Jia Chen

Search results

• 2024

  Estimating Time-Varying Networks for High-Dimensional Time Series

  Chen, J., Li, D., Li, Y.-N. & Linton, O., 15 May 2024, (Accepted/In press) In: Journal of Econometrics.

  Research output: Contribution to journal › Article › peer-review

• 2023

  Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure

  Yang, X., Chen, J., Li, D. & Li, R., 31 Oct 2023, (E-pub ahead of print) In: Journal of Business and Economic Statistics. 15 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2022

  Estimation and Inference in Heterogeneous Spatial Panels with a Multifactor Error Structure

  Shin, Y., Chen, J. & Zheng, C., 1 Jul 2022, In: Journal of Econometrics. 229, 1, p. 55-79 25 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

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• Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model

  Li, Y.-N., Chen, J. & Linton, O., 24 Dec 2022, (Accepted/In press) In: Journal of Econometrics.

  Research output: Contribution to journal › Article › peer-review

• 2021

  Nonparametric Homogeneity Pursuit in Functional-Coefficient Models

  Chen, J., Li, D., Wei, L. & Zhang, W., 14 Jul 2021, (E-pub ahead of print) In: Journal of Nonparametric Statistics. 33, 3-4, p. 387-416 30 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2019

  A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

  Chen, J., Li, D. & Linton, O., 1 Sept 2019, In: Journal of Econometrics. 212, 1, p. 155-176 22 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models

  Chen, J., 1 Aug 2019, (E-pub ahead of print) In: Econometrics Journal. 18 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Estimation of a rank-reduced functional-coefficient panel data model with serial correlation

  Chen, J., Li, D. & Xia, Y., Sept 2019, In: Journal of Multivariate Analysis. 173, p. 456-479 24 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2018

  Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series

  Chen, J., Li, D., Linton, O. & Lu, Z., 6 Jun 2018, In: Journal of the American Statistical Association. 113, 522, p. 919-932 14 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2016

  Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables

  Chen, J., Li, D., Linton, O. & Lu, Z., 1 Oct 2016, In: Journal of Econometrics. 194, 2, p. 309-318 10 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2015

  Semiparametric GEE Analysis of Partially Linear Single-Index Models for Longitudinal Data

  Chen, J., Li, D., Liang, H. & Wang, S., Aug 2015, In: Annals of Statistics. 43, 4, p. 1682-1715

  Research output: Contribution to journal › Article › peer-review

• Specification Testing in Nonstationary Time Series Models

  Chen, J., Gao, J., Li, D. & Lin, Z., Feb 2015, In: Econometrics Journal. 18, 1, p. 117-136 20 p.

  Research output: Contribution to journal › Article › peer-review
• 2013

  Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects

  Chen, J., Gao, J. & Li, D., Jul 2013, In: Journal of Business and Economic Statistics. 31, 3, p. 315-330 16 p.

  Research output: Contribution to journal › Article › peer-review

• Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

  Chen, J., Gao, J. & Li, D., Apr 2013, In: Econometric Reviews. 32, 8, p. 928-955

  Research output: Contribution to journal › Article › peer-review
• 2012

  A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NON PARAMETRIC PANEL DATA MODELS

  Chen, J., Gao, J. & Li, D., Oct 2012, In: Econometric Theory. 28, 5, p. 1144-1163 20 p.

  Research output: Contribution to journal › Article › peer-review

• Estimation in semi-parametric regression with non-stationary regressors

  Chen, J., Gao, J. & Li, D., May 2012, In: Bernoulli. 18, 2, p. 678-702 25 p.

  Research output: Contribution to journal › Article › peer-review

• Semiparametric trending panel data models with cross-sectional dependence

  Chen, J., Gao, J. & Li, D., Nov 2012, In: Journal of Econometrics. 171, 1, p. 71-85 15 p.

  Research output: Contribution to journal › Article › peer-review
• 2011

  Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors

  Chen, J., Li, D. & Lin, Z., Sept 2011, In: Journal of Statistical Planning and Inference. 141, 9, p. 3035-3046 12 p.

  Research output: Contribution to journal › Article › peer-review

• Estimation in semiparametric time series regression

  Chen, J., Gao, J. & Li, D., 2011, In: Statistics and its interface. 4, 2, p. 243-251 9 p.

  Research output: Contribution to journal › Article › peer-review

• Non-parametric time-varying coefficient panel data models with fixed effects

  Li, D., Chen, J. & Gao, J., Oct 2011, In: Econometrics Journal. 14, 3, p. 387-408 22 p.

  Research output: Contribution to journal › Article › peer-review

• Statistical inference in partially time-varying coefficient models

  Li, D., Chen, J. & Lin, Z., 21 Feb 2011, In: Journal of Statistical Planning and Inference. 141, 2, p. 995-1013 19 p.

  Research output: Contribution to journal › Article › peer-review
• 2010

  Local linear M-estimation for spatial processes in fixed-design models

  Chen, J. & Zhang, L. X., May 2010, In: Metrika. 71, 3, p. 319-340 22 p.

  Research output: Contribution to journal › Article › peer-review

• Robust estimation in a nonlinear cointegration model

  Chen, J., Li, D. & Zhang, L., Mar 2010, In: Journal of Multivariate Analysis. 101, 3, p. 706-717 12 p.

  Research output: Contribution to journal › Article › peer-review
• 2009

  Asymptotic properties of nonparametric M-estimation for mixing functional data

  Chen, J. & Zhang, L. X., 1 Feb 2009, In: Journal of Statistical Planning and Inference. 139, 2, p. 533–546 14 p.

  Research output: Contribution to journal › Article › peer-review

• LOCAL LINEAR M-ESTIMATORS IN NULL RECURRENT TIME SERIES

  Lin, Z., Li, D. & Chen, J., Oct 2009, In: Statistica Sinica. 19, 4, p. 1683-1703 21 p.

  Research output: Contribution to journal › Article › peer-review

• Variable selection in partially time-varying coefficient models

  Li, D., Chen, J. & Lin, Z., 21 Aug 2009, In: Journal of Nonparametric Statistics. 21, 5, p. 553-566 14 p.

  Research output: Contribution to journal › Article › peer-review
• 2008

  Asymptotics of kernel density estimators on weakly associated random fields

  Chen, J., 15 Dec 2008, In: Statistics & Probability Letters. 78, 18, p. 3230–3237 8 p.

  Research output: Contribution to journal › Article › peer-review

• Bahadur Representation of Nonparametric M-Estimators for Spatial Processes

  Chen, J., Li, D. & Zhang, L. X., 1 Nov 2008, In: Acta mathematica sinica-English series. 24, 11, p. 1871-1882 12 p.

  Research output: Contribution to journal › Article › peer-review

• Change point estimators by local polynomial fits under a dependence assumption

  Lin, Z., Li, D. & Chen, J., Nov 2008, In: Journal of Multivariate Analysis. 99, 10, p. 2339-2355 17 p.

  Research output: Contribution to journal › Article › peer-review

• Spatial local M-estimation under association

  Chen, J., Zhang, L. & Li, D., 1 Jan 2008, In: Metrika. 67, 1, p. 11-29 19 p.

  Research output: Contribution to journal › Article › peer-review
• 2007

  Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors

  Lin, Z., Li, D. & Chen, J., Nov 2007, In: Metrika. 66, 3, p. 289-303 15 p.

  Research output: Contribution to journal › Article › peer-review