Project Description

CHEN Jia

Full-time Staff

Title Professor
Office Room 3021, Humanities and Social Sciences Building, University of Macau, E21B
Telephone +(853) 8822 4816
Website https://sites.google.com/site/jiachenswebsite/home%20
Email chenjia@um.edu.mo

Academic Qualifications

  • Ph.D. in Statistics, Zhejiang University, China, 2008

Research Interests

  • Econometrics

Working Papers

  • Dynamic Quantile Panel Data Models with Interactive Effects
  • Panel Cointegrating Models with Time-Varying Coefficients and Latent Group Structure
  • Semiparametric Model Selection in Panel Data Models with Global Deterministic Trends and Cross-Sectional Dependence

Selected Publications

  • Chen, J., Li, D., Li, Y. and Linton, O. (2024). Estimating Time-Varying Net- works for High Dimensional Time Series. To appear in Journal of Econometrics.
  • Yang, X., Chen, J., Li, D. and Li, R. (2024). Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure. To appear in Journal of Business Economics and Statistics.
  • Li, Y-N., Chen, J. and Linton, O. (2024). Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. To appear in Journal of Econometrics.
  • Chen, J., Shin, Y. and Zheng, C. (2022). Estimation and inference in heterogenous spatial panel data models with a multifactor error structure. Journal of Econometrics, 229, 55-79.
    DOI: https://doi.org/10.1016/j.jeconom.2021.05.003
  • Chen, J. (2019). Estimating latent group structure in time-varying coefficient panel data models. Econometrics Journal, 22, 223-240.
    DOI: https://doi.org/10.1093/ectj/utz008
  • 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.
    DOI: https://doi.org/10.1016/j.jeconom.2019.04.025
  • 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.
    DOI: https://doi.org/10.1080/01621459.2017.1302339
  • Chen, J., Li, D., Linton, O. and Lu, Z. (2016). Semiparametric dynamic portfolio choice with multiple conditioning variables. Journal of Econometrics, 194, 309- 318.
    DOI: https://doi.org/10.1016/j.jeconom.2016.05.009
  • 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.
    DOI: http://dx.doi.org/10.1214/15-AOS1320
  • Chen, J., Gao, J., Li, D. and Lin, Z. (2015). Specification testing in nonstationary time series models. Econometrics Journal, 18, 117–136.
    DOI: https://doi.org/10.1111/ectj.12044
  • 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.
    DOI: https://www.jstor.org/stable/43702728
  • Li, D., Chen, J. and Gao, J. (2011). Nonparametric time-varying coefficient panel data models with fixed effects. Econometrics Journal, 14, 387–408.
    DOI: https://doi.org/10.1111/j.1368-423X.2011.00350.x
  • 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.
    DOI: https://doi.org/10.1016/j.jspi.2008.05.007
  • Chen, J. (2008). Asymptotics of kernel density estimators on weakly associated random fields. Statistics and Probability Letters, 78, 3230–3237.
    DOI: https://doi.org/10.1016/j.spl.2008.06.024