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CRETA Workshop on Advanced Econometrics 21


CRETA Workshop on Advanced Econometrics 21


[Lecture Overview]
   Many semiparametric models in economics are increasingly more flexible and yet are more difficult to ensure point-identification of structural parameters of interest. In this talk, Professor Chen will describe some published and unpublished papers on penalized sieve likelihood ratio (LR) inference on nonstandard semiparametric likelihood models, and penalized sieve optimally weighted Quasi LR inference on nonstandard semiparametric conditional moment restriction models.  Professor Chen will first review some published papers on sieve (Q)LR inferences for possibly irregularly identified semiparametric models, and then discuss some working papers on sieve (Q)LR inference for partially identified semiparametric likelihood models or conditional moment restriction models. Empirical applications of models with latent heterogeneity, shape invariant semi/nonparametric quantile instrumental variables Engel curve regression, nonparametric endogenous demand in industry organization, semi/nonparametric asset pricing models are presented.

About speaker:

[About the Speaker]
     Professor Chen is currently Malcolm K. Brachman Professor of Economics at Yale University.  Professor Chen is an elected fellow of the Economic Society, a fellow of Journal of Econometrics, an international fellow of Cemmap. Professor Chen is the 2018 Sargan Lecturer of the Econometric Society, a co-winner of the 2017 China Economics Prize, a winner of the 2012 Econometric Theory Multa Scripsit Award, the 2010 of The Journal of Nonparametric Statistics Best Paper Award, the Richard Stone Prize in Applied Econometrics for the years 2008 and 2009, the Arnold Zellner Award for the best paper in Journal of Econometrics in 2006 and 2007.
      Professor Chen's research field is econometrics, and has published papers in Econometrica,Review of Economic Studies,Journal of Econometrics,Quantitative Economics, Journal of Economic Theory, Review of Economics and Statistics, Econometric Theory, Journal of Applied Econometrics, Annuals of Statistics, JASA, Statistica Sinica, IEEE Tran. Information Theory, and other top ranked journals. She is currently an associate editor of Econometrica, Journal of Econometrics, Quantitative Economics and the Econometric Journal. She is a co-editor of Foundations and Trends in Econometrics. She was an associate editor of Review of Economic Studies and Econometric Theory.