.
Chen, Xiaohong's
Scholarly Papers
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column.
Aggregate Statistics
Total 2,953
Total Citations 244
1.
Chen, Xiaohong Yale University - Cowles Foundation
Fan, Yanqin Vanderbilt University - College of Arts and Science - Department of Economics
Patton, Andrew J. Duke University - Department of Economics
756(14,301)
15
Copulas, correlation, nonlinear comovements, goodness-of-fit tests, GARCH
2.
Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
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Chen, Xiaohong Yale University - Cowles Foundation
Ludvigson, Sydney C. New York University - Department of Economics
Posted:
20 Nov 03
Last Revised:
11 May 09
259(56,916)
44
Chen, Xiaohong Yale University - Cowles Foundation
Ludvigson, Sydney C. New York University - Department of Economics
43
44
Chen, Xiaohong Yale University - Cowles Foundation
Ludvigson, Sydney C. New York University - Department of Economics
216
44
3.
An Estimation of Economic Models with Recursive Preferences
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Chen, Xiaohong Yale University - Cowles Foundation
Favilukis, Jack London School of Economics & Political Science (LSE)
Ludvigson, Sydney C. New York University - Department of Economics
Posted:
14 Mar 08
Last Revised:
15 Dec 12
178(83,593)
14
Chen, Xiaohong Yale University - Cowles Foundation
Favilukis, Jack London School of Economics & Political Science (LSE)
Ludvigson, Sydney C. New York University - Department of Economics
30
14
Chen, Xiaohong Yale University - Cowles Foundation
Favilukis, Jack London School of Economics & Political Science (LSE)
Ludvigson, Sydney C. New York University - Department of Economics
8
14
Chen, Xiaohong Yale University - Cowles Foundation
Favilukis, Jack London School of Economics & Political Science (LSE)
Ludvigson, Sydney C. New York University - Department of Economics
30
14
non-expected utility, recursive utility
Chen, Xiaohong Yale University - Cowles Foundation
Favilukis, Jack London School of Economics & Political Science (LSE)
Ludvigson, Sydney C. New York University - Department of Economics
110
14
4.
Chen, Xiaohong Yale University - Cowles Foundation
Hong, Han Duke University - Department of Economics
Tarozzi, Alessandro Duke University - Department of Economics
166(89,268)
6
Auxiliary data, Measurement error, Missing data, Treatment effect, Semiparametric efficiency bound, GMM, Sieve estimation
5.
Copula-Based Nonlinear Quantile Autoregression
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Chen, Xiaohong Yale University - Cowles Foundation
Koenker, Roger University of Illinois at Urbana-Champaign - Department of Economics
Xiao, Zhijie University of Illinois at Urbana-Champaign - Department of Economics
Posted:
15 Oct 08
Last Revised:
06 Oct 09
136(106,468)
2
Chen, Xiaohong Yale University - Cowles Foundation
Koenker, Roger University of Illinois at Urbana-Champaign - Department of Economics
Xiao, Zhijie University of Illinois at Urbana-Champaign - Department of Economics
1
2
Chen, Xiaohong Yale University - Cowles Foundation
Koenker, Roger University of Illinois at Urbana-Champaign - Department of Economics
Xiao, Zhijie University of Illinois at Urbana-Champaign - Department of Economics
Posted:
15 Oct 08
Last Revised:
26 Dec 08
135
2
Quantile autoregression, Copula, Ergodic nonlinear Markov models
6.
Chen, Xiaohong Yale University - Cowles Foundation
Wu, Wei Biao affiliation not provided to SSRN
Yi, Yanping affiliation not provided to SSRN
Posted:
26 Feb 09
Last Revised:
16 Mar 09
127(112,656)
7
Copula, Tail dependence, Nonlinear Markov models, Geometric ergodicity, Sieve MLE, Semiparametric efficiency, Sieve likelihood ratio statistics, Value-at-Risk
7.
Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals
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Chen, Xiaohong Yale University - Cowles Foundation
Pouzo, Demian New York University (NYU) - Department of Economics
Posted:
20 Feb 08
Last Revised:
16 Jul 09
124(114,906)
14
Chen, Xiaohong Yale University - Cowles Foundation
Pouzo, Demian New York University (NYU) - Department of Economics
Posted:
31 Oct 08
Last Revised:
16 Jul 09
26
14
Penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile IV Engel curves
Chen, Xiaohong Yale University - Cowles Foundation
Pouzo, Demian New York University (NYU) - Department of Economics
98
14
penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile Engel curves
8.
Chen, Xiaohong Yale University - Cowles Foundation
Hansen, Lars Peter University of Chicago - Department of Economics
Carrasco, Marine University of Montreal - Departement de Ciences Economiques
121(117,201)
13
Mixing, Diffusion, Strong dependence, Long memory, Poisson sampling
9.
Chen, Xiaohong Yale University - Cowles Foundation
White, Jr., Halbert L. University of California, San Diego (UCSD) - Department of Economics
114(122,817)
3
10.
Chen, Xiaohong Yale University - Cowles Foundation
108(127,937)
Nonlinear time series, Temporal dependence, Tail dependence, Penalized sieve M estimation, Penalized sieve minimum distance, Semiparametric two-step, Nonlinear ill-posed inverse, Mixtures, Conditional moment restrictions, Nonparametric endogeneity, Dynamic asset pricing, Varying coefficient VAR, GAR
11.
Chen, Xiaohong Yale University - Cowles Foundation
Pouzo, Demian New York University (NYU) - Department of Economics
Posted:
30 Apr 08
Last Revised:
17 Jul 09
104(131,486)
14
Nonsmooth residuals, Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Average derivative of a nonparametric nonlinear IV regression, Non-parametric additive quantile IV regression
12.
Local Identification of Nonparametric and Semiparametric Models
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Chen, Xiaohong Yale University - Cowles Foundation
Chernozhukov, Victor Massachusetts Institute of Technology (MIT) - Department of Economics
Lee, Sokbae University College London
Newey, Whitney K. Massachusetts Institute of Technology (MIT) - Department of Economics
Posted:
25 Apr 11
Last Revised:
15 Nov 12
84(151,591)
2
Chen, Xiaohong Yale University - Cowles Foundation
Chernozhukov, Victor Massachusetts Institute of Technology (MIT) - Department of Economics
Lee, Sokbae Seoul National University
Newey, Whitney K. Massachusetts Institute of Technology (MIT) - Department of Economics
25
2
Identification, Local identification, Nonparametric models, Asset pricing
Chen, Xiaohong Yale University - Cowles Foundation
Chernozhukov, Victor Massachusetts Institute of Technology (MIT) - Department of Economics
Lee, Sokbae University College London
Newey, Whitney K. Massachusetts Institute of Technology (MIT) - Department of Economics
59
2
Identification, Local identification, Nonparametric models, Asset pricing
13.
Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals
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Chen, Xiaohong Yale University - Cowles Foundation
Pouzo, Demian New York University (NYU) - Department of Economics
Posted:
17 Jul 09
Last Revised:
08 Sep 11
76(161,198)
10
Chen, Xiaohong Yale University - Cowles Foundation
Pouzo, Demian New York University (NYU) - Department of Economics
Posted:
01 Feb 11
Last Revised:
08 Sep 11
59
10
Nonlinear Ill-Posed Inverse, Penalized Sieve Minimum Distance, Modulus Of Continuity, Convergence Rate, Nonparametric Additive Quantile IV, Quantile IV Engel Curves
Chen, Xiaohong Yale University - Cowles Foundation
Pouzo, Demian New York University (NYU) - Department of Economics
17
10
Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Convergence rate, Nonparametric additive quantile IV, Quantile IV Engel curves
14.
Chen, Xiaohong Yale University - Cowles Foundation
Hansen, Lars Peter University of Chicago - Department of Economics
Scheinkman, Jose A. Princeton University - Department of Economics
70(169,237)
3
Nonlinear principal components, Discrete spectrum, Eigenvalue decay rates, Multivariate diffusion, Quadratic form, Conditional expectations operator
15.
