eddiekou Kou Man Kit2025-09-29T16:29:38+08:00
Affiliation
chenjia@um.edu.mo
Tel
+853 8822 4816
Office
Office Room 3021, Humanities and Social Sciences Building
University of Macau, E21B
Avenida da Universidade,Taipa, Macau, China
Consultation Hours
Personal Website
CHEN Jia 陳佳
Professor
Academic Qualifications
Ph.D. in Natural Science Mathematics, 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
Publications
- Chen, J., Li, D., Li, Y. and Linton, O. (2025). Estimating Time-Varying Networks for High Dimensional Time Series. Journal of Econometrics, 249, 105941.
DOI: https://doi.org/10.1016/j.jeconom.2024.105941 - Yang, X., Chen, J., Li, D. and Li, R. (2024). Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure. Journal of Business Economics and Statistics, 42, 1026-1040.
DOI: https://doi.org/10.1080/07350015.2023.2277172 - 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. To appear in Journal of Econometrics.
DOI: https://doi.org/10.1016/j.jeconom.2022.12.005 - 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