Accessibility statement

Jia Chen



I joined the Department of Economics and Related Studies at York in September 2013. Before that I worked at the University of Queensland as a lecturer (2011--2013).

Departmental roles

  • PST leader in Econometrics
  • Member of Departmental Teaching Committee (ex officio, PST leader in Econometrics)
  • Department Concordat coordinator
  • Member of Departmental Research Committee (ex officio, Department Concordat Coordinator)
  • Department Athena Swan coordinator
  • Member of Equality Challenge Working Group
  • 2nd Admission Assessor for MSc Econometrics and Economics



My research interests are mainly in panel data econometrics and time series econometrics, in particular, nonparametric and semiparametric modelling, which involves development of statistical models, estimation, hypothesis testing, and model selection approaches.

Research group(s)

  • Econometrics



  • Econometrics 2
  • Financial Econometrics


  • Econometrics I & II


Selected publications

  • “Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models”, forthcoming in Econometrics Journal.
  • “A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables”, forthcoming in Journal of Econometrics, (with D. Li and O. Linton).
  •  “Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series”, Journal of the American Statistical Association, (with D. Li, O. Linton and Z. Lu), 113, (2018), 919-932.
  • “Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables”, Journal of Econometrics, (with D. Li, O. Linton and Z. Lu), 194, (2016), 309-318.
  • “Semiparametric GEE Analysis of Partially Linear Single-Index Models for Longitudinal Data”, Annals of Statistics, (with D. Li, H. Liang and S. Wang), 43, (2015), 1682-1715.
  • “Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects”, Journal of Business and Economic Statistics, (with J. Gao and D. Li), 31, (2013), 315—330.
  • “Semiparametric Trending Panel Data Models with Cross-sectional Dependence”, Journal of Econometrics, (with J. Gao and D. Li), 171, (2012), 71—85.
  • “Non-parametric Time-varying Coefficient Panel Data Models with Fixed Effects”, Econometrics Journal, (with J. Gao and D. Li), 14, (2011), 387—408.
  • “Local Linear M-estimation for Spatial Processes in Fixed-Design Models”, Metrika, (with L. Zhang), 71, (2010), 319—340.
  • “Asymptotic Properties of Nonparametric M-estimation for Mixing Functional Data”, Journal of Statistical Planning and Inference, (with L. Zhang), 139, (2009), 533—546.
  • “Asymptotics of Kernel Density Estimators on Weakly Associated Random Fields”, Statistics and Probability Letters, 78, (2008), 3230—3237.

Working Papers

  • “Nonparametric homogeneity pursuit in functional-coefficient models”, (with D. Li, L. Wei and W. Zhang), submitted.
  • “Modelling health care expenditures - a semiparametric approach”, (with Y. Gu, A. Jones and B. Peng), work in progress.
  • “Semiparametric Model Selection in Panel Data Models with Global Deterministic Trends and Cross-Sectional Dependence”, (with J. Gao), (2015), available at



Jia Chen

Jia Chen
Department of Economics
Room: A/EC/107

Tel: 01904 323680


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Monday, 14:00-16:00, sign up via google calendar

Other times may be available by email appointment.

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