter Hansen and Marine Carrasco
Yale University - Cowles Foundation, University of Chicago - Department of Economics and University of Montreal - Departement de Ciences Economiques
Downloads 169 (228,334)

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Mixing, Diffusion, Strong dependence, Long memory, Poisson sampling

12.

Copula-Based Nonlinear Quantile Autoregression

Cowles Foundation Discussion Paper No. 1679
Number of pages: 31 Posted: 15 Oct 2008 Last Revised: 26 Dec 2008
Xiaohong Chen, Roger Koenker and Zhijie Xiao
Yale University - Cowles Foundation, University of Illinois at Urbana-Champaign - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 164 (234,177)
Citation 30

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Quantile autoregression, Copula, Ergodic nonlinear Markov models

13.

Central Limit and Functional Central Limit Theorems for Hilbert-Valued Dependent Heterogeneous Arrays with Applications

UCSD Economics Discussion Paper 92-35R
Number of pages: 35 Posted: 06 Jan 1998
Xiaohong Chen and Halbert L. White Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 162 (236,589)

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Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Cowles Foundation Discussion Paper No. 1650RR
Number of pages: 61 Posted: 01 Feb 2011 Last Revised: 08 Sep 2011
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 119 (302,649)
Citation 12

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Nonlinear Ill-Posed Inverse, Penalized Sieve Minimum Distance, Modulus Of Continuity, Convergence Rate, Nonparametric Additive Quantile IV, Quantile IV Engel Curves

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Cowles Foundation Discussion Paper No. 1650R, Yale Economics Department Working Paper No. 47R
Number of pages: 51 Posted: 17 Jul 2009
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 32 (595,154)
Citation 1

Abstract:

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Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Convergence rate, Nonparametric additive quantile IV, Quantile IV Engel curves

15.

Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

Cowles Foundation Discussion Paper No. 2033
Number of pages: 59 Posted: 18 Mar 2016 Last Revised: 18 Apr 2016
Yale University - Cowles Foundation, University of Cambridge, Yale University, Department of Economics, Students and Shanghai University of Finance and Economics - School of Economics
Downloads 142 (263,689)

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Characteristic function, Deconvolution, Flash Crash, Liquidity

16.
Downloads 137 (271,202)
Citation 9

Overidentification in Regular Models

Cowles Foundation Discussion Paper No. 1999
Number of pages: 58 Posted: 23 Apr 2015
Xiaohong Chen and Andres Santos
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 72 (418,167)
Citation 12

Abstract:

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Overidentification, Semiparametric efficiency, Specification testing, Nonparametric conditional moment restrictions

Overidentification in Regular Models

Cowles Foundation Discussion Paper No. 1999R
Number of pages: 83 Posted: 08 Jun 2018
Xiaohong Chen and Andres Santos
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 65 (442,065)

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Overidentification, Semiparametric efficiency, Specification testing, Nonparametric conditional moment restrictions, Semiparametric two step

17.

Sensitivity Analysis in Semiparametric Likelihood Models

Cowles Foundation Discussion Paper No. 1836
Number of pages: 59 Posted: 24 Nov 2011
Yale University - Cowles Foundation, Harvard University and University of Chicago
Downloads 133 (277,375)
Citation 20

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Semiparametric models, Partial identification, Irregular functionals, Sieve likelihood ratio, Weighted bootstrap

18.

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments

Cowles Foundation Discussion Paper No. 1650, Yale Economics Department Working Paper No. 47
Number of pages: 60 Posted: 30 Apr 2008 Last Revised: 17 Jul 2009
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 121 (297,550)

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Nonsmooth residuals, Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Average derivative of a nonparametric nonlinear IV regression, Non-parametric additive quantile IV regression

19.

Principal Components and Long Run Implications of Multivariate Diffusions

Cowles Foundation Discussion Paper No. 1694
Number of pages: 52 Posted: 23 Apr 2009
Xiaohong Chen, Lars Peter Hansen and José Scheinkman
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Columbia University
Downloads 120 (299,349)
Citation 2

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Nonlinear principal components, Discrete spectrum, Eigenvalue decay rates, Multivariate diffusion, Quadratic form, Conditional expectations operator

Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide

Cowles Foundation Discussion Paper No. 2032
Number of pages: 72 Posted: 30 Mar 2016
Xiaohong Chen and Jeff Qiu
Yale University - Cowles Foundation and U.S. Department of Justice Antitrust Division
Downloads 115 (310,091)
Citation 4

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Conditional moment restrictions containing unknown functions, (Quantile) Instrumental variables, Linear and nonlinear functionals, Sieve minimum distance, Sieve GMM, Sieve Wald, QLR, Bootstrap, Semiparametric two-step GMM, Numerical equivalence

Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide

Posted: 18 Nov 2016
Xiaohong Chen and Jeff Qiu
Yale University - Cowles Foundation and U.S. Department of Justice Antitrust Division

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21.

