Xiaohong Chen

CFDPs

CFDP 2319 Jiafeng Chen, Xiaohong Chen, Elie Tamer, "Efficient Estimation of Average Derivatives in NPIV Models: Simulation Comparisons of Neural Network Estimators," (December 2021) [54pp, Abstract]
CFDP 2292 Xiaohong Chen, Timothy M. Christensen, Sid Kankanala, "Adaptive Estimation and Uniform Confidence Bands for Nonparametric IV," (July 2021) [89pp, Abstract]
CFDP 2289 Minsu Chang, Xiaohong Chen, Frank Schorfheide, "Heterogeneity and Aggregate Fluctuations," (June 2021) [71pp, Abstract]
CFDP 2257 Xiaohong Chen, Matthew Gentry, Tong Li, Jingfeng Lu, "Identification and Inference in First-Price Auctions with Risk Averse Bidders and Selective Entry," (September 2020) [61pp, Abstract]
CFDP 2242R Xiaohong Chen, Zhijie Xiao, Bo Wang, "Copula-Based Time Series With Filtered Nonstationarity," (July 2020, revised October 2020) [70pp, Abstract], (See: CFDP 2242) (See: CFP 1777)
CFDP 2242 Xiaohong Chen, Zhijie Xiao, Bo Wang, "Copula-Based Time Series With Filtered Nonstationarity," (July 2020) [72pp, Abstract]
CFDP 2238R Christoph Breunig, Xiaohong Chen, "Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models," (June 2020, revised December 2021) [70pp, Abstract], (See: CFDP 2238)
CFDP 2238 Christoph Breunig, Xiaohong Chen, "Adaptive, Rate-Optimal Testing in Instrumental Variables Models," (June 2020) [70pp, Abstract], (See: CFDP 2238R)
CFDP 2236 Xiaohong Chen, Lars P. Hansen, Peter G. Hansen, "Robust Identification of Investor Beliefs," (May 2020) [63pp, Abstract] (See: CFP 1707)
CFDP 2215 Xiaohong Chen, Zhuo Huang, Yanping Yi, "Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models," (August 2015, revised October 2019) [78pp, Abstract] (See: CFP 1719)

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CFPs

CFP 1777 Xiaohong Chen, Zhijie Xiao, Bo Wang, "Copula-based time series with filtered nonstationarity," Journal of Econometrics, (May 2022), 228(1): 127-155 (See CFDP 2242R)
CFP 1719 Xiaohong Chen, Zhuo Huang, Yanping Yi, "Efficient Estimation of Multivariate Semi-Nonparametric Garch Filtered Copula Models," Journal of Econometrics, (March 2021), 222(1): 484-501 (See CFDP 2215)
CFP 1707 Xiaohong Chen, Lars P. Hansen, Peter G. Hansen, "Robust Identification of Investor Beliefs," Proceedings of the National Academy of Sciences, (December 2020), December, 2020: 1-11 (See CFDP 2236)
CFP 1650 Xiaohong Chen, Demian Pouzo, James L. Powell, "Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions," Journal of Econometrics, (September 2019), 213(1): 30-53
CFP 1617 Xiaohong Chen, Oliver B. Linton, Stefan Schneeberger, Yanping Yi, "Semiparametric Estimation of the Bid–ask Spread in Extended Roll Models," Journal of Econometrics, (January 2019), 208(1): 160-178 (See CFDP 2033)
CFP 1616 Xiaohong Chen, Timothy M. Christensen, Elie Tamer, "Monte Carlo Confidence Sets for Identified Sets," Econometrica, (November 2018), 86(8): 1965-2018 (See CFDP 2037R2)
CFP 1608 Xiaohong Chen, Andres Santos, "Overidentification in Regular Models," Econometrica, (October 2018), 86(5): 1771-1817 (See CFDP 1999R), (See CFDP 1999)
CFP 1590 Xiaohong Chen, Oliver B. Linton, Yanping Yi, "Semiparametric Identification of the Bid–ask Spread in Extended Roll Models," Journal of Econometrics, (October 2017), 200(2): 312-325 (See CFDP 2033)
CFP 1587 Xiaohong Chen, Timothy M. Christensen, "Optimal Sup‐Norm Rates And Uniform Inference On Nonlinear Functionals Of Nonparametric IV Regression," Quantitative Economics, (March 2018), 9(1): 1759-7331 (See CFDP 1923R2)
CFP 1541 Xiaohong Chen, Fuchang Gaob, "A Reverse Gaussian Correlation Inequality by Adding Cones," Statistics Probability Letters, (May 2017), 123: 84-87