Jia Chen
Professor

Profile

Biography

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

• Econometrics cluster leader (joint with Francesco Bravo)
• Chair of UG Exceptional Circumstances Committee
• Department Concordat coordinator
• Member of Departmental Research Committee (ex officio, Department Concordat Coordinator)

Research

Overview

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

Teaching

Undergraduate

• Financial and Time Series Econometrics

Postgraduate

• Econometrics, Financial Econometrics

Publications

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.
• 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. Journal of Econometrics, in press.

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 https://www.repository.cam.ac.uk/handle/1810/327033
• “Semiparametric Model Selection in Panel Data Models with Global Deterministic Trends and Cross-Sectional Dependence”, (with J. Gao), (2015), available at https://ideas.repec.org/p/msh/ebswps/2014-15.html