International Fellows

Xiaohong Chen

Yale University

Selected Publications

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
31 May 2012 | Journal Article

Previous version

A practical asymptotic variance estimator for two-step semiparametric estimators
Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn
5 June 2011 | CWP22/11
Estimation of nonparametric conditional moment models with possibly nonsmooth moments

This paper studies nonparametric estimation of conditional moment restrictions in which the generalized residual functions can […]

Xiaohong Chen, Demian Pouzo
10 January 2012 | Journal Article

Previous version

On rate optimality for ill-posed inverse problems in econometrics

In this paper we clarify the relations between the existing sets of regularity conditions for convergence […]

Xiaohong Chen, Markus Reiss
30 June 2011 | Journal Article

Previous version

On rate optimality for ill-posed inverse problems in econometrics
Xiaohong Chen, Markus Reiss
10 September 2007 | CWP20/07
Efficient estimation of copula-based semiparametric Markov models

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized […]

Xiaohong Chen, Wei Biao Wu Wu, Yanping Yi
21 May 2010 | Journal Article

Previous version

Efficient estimation of copula-based semiparametric Markov models
Xiaohong Chen, Wei Biao Wu Wu, Yanping Yi
3 March 2009 | CWP06/09
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, Pouzo, Demian
1 September 2009 | Journal Article

Previous version

Nonparametric identification and estimation of nonclassical errors-in-variables models without additional information

This paper considers identification and estimation of a nonparametric regression model with an unobserved discrete covariate. […]

Xiaohong Chen, Yingyao Hu, Arthur Lewbel
1 July 2009 | Journal Article

Previous version

Copula-based nonlinear quantile autoregression

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. […]

Xiaohong Chen, Roger Koenker, Zhijie Xiao
1 January 2009 | Journal Article

Previous version

Copula-based nonlinear quantile autoregression
Xiaohong Chen, Roger Koenker, Zhijie Xiao
23 October 2008 | CWP27/08
Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments

This note considers nonparametric identification of a general nonlinear regression model with a dichotomous regressor subject […]

Xiaohong Chen, Yingyao Hu, Arthur Lewbel
1 September 2008 | Journal Article

Previous version

Semi-nonparametric IV estimation of shape-invariant Engel curves

This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant […]

Richard Blundell, Xiaohong Chen, Dennis Kristensen
19 October 2007 | Journal Article

Previous version

Nonparametric IV estimation of shape-invariant Engel curves
Richard Blundell, Xiaohong Chen, Dennis Kristensen
1 October 2003 | CWP15/03
Estimation of semiparametric models when the criterion function is not smooth

We provide easy to verify suffcient conditions for the consistency and asymptotic normality of a class […]

Xiaohong Chen, Oliver Linton, Ingred van Keilegom
1 September 2003 | Journal Article

Previous version

Estimation of semiparametric models when the criterion function is not smooth
Xiaohong Chen, Oliver Linton, Ingred van Keilegom
7 November 2002 | CWP02/02