Asymptotic Properties of Some Projection-Based Robbins-Monro Procedures in a Hilbert Space

U of California, Economics Working Paper No. 2002-07
Number of pages: 77 Posted: 05 Jun 2002
Xiaohong Chen and Halbert L. White Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 102 (334,815)
Citation 2

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Recursive Estimation, Non-Parametric Estimation, Hilbert Space, Generalized Method of Moments

22.

The Estimation of Conditional Densities

LSE STICERD Research Paper No. EM415
Number of pages: 17 Posted: 21 Jul 2008
Xiaohong Chen and Oliver B. Linton
Yale University - Cowles Foundation and University of Cambridge
Downloads 94 (352,935)

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23.

Optimal Sup-Norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation

Cowles Foundation Discussion Paper No. 1923R
Number of pages: 40 Posted: 03 Apr 2015
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 90 (362,772)

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Ill-posed inverse problems, Series 2SLS, Optimal sup-norm convergence rates, Adaptive estimation, Random matrices, Bootstrap uniform confidence bands, Nonlinear welfare functionals, Nonparametric demand analysis with endogeneity

24.

Identification and Inference of Nonlinear Models Using Two Samples with Aribrary Measurement Errors

Cowles Foundation Discussion Paper No. 1590
Number of pages: 59 Posted: 02 Nov 2006
Xiaohong Chen and Yingyao Hu
Yale University - Cowles Foundation and University of Texas at Austin
Downloads 87 (370,331)
Citation 14

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Data combination, Nonlinear errors-in-variables model, Nonclassical measurement error, Nonparametric identification, Misspecified parametric latent model, Sieve likelihood estimation and inference

25.

Likelihood Inference in Some Finite Mixture Models

Cowles Foundation Discussion Paper No. 1895
Number of pages: 38 Posted: 14 May 2013
Xiaohong Chen, Maria Ponomareva and Elie T. Tamer
Yale University - Cowles Foundation, Northern Illinois University - Department of Economics and Harvard University
Downloads 86 (373,066)

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Finite mixtures, Parametric bootstrap, Profiled likelihood ratio statistic, Partial identification, Parameter on the boundary

Efficient Estimation of Treatment Effects using Neural Networks with A Diverging Number of Confounders

Number of pages: 46 Posted: 04 Nov 2020
Xiaohong Chen, Ying Liu, Shujie Ma and Zheng Zhang
Yale University - Cowles Foundation, University of California Riverside, University of California, Riverside (UCR) and Renmin University of China - Institute of Statistics and Big Data
Downloads 33 (589,252)

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Treatment effects, Propensity score, Artificial neural networks, Semiparametric efficiency

Efficient Estimation of Treatment Effects using Neural Networks with A Diverging Number of Confounders

Number of pages: 46 Posted: 04 Nov 2020
Xiaohong Chen, Ying, Shujie Ma and Zheng Zhang
Yale University - Cowles Foundation, affiliation not provided to SSRN, University of California, Riverside (UCR) and Renmin University of China - Institute of Statistics and Big Data
Downloads 22 (665,199)

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Treatment effects, Propensity score, Artificial neural networks, Semiparametric efficiency

Efficient Estimation of Treatment Effects Using Neural Networks with a Diverging Number of Confounders

Number of pages: 46 Posted: 04 Nov 2020
Xiaohong Chen, Ying, Shujie Ma and Zheng Zhang
Yale University - Cowles Foundation, University of California Riverside, University of California, Riverside (UCR) and Renmin University of China - Institute of Statistics and Big Data
Downloads 15 (721,066)

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Treatment effects, Propensity score, Artificial neural networks, Semiparametric efficiency

Efficient Estimation of Treatment Effects using Neural Networks with A Diverging Number of Confounders

Number of pages: 46 Posted: 04 Nov 2020
Xiaohong Chen, Ying Liu, Shujie Ma and Zheng Zhang
Yale University - Cowles Foundation, affiliation not provided to SSRN, University of California, Riverside (UCR) and Renmin University of China - Institute of Statistics and Big Data
Downloads 11 (755,519)

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Treatment effects, Propensity score, Artificial neural networks, Semiparametric efficiency

27.

