Selected Publications

Li, Y-N., Chen, J. and Linton, O. (2023). Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. Accepted by Journal of Econometrics, working paper version [link here].

Chen, J., Shin, Y. and Zheng, C. (2022). Estimation and inference in heteroge- nous spatial panel data models with a multifactor error structure. Journal of Econometrics, 229, 55-79.

Chen, J., Li, D., Wei, L. and Zhang, W. (2021). Nonparametric homogeneity pursuit in functional-coefficient models. Journal of Nonparametric Statistics, 33, 387-416.

Chen, J. (2019). Estimating latent group structure in time-varying coefficient panel data models. Econometrics Journal, 22, 223-240.

Chen, J., Li, D. and Linton, O. (2019). A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. Journal of Econometrics, 212, 155-176

Chen, J., Li, D., Linton, O. and Lu, Z. (2018). Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series. Journal of the American Statistical Association, 113, 919-932

Chen, J., Li, D., Linton, O. and Lu, Z. (2016). Semiparametric dynamic portfolio choice with multiple conditioning variables. Journal of Econometrics, 194, 309- 318.

Chen, J., Li, D., Liang, H. and Wang, S. (2015) Semiparametric GEE analysis of partially linear single-index models for longitudinal data. Annals of Statistics, 43, 1682–1715.

Chen, J., Gao, J., Li, D. and Lin, Z. (2015). Specification testing in nonstationary time series models. Econometrics Journal, 18, 117–136.

Chen, J., Gao, J. and Li, D. (2013). Estimation in partially linear single-index panel data models with fixed effects. Journal of Business and Economic Statistics, 31, 315–330.

Chen, J., Gao, J. and Li, D. (2013). Estimation in single-index panel data models with heterogeneous link functions. Econometric Reviews, 32, 928–955.

Chen, J., Gao, J. and Li, D. (2012). Semiparametric trending regression in panel data models with cross-sectional dependence. Journal of Econometrics, 171, 71–85.

Chen, J., Gao, J. and Li, D. (2012) A new diagnostic test in nonparametric panel data models. Econometric Theory, 28, 1144–1163.

Chen, J., Li, D. and Lin, Z. (2011). Asymptotic expansion for nonparametric M-estimators in nonlinear regression model with long–memory errors. Journal of Statistical Planning and Inference, 141, 3035–3046.

Li, D., Chen, J. and Gao, J. (2011). Nonparametric time-varying coefficient panel data models with fixed effects. The Econometrics Journal, 14, 387–408.

Chen, J. and Zhang, L. (2010). Local linear M-estimation for spatial processes in fixed-design models. Metrika, 71, 319–340.

Chen, J., Li, D. and Zhang, L. (2010). Robust estimation in a nonlinear cointe- gration model. Journal of Multivariate Analysis, 101, 706–717.

Chen, J. and Zhang, L. (2009). Asymptotic properties of nonparametric M- estimation for mixing functional data. Journal of Statistical Planning and Inference, 139, 533–546.

Chen, J. (2008). Asymptotics of kernel density estimators on weakly associated random fields. Statistics and Probability Letters, 78, 3230–3237.

Chen, J. (2007). Functional almost sure central limit theorems for PA sequences. Applied Mathematics: A Journal of Chinese Universities, Ser. A, 22, 316–322.