Xiaohong Chen

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Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time series parametrically (such as VAR, GARCH), but specifies the multivariate distribution of the standardized innovation semiparametrically(More)
Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for such models. We use these tests to determine whether the(More)
For the real decision making problems, most criteria have inter-dependent or interactive characteristics so that it is not suitable for us to aggregate them by traditional aggregation operators based on additive measures. Thus, to approximate the human subjective decision making process, it would be more suitable to apply fuzzy measures, where it is not(More)
Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown. Many problems in econometrics can be stated in the form of inverse problems where the argument itself is a function. For example, consider a nonlinear regression where the functional form is the object of(More)
We provide easy to verify sufficient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions and simultaneously depends on some preliminary nonparametric estimators. Our results extend existing theories like those of Pakes and(More)
SVARs are widely used for policy analysis and to provide stylized facts for dynamic general equilibrium models. Yet there have been no workable rank conditions to ascertain whether an SVAR is globally identified. When identifying restrictions, such as long-run restrictions, are imposed on impulse responses, there have been no efficient algorithms for(More)
We extend the semiparametric estimation method for dynamic discrete choice models using Hotz and Miller’s (Review of Economic Studies 60 (1993), 497–529) conditional choice probability approach to the setting where individuals may have hyperbolic discounting time preferences and may be naive about their time inconsistency. We illustrate the proposed(More)
This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant speci…cation involves a common shift parameter for each demographic group in a pooled system of nonparametric Engel curves. We focus on the identi…cation and estimation of both the nonparametric shapes of the Engel curves and the(More)