CFDP 1590, "Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors" (2006) (with Yingyao Hu) [58pp, abstract] Reprinted in Journal of Nonparametric Statistics (May 2010), 22(4): 379-399 [doi:10.1080/10485250902874688]

CFDP 1626, "On Rate Optimality for Ill-posed Inverse Problems in Econometrics" (2007) (with Markus Reiss) [27pp, abstract] Reprinted in Econometric Theory (2011), 27(3): 497-521 [CFP 1329]

CFDP 1640R, "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals" (Revised July 2009) (with Demian Pouzo) [33pp, abstract] Reprinted in Journal of Econometrics (September 2009), 152: 46-60 [CFP 1277]

CFDP 1644, "Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects" (2008) (with Han Hong, Alessandro Tarozzi) [50pp, abstract] Reprinted in Annals of Statistics (2008), 36(2): 808-843 [CFP 1223]

CFDP 1650, "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments" (October 2008) (with Demian Pouzo) [60pp, abstract]

CFDP 1650R, "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals" (Revised July 2009) (with Demian Pouzo) [50pp, abstract]

CFDP 1650RR, "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals" (April 2008, revised January 2011) (with Demian Pouzo) [60pp, abstract] Reprinted in Econometrica (January 2012), 80(1): 277-321 [CFP 1345]

CFDP 1652, "Nonlinearity and Temporal Dependence" (May 2008) (with Lars P. Hansen, Marine Carrasco) [31pp, abstract] Reprinted in Journal of Econometrics (April 2010) 155(2): 155-169 [CFP 1298]

CFDP 1652R, "Nonlinearity and Temporal Dependence" (May 2008) (with Lars P. Hansen, Marine Carrasco) [40pp, abstract] Reprinted in Journal of Econometrics (April 2010) 155(2): 155-169 [CFP 1298]

CFDP 1679, "Copula-Based Nonlinear Quantile Autoregression" (October 2008) (with Roger Koenker, Zhijie Xiao) [31pp, abstract] Reprinted in Econometrics Journal (January 2009), 12(1): S50-S67 [CFP 1282]

CFDP 1683, "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship" (November 2008) (with Yanqin Fan, Demian Pouzo, Zhiliang Ying) [38pp, abstract] Reprinted in Journal of Econometrics (July 2010), 157(1): 129-142 [CFP 1299]

CFDP 1691, "Efficient Estimation of Copula-based