Heng Chen@Bank of Canada

Principal Researcher at Currency Department of The Bank of Canada

Phone: +1 (613) 782-8482

chhe@bankofcanada.ca

chenh1207@hotmail.com

Bio: microeconometrican in a central bank

Research: quantile regression, panel model, treatment effects and structural change

Publications

Econometric Theory, forthcoming.

Advances in Econometrics (Volume 42): The Econometrics of Networks. Editors: Áureo De Paula (UCL), Elie Tamer (Harvard), and Marcel Voia (Carleton), 2019.

  • Identification and Wavelet Estimation of Weighted ATE in a Class of Switching Regime Models (with Yanqin Fan)

Journal of Econometrics, 2019.

  • The Mode is the Message: Using Paradata to Identify Survey Design Effects (with Geoff Dunbar and Rallye Shen) Advances in Econometrics (Volume 41): Essays in Honor of Cheng Hsiao. Editors: M. Hashem Pesaran (USC), Tong Li (Vanderbilt), and Dek Terrell (LSU), 2019.
  • Cash versus Card: Payment Discontinuities and the Burden of Holding Coins (with Kim Huynh and Oz Shy)

Journal of Banking and Finance, 2019.

  • Variance Estimation for Survey-Weighted Data Using Bootstrap Resampling Methods: 2013 Methods-of-Payment Survey Questionnaire (with Rallye Shen)

Advances in Econometrics (Volume 39): The Econometrics of Complex Survey Data: Theory and Applications. Editors: Gautam Tripathi (U Luxembourg), David Jacho-Chavez (Emory U), Kim P. Huynh (Bank of Canada), 2018.

  • Measuring Consumer Cash Holdings: Lessons from the 2013 Bank of Canada Methods-of-Payment Survey (with Chris Henry, Kim Huynh, Rallye Shen, Kyle Vincent)

Survey Practice, 2016.

  • Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples (with Marie-Helene Felt and Kim Huynh)

Journal of Royal Statistical Society: Series A, 2016.

  • Inference for the Correlation Coefficient between Potential Outcomes in the Gaussian Switching Regime Model (with Yanqin Fan and Ruixuan Liu)

Journal of Econometrics, 2016.

  • Sheep in Wolf's Clothing: Using the Least Squares Criterion for Quantile Regression

Economics Letters, 2015.

  • A Flexible Parametric Approach for Estimating Switching Regime Models and Treatment Effect Parameters (with Yanqin Fan and Jisong Wu)

Journal of Econometrics, 2014.

Working Papers

  1. Latent group structures with heterogeneous distributions: Identification and Estimation (with Wendun Wang and Xuan Leng).
  2. Effects of Bank Branch Network on Cash Demand and Withdrawal: Evidence from Canada (with Matthew Strathearn and Marcel C. Voia).
  3. Cash Access and First Nations Reserves (with W. Engert, K. Huynh & D. O’Habib).
  4. Wavelet-based Multiple Change Point Inference in the Presence of Unknown Smooth Trend and Long-memory Errors (with Mototsugu Shintani).
  5. Within-group Estimators for Fixed Effects Quantile Models with Large N and Large T, to be submitted. Slides.
  6. Set Identification and Estimation of Dynamic Quantile Models from Repeated Cross-Sections, to be submitted.
  7. Local Polynomial Wavelet Estimation of the Local Average Treatment Effect. Slides.

Bank of Canada Research

  1. The Costs of Point-of-Sale Payments in Canada (with Anneke Kosse, Marie-Hélène Felt, Valéry Dongmo Jiongo, Kerry Nield and Angelika Welte), Bank of Canada Staff Discussion Paper No. 2017-4.
  2. The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location Retailers (with Rallye Shen), Bank of Canada Technical Report 109, 2017.
  3. 2017 Methods-of-Payment Survey: Sample Calibration and Variance Estimation (with Marie-Hélène Felt and Christopher S. Henry), Bank of Canada Technical Report 114, 2018.
  4. Cash and COVID-19: The Impact of the Pandemic on Demand for and Use of Cash (with with Walter Engert, Kim P. Huynh, Gradon Nicholls, Mitchell Nicholson, and Julia Zhu), Bank of Canada Staff Discussion Paper No. 2020-6.

Education

2007-2012 Ph.D. Vanderbilt University (Committee: Yanqin Fan, Tong Li, Moto Shintani, Bryan Shepherd)

2006-2007 M.A. Queen’s University at Kingston