Asymptotic Efficiency of Semiparametric Two-Step GMM

Cowles Foundation Discussion Paper No. 1880
Number of pages: 24 Posted: 09 Oct 2012
Xiaohong Chen, Jinyong Hahn and Zhipeng Liao
Yale University - Cowles Foundation, University of California, Los Angeles and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 78 (395,191)

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Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM

28.

Estimation of Semiparametric Models When the Criterion Function is Not Smooth

LSE STICERD Research Paper No. EM450
Number of pages: 23 Posted: 21 Jul 2008
Yale University - Cowles Foundation, University of Cambridge and Catholic University of Louvain (UCL)
Downloads 77 (398,144)
Citation 18

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29.

Sieve Inference on Semi-Nonparametric Time Series Models

Cowles Foundation Discussion Paper No. 1849
Number of pages: 55 Posted: 21 Feb 2012
Xiaohong Chen, Zhipeng Liao and Yixiao Sun
Yale University - Cowles Foundation, University of California, Los Angeles (UCLA) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 75 (404,065)
Citation 4

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Weak dependence, Sieve M estimation, Sieve Riesz representor, Irregular functional, Misspecification, Pre-asymptotic variance, Orthogonal series long run variance estimation, F distribution

30.

On Rate Optimality for Ill-Posed Inverse Problems in Econometrics

Cowles Foundation Discussion Paper No. 1626
Number of pages: 28 Posted: 11 Sep 2007
Xiaohong Chen and Markus Reiss
Yale University - Cowles Foundation and Heidelberg University - Department of Applied Mathematics
Downloads 75 (404,065)

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Nonparametric instrumental regression, Nonparametric indirect regression, Statistical ill-posed inverse problems, Minimax risk lower bound, Optimal rate

31.

Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship

Cowles Foundation Discussion Paper No. 1683
Number of pages: 39 Posted: 18 Nov 2008
Xiaohong Chen, Yanqin Fan, Demian Pouzo and Zhiliang Ying
Yale University - Cowles Foundation, University of Washington - Department of Economics, University of California, Berkeley - Department of Economics and affiliation not provided to SSRN
Downloads 73 (410,142)

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Multivariate survival models, Misspecified copulas, Penalized pseudo-likelihood ratio, Fixed or random censoring, Kaplan-Meier estimator

32.

A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators

Cowles Foundation Discussion Paper No. 1803
Number of pages: 51 Posted: 24 May 2011
Daniel A. Ackerberg, Xiaohong Chen and Jinyong Hahn
University of California, Los Angeles (UCLA) - Department of Economics, Yale University - Cowles Foundation and University of California, Los Angeles
Downloads 67 (429,416)
Citation 10

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Two-step semiparametrics

33.

MCMC Confidence Sets for Identified Sets

Cowles Foundation Discussion Paper No. 2037
Number of pages: 69 Posted: 05 May 2016
Xiaohong Chen, Timothy Christensen and Elie T. Tamer
Yale University - Cowles Foundation, New York University (NYU) - Department of Economics and Harvard University
Downloads 62 (446,730)
Citation 2

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Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models

Cowles Foundation Discussion Paper No. 1897R
Number of pages: 63 Posted: 05 Apr 2014
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 33 (589,252)

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Nonlinear nonparametric instrumental variables, Penalized sieve minimum distance, Irregular functional, Sieve variance estimators, Sieve Wald, Sieve quasi likelihood ratio, Generalized residual bootstrap, Local power, Wilks phenomenon

Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models

Cowles Foundation Discussion Paper No. 1897RR
Number of pages: 151 Posted: 05 Nov 2014 Last Revised: 20 Mar 2015
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 26 (635,155)
Citation 3

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Nonlinear nonparametric instrumental variables; Penalized sieve minimum distance; Irregular functional; Sieve variance estimators; Sieve Wald; Sieve quasi likelihood ratio; Generalized residual bootstrap; Local power; Wilks phenomenon

35.

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Cowles Foundation Discussion Paper No. 2215 (2019)
Number of pages: 78 Posted: 26 Dec 2019
Xiaohong Chen, Zhuo Huang and Yanping Yi
Yale University - Cowles Foundation, National School of Development, Peking University and Shanghai University of Finance and Economics - School of Economics
Downloads 51 (488,767)

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Semi-nonparametric dynamic models, Residual copulas, Semiparametric multistep, Residual sieve maximum likelihood, Semiparametric efficiency

36.

