International Fellows

Xiaohong Chen

Selected Publications

Semiparametric identification of the bid-ask spread in extended Roll Models

This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the […]

Yanping Yi, Xiaohong Chen, Oliver Linton
18 December 2017 | Journal Article
Monte Carlo confidence sets for identified sets

In complicated/nonlinear parametric models, it is generally hard to know whether the model parameters are point […]

Elie Tamer, Timothy M. Christensen, Xiaohong Chen
3 October 2017 | CWP43/17

Previous version

MCMC confidence sets for identified sets
Keith O'Hara, Timothy M. Christensen, Xiaohong Chen, Elie Tamer
7 July 2016 | CWP28/16
Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and […]

Timothy M. Christensen, Xiaohong Chen
13 February 2017 | CWP09/17

Previous version

MCMC confidence sets for identified sets

In complicated/nonlinear parametric models, it is generally hard to determine whether the model parameters are (globally) […]

Keith O'Hara, Timothy M. Christensen, Xiaohong Chen, Elie Tamer
7 July 2016 | CWP28/16

Latest version

Monte Carlo confidence sets for identified sets
Elie Tamer, Timothy M. Christensen, Xiaohong Chen
3 October 2017 | CWP43/17
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods […]

Yanping Yi, Stefan Schneeberger, Oliver Linton, Xiaohong Chen
18 March 2016 | CWP12/16
Averaging of an increasing number of moment condition estimators

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations […]

Oliver Linton, David Jacho-Chávez, Xiaohong Chen
28 February 2016 | Journal Article
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal […]

Timothy M. Christensen, Xiaohong Chen
31 October 2015 | Journal Article

Previous version

Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation

This paper makes several contributions to the literature on the important yet difficult problem of estimating […]

Timothy M. Christensen, Xiaohong Chen
30 June 2015 | CWP32/15

Latest version

Previous version

Optimal uniform convergence rates for sieve nonparametric instrumental variables regression
Timothy M. Christensen, Xiaohong Chen
4 November 2013 | CWP56/13
Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, […]

Xiaohong Chen, Demian Pouzo
1 May 2015 | Journal Article

Previous version

Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
Xiaohong Chen, Demian Pouzo
12 September 2014 | CWP38/14
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal […]

Xiaohong Chen, Timothy M. Christensen
22 December 2014 | CWP46/14

Latest version