Xiaohong Chen

Professor of Economics
New York University
Contact Information
NYU Economics Department
19 West 4th Street
New York, NY, 10012
phone: 1-212-998-8970
e-mail: xiaohong.chen@nyu.edu
Cirriculum vitae
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Research interests
Semi-nonparametric econometrics estimation and testing
Non-linear time series and stochastic process modelling
Non-parametric adaptive learning
Selected forthcoming and working papers
1. Estimation of Possibly Misspecified Semiparametric Conditional Moment Restriction Models with Different Conditioning Variables with C. Ai, forthcoming in Journal of Econometrics
2. Nonparametric Likelihood Ratio Model Selection Tests between Parametric Likelihood and Moment Condition Models with H. Hong and M. Shum, forthcoming in Journal of Econometrics
3. Large Sample Sieve Estimation of Semi-Nonparametric Models forthcoming in Handbook of Econometrics , Vol. 6, eds J. Heckman and E. Leamer
4. Semi-Nonparametric IV Estimation of Shape Invariant Engel Curves with R. Blundell and D. Kristensen, forthcoming in Econometrica,
5. Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects with H. Hong and A. Tarozzi, a shortened version ``Semiparametric Efficiency in GMM Models with Auxiliary Data'' is forthcoming in The Annals of Staitstics
6. Land of Addicts? An Empirical Investigation of Habit-based Asset Pricing Models with S. Ludvigson
7. Principal Components and the Long Run with L.P. Hansen and J. Scheinkman
8. Identification and Inference of Nonlinear Models Using Two Samples With Arbitrary Measurement Errors with Yingyao Hu
Selected publications
1. Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions with C. Ai, Econometrica, 2003, vol.71, p.1795-1843
2. Estimation of Semiparametric Models when the Criterion Function is not Smooth with O. Linton and I. van Keilegom, Econometrica, 2003, vol.71, p.1583-1600
3. Sieve Extremum Estimates for Weakly Dependent Data with X. Shen, Econometrica, 1998, p.289-314
4. Estimation of Copula-Based Semiparametric Time Series Models with Y. Fan, Journal of Econometrics, 2006, vol. 130, p.307-335
5. Measurement error models with auxiliary data with H. Hong and E. Tamer, Review of Economic Studies, 2005, vol.72, p.343-366.
6. Estimation and Model Selection of Semiparametric Copula-based Multivariate Dynamic Models under Copula Misspecification with Y. Fan, Journal of Econometrics , 2006, vol. 135, 125-154.
7. Nonparametric Adaptive Learning with Feedback with H. White, Journal of Economic Theory, 1998, p.190-222
8. A new semiparametric spatial model for panel time series with T. Conley, Journal of Econometrics, 2001, vol. 105, p.59-83.
9. Efficient Estimation of Semiparametric Multivariate Copula Models with Y. Fan and V. Tsyrennikov, Journal of the American Statistical Association , 2006, vol. 101, p. 1228-1240.
10. Asymptotic properties of some projection-based Robbins-Monro procedures in a Hilbert space with H. White, Studies in Nonlinear Dynamics and Econometrics, 2002, vol. 6, issue 1, article 1.
11. "Improved Rates and Asymptotic Normality for Nonparametric Neural Network Estimators" with H. White, IEEE Tran. Information Theory, 1999, p. 682-691
12. "Consistent Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series" with Y. Fan, Journal of Econometrics, 1999, vol.91, p.373-401.
13. "Central limit and functional central limit theorems for Hilbert-valued dependent heterogeneous arrays with applications" with H. White, Econometric Theory, 1998, p.260-284.
14. "Laws of large numbers for Hilbert space valued mixingales with applications" with H. White, Econometric Theory, 1996, p.284-304.
15. Pseudo-Likelihood Ratio Tests for Semiparametric Multivariate Copula Model Selection with Y. Fan, Canadian Journal of Statistics , 2005, vol. 33, 389-414.
16. A Model Selection Test for Bivariate Failure-Time Data with Y. Fan, Econometric Theory , 2007, vol. 23, 414-439.