MCMC Con dence Sets for Identi ed Sets

Cowles Foundation Discussion Paper No. 2037R
Number of pages: 107 Posted: 08 Jul 2016
Yale University - Cowles Foundation, New York University (NYU) - Department of Economics, New York University (NYU) and Harvard University
Downloads 49 (497,185)

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37.

Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression

Cowles Foundation Discussion Paper No. 1923R2
Number of pages: 95 Posted: 15 Feb 2017 Last Revised: 29 Apr 2017
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 47 (505,913)
Citation 7

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Series 2SLS, Optimal Sup-Norm Convergence Rates, Uniform Gaussian Process Strong Approximation, Score Bootstrap Uniform Confidence Bands, Nonlinear Welfare Functionals, Nonparametric Demand with Endogeneity

38.

Robust Inference for Moment Condition Models without Rational Expectations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-122
Number of pages: 56 Posted: 20 Oct 2021
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics
Downloads 44 (519,445)

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Subjective beliefs, bounded rationality, misspecification sets, nonlinear expectation, divergence, Lagrange multipliers, stochastic dual programming, confidence sets

39.

Sieve Semiparametric Two-Step GMM Under Weak Dependence

Cowles Foundation Discussion Paper No. 2012
Number of pages: 64 Posted: 14 Jul 2015
Xiaohong Chen and Zhipeng Liao
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 41 (533,646)
Citation 3

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Sieve two-step GMM, Weakly dependent data, Auto-correlation robust inference, Semiparametric over-identification test, Numerical equivalence, Random perturbation derivative estimator

40.

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

NBER Working Paper No. w10503
Number of pages: 59 Posted: 31 May 2004 Last Revised: 13 Sep 2021
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 38 (548,478)

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41.

Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions

Cowles Foundation Discussion Paper No. 1731
Number of pages: 41 Posted: 10 Oct 2009
Chunrong Ai and Xiaohong Chen
University of Florida - Warrington College of Business Administration - Department of Economics and Yale University - Cowles Foundation
Downloads 37 (553,634)
Citation 3

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sequential moment models, semiparametric efficiency bounds, optimally weighted orthogonalized sieve minimum distance, nonparametric IV regression, weighted average derivatives, partially linear quantile IV

42.

Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions

Cowles Foundation Discussion Paper No. 1976
Number of pages: 55 Posted: 24 Dec 2014 Last Revised: 13 Mar 2015
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 36 (558,925)
Citation 14

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Nonparametric series regression, Optimal uniform convergence rates, Weak dependence, Random matrices, Splines, Wavelets, (Nonlinear) Irregular Functionals, Sieve t statistics

43.

Adaptive, Rate-Optimal Testing in Instrumental Variables Models

Number of pages: 69 Posted: 10 Jul 2020
Christoph Breunig and Xiaohong Chen
Emory University and Yale University - Cowles Foundation
Downloads 33 (575,017)
Citation 1

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Instrumental variables; Minimax rate of testing; Adaptive testing; Exponential scan; Confidence sets; Quadratic functionals; Shape restrictions.

44.

Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression

Cowles Foundation Discussion Paper No. 1923
Number of pages: 37 Posted: 04 Nov 2013
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 33 (575,017)

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Nonparametric instrumental variables; Statistical ill-posed inverse problems; Optimal uniform convergence rates; Weak dependence; Random matrices; Splines; Wavelets

45.

Monte Carlo Confidence Sets for Identified Sets

Cowles Foundation Discussion Paper No. 2037R2
Number of pages: 104 Posted: 29 Sep 2017
Xiaohong Chen, Timothy Christensen and Elie T. Tamer
Yale University - Cowles Foundation, New York University (NYU) - Department of Economics and Harvard University
Downloads 31 (586,168)
Citation 16

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Heterogeneity and Aggregate Fluctuations

NBER Working Paper No. w28853
Number of pages: 71 Posted: 31 May 2021 Last Revised: 18 Nov 2021
Minsu Chang, Xiaohong Chen and Frank Schorfheide
Georgetown University, Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 2 (836,504)
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Heterogeneity and Aggregate Fluctuations

Number of pages: 73 Posted: 14 Jul 2021
Minsu Chang, Xiaohong Chen and Frank Schorfheide
Georgetown University, Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
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47.

Sieve Quasi Likelihood Ratio Inference on Semi/Nonparametric Conditional Moment Models

Cowles Foundation Discussion Paper No. 1897
Posted: 30 May 2013
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics

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Nonlinear nonparametric instrumental variables, Penalized sieve minimum distance, Irregular functional, Sieve Riesz representer, Sieve quasi likelihood ratio, Asymptotic normality, Bootstrap, Sieve variance estimator