Chen, Xiaohong Yale University - Cowles Foundation
Reiss, Markus University of Heidelberg - Department of Applied Mathematics
62(180,599)
5
Nonparametric instrumental regression, Nonparametric indirect regression, Statistical ill-posed inverse problems, Minimax risk lower bound, Optimal rate
16.
Chen, Xiaohong Yale University - Cowles Foundation
Hu, Yingyao University of Texas at Austin
59(185,236)
1
Data combination, Nonlinear errors-in-variables model, Nonclassical measurement error, Nonparametric identification, Misspecified parametric latent model, Sieve likelihood estimation and inference
17.
Chen, Xiaohong Yale University - Cowles Foundation
Linton, Oliver B. University of Cambridge
56(190,024)
6
18.
Chen, Xiaohong Yale University - Cowles Foundation
White, Jr., Halbert L. University of California, San Diego (UCSD) - Department of Economics
51(198,542)
2
Recursive Estimation, Non-Parametric Estimation, Hilbert Space, Generalized Method of Moments
19.
Ackerberg, Daniel A. University of California, Los Angeles (UCLA) - Department of Economics
Chen, Xiaohong Yale University - Cowles Foundation
Hahn, Jinyong University of California, Los Angeles
46(207,723)
5
Two-step semiparametrics
20.
Chen, Xiaohong Yale University - Cowles Foundation
Jacho-Chávez, David T. Emory University - Department of Economics
Linton, Oliver B. University of Cambridge
45(209,612)
4
21.
Chen, Xiaohong Yale University - Cowles Foundation
Fan, Yanqin Vanderbilt University - College of Arts and Science - Department of Economics
Pouzo, Demian New York University (NYU) - Department of Economics
Ying, Zhiliang affiliation not provided to SSRN
45(209,612)
Multivariate survival models, Misspecified copulas, Penalized pseudo-likelihood ratio, Fixed or random censoring, Kaplan-Meier estimator
22.
Chen, Xiaohong Yale University - Cowles Foundation
Linton, Oliver B. University of Cambridge
Van Keilegom, Ingrid Catholic University of Louvain (UCL)
39(221,781)
31
23.
Chen, Xiaohong Yale University - Cowles Foundation
Liao, Zhipeng University of California, Los Angeles (UCLA)
Sun, Yixiao University of California, San Diego (UCSD) - Department of Economics
35(230,698)
Weak dependence, Sieve M estimation, Sieve Riesz representor, Irregular functional, Misspecification, Pre-asymptotic variance, Orthogonal series long run variance estimation, F distribution
24.
Chen, Xiaohong Yale University - Cowles Foundation
Hahn, Jinyong University of California, Los Angeles
Liao, Zhipeng University of California, Los Angeles (UCLA)
26(254,849)
Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM
25.
Chen, Xiaohong Yale University - Cowles Foundation
Tamer, Elie T. Northwestern University - Department of Economics
Torgovitsky, Alexander Northwestern University - Department of Economics
25(257,979)
Semiparametric models, Partial identification, Irregular functionals, Sieve likelihood ratio, Weighted bootstrap
26.
Chen, Xiaohong Yale University - Cowles Foundation
Ludvigson, Sydney C. New York University - Department of Economics
23(264,737)
42
27.
Ai, Chunrong University of Florida - Warrington College of Business Administration - Department of Economics
Chen, Xiaohong Yale University - Cowles Foundation
15(292,765)
1
sequential moment models, semiparametric efficiency bounds, optimally weighted orthogonalized sieve minimum distance, nonparametric IV regression, weighted average derivatives, partially linear quantile IV
28.
Chen, Xiaohong Yale University - Cowles Foundation
Ponomareva, Maria Northern Illinois University - Department of Economics
Tamer, Elie T. Northwestern University - Department of Economics
3(330,903)
Finite mixtures, Parametric bootstrap, Profiled likelihood ratio statistic, Partial identification, Parameter on the boundary
