209 citations · 673 across the 20 of their papers we have counts for
21 papers
SGMM: Stochastic Approximation to Generalized Method of Moments
Xiaohong Chen, Sokbae Lee, Yuan Liao +3
We introduce a new class of algorithms, Stochastic Generalized Method of Moments (SGMM), for estimation and inference on (overidentified) moment restriction models. Our SGMM is a n…
Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves
Xiaohong Chen, Yuan Liao, Weichen Wang
General nonlinear sieve learnings are classes of nonlinear sieves that can approximate nonlinear functions of high dimensional variables much more flexibly than various linear siev…
On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation
Xiaohong Chen, Zhengling Qi
We study the off-policy evaluation (OPE) problem in an infinite-horizon Markov decision process with continuous states and actions. We recast the -function estimation into a spe…
Efficient Estimation in NPIV Models: A Comparison of Various Neural Networks-Based Estimators
Jiafeng Chen, Xiaohong Chen, Elie Tamer
Artificial Neural Networks (ANNs) can be viewed as nonlinear sieves that can approximate complex functions of high dimensional variables more effectively than linear sieves. We inv…
Adaptive Estimation and Uniform Confidence Bands for Nonparametric Structural Functions and Elasticities
Xiaohong Chen, Timothy Christensen, Sid Kankanala
We introduce two data-driven procedures for optimal estimation and inference in nonparametric models using instrumental variables. The first is a data-driven choice of sieve dimens…
Simple Adaptive Estimation of Quadratic Functionals in Nonparametric IV Models
Christoph Breunig, Xiaohong Chen
This paper considers adaptive, minimax estimation of a quadratic functional in a nonparametric instrumental variables (NPIV) model, which is an important problem in optimal estimat…