International Fellows

Xiaohong Chen

Yale University

Selected Publications

Local identification of nonparametric and semiparametric models

In parametric models a sufficient condition for local identification is that the vector of moment is […]

Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
14 November 2012 | CWP37/12

Latest version

Local identification of nonparametric and semiparametric models
Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
1 March 2014 | Journal Article

Previous version

Local identification of nonparametric and semiparametric models
Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
23 May 2011 | CWP17/11
Asymptotic efficiency of semiparametric two-step GMM

In this note, we characterise the semiparametric efficiency bound for a class of semiparametric models in […]

Xiaohong Chen, Jinyong Hahn
15 October 2012 | CWP31/12

Latest version

Asymptotic efficiency of semiparametric two-step GMM
Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn
4 June 2014 | CWP28/14
An estimation of economic models with recursive preferences

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and […]

Xiaohong Chen, Jack Favilukis, Sydney Ludvigson
15 October 2012 | CWP32/12

Latest version

An estimation of economic models with recursive preferences
Xiaohong Chen, Jack Favilukis, Sydney Ludvigson
1 March 2013 | Journal Article
Averaging of moment condition estimators

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

Xiaohong Chen, David Jacho-Chávez, Oliver Linton
21 September 2012 | CWP26/12
Sieve inference on semi-nonparametric time series models

The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this […]

Xiaohong Chen, . ., Yixiao Sun
24 February 2012 | CWP06/12
Penalized sieve estimation and inference of semi-nonparametric dynamic models: a selective review

In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric […]

Xiaohong Chen
10 June 2011 | CWP23/11

Latest version

A practical asymptotic variance estimator for two-step semiparametric estimators

The goal of this paper is to develop techniques to simplify semiparametric inference. We do this […]

Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn
5 June 2011 | CWP22/11

Latest version

A practical asymptotic variance estimator for two-step semiparametric estimators
Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn
31 May 2012 | Journal Article
Local identification of nonparametric and semiparametric models

In parametric models a sufficient condition for local identification is that the vector of moment conditions […]

Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
23 May 2011 | CWP17/11

Latest version

Local identification of nonparametric and semiparametric models
Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
14 November 2012 | CWP37/12
Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions

This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential […]

Chunrong Ai, Xiaohong Chen
5 October 2009 | CWP28/09

Latest version

Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown […]

Xiaohong Chen, Demian Pouzo
29 July 2009 | CWP20/09

Latest version

Previous version