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)
  • Member of UG Exceptional Circumstances Committee
  • 2ndAdmission 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

  • “Estimation and Inference in Heterogeneous Spatial Panel Data Models with a Multifactor Error Structure”, Journal of Econometrics, (with Y. Shin and C. Zheng), 229, (2022), 55-79.
  • “Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models”, Econometrics Journal, 22, (2019), 223-240.
  • “A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables”, Journal of Econometrics, (with D. Li and O. Linton), 212, (2019), 155-176.
  • “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

  • “Dynamic Quantile Panel Data Models with Interactive Effects”, (with Y. Shin and C. Zheng), work in progress.
  • “Panel Cointegrating Models with Time-Varying Coefficients and Latent Group Structure”, (with S. Tang and T. Yamagata), work in progress.
  • “Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model”, (with Y. Li and O. Linton), draft available at
  • “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


Office & feedback hours for York Students only during term time:

On research leave in the Spring term

Other times may be available by email appointment.

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