Xiaohong Chen

CFDPs

CFDP 1804 Xiaohong Chen, "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review," (May 2011) [56pp, Abstract] (See: 1388)
CFDP 1803 Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn, "A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," (May 2011) [50pp, Abstract] (See: 1357)
CFDP 1795R Xiaohong Chen, Victor Chernozhukov, Sokbae Lee, Whitney Newey, "Local Identification of Nonparametric and Semiparametric Models," (April 2011, revised November 2012) [45pp, Abstract] (See: 1415)
CFDP 1795 Xiaohong Chen, Victor Chernozhukov, Sokbae Lee, Whitney Newey, "Local Identification of Nonparametric and Semiparametric Models," (April 2011) [30pp, Abstract]
CFDP 1731 Chunrong Ai, Xiaohong Chen, "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions," (October 2009) [40pp, Abstract] (See: 1366)
CFDP 1694 Xiaohong Chen, Lars P. Hansen, José Scheinkman, "Principal Components and Long Run Implications of Multivariate Diffusions," (April 2009) [51pp, Abstract]
CFDP 1691 Xiaohong Chen, Wei Biao Wu, Yanping Yi, "Efficient Estimation of Copula-based Semiparametric Markov Models," (January 2009, updated March 2009) [55pp, Abstract] (See: 1284)
CFDP 1683 Xiaohong Chen, Yanqin Fan, Demian Pouzo, Zhiliang Ying, "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship," (November 2008) [38pp, Abstract] (See: 1299)
CFDP 1679 Xiaohong Chen, Roger Koenker, Zhijie Xiao, "Copula-Based Nonlinear Quantile Autoregression," (October 2008) [30pp, Abstract] (See: 1281)
CFDP 1652R Xiaohong Chen, Lars P. Hansen, Marine Carrasco, "Nonlinearity and Temporal Dependence," (May 2008, revised October 2009) [40pp, Abstract] (See: 1298)

For accessibility assistance with publications, please email cowles@yale.edu.

CFPs

CFP 1357 Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn, "A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Review of Economics and Statistics, (May 2012), 94(2): 482-498 (See CFDP 1803)
CFP 1345 Xiaohong Chen, Demian Pouzo, "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals," Econometrica, (January 2012), 80(1): 277-321 ([Supplemental Material]) (See CFDP 1650R2)
CFP 1344 Xiaohong Chen, Han Hong, Denis Nekipelov, "Nonlinear Models of Measurement Errors," Journal of Economic Literature, (December 2011), 49(4): 901-937
CFP 1329 Xiaohong Chen, Markus Reiss, "On Rate Optimality for Ill-posed Inverse Problems in Econometrics," Econometric Theory, (June 2011), 27(3): 497-521 (See CFDP 1626)
CFP 1299 Xiaohong Chen, Yanqin Fan, Demian Pouzo, Zhiliang Ying, "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship," Journal of Econometrics, (July 2010), 157(1): 129-142 (See CFDP 1683)
CFP 1298 Xiaohong Chen, Lars P. Hansen, Marine Carrasco, "Nonlinearity and Temporal Dependence," Journal of Econometrics, (April 2010), 155(2): 155-169 (See CFDP 1652R)
CFP 1285 Xiaohong Chen, Sydney C. Ludvigson, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," Journal of Applied Econometrics, (August 2009), 24(7): 1057-1093
CFP 1284 Xiaohong Chen, Wei Biao Wu, Yanping Yi, "Efficient Estimation of Copula-based Semiparametric Markov Models," Annals of Statistics, (January 2009), 37(6B): 4214-4253 (See CFDP 1691)
CFP 1283 Xiaohong Chen, Lars P. Hansen, José Scheinkman, "Nonlinear Principal Components and Long-run Implications of Multivariate Diffusions," Annals of Statistics, (January 2009), 37(6B): 4279-4312 (See CFDP 1694)
CFP 1282 Xiaohong Chen, Roger Koenker, Zhijie Xiao, "Copula-based Nonlinear Quantile Autoregression," Econometrics Journal, (January 2009), 12(1): S50-S67 (See CFDP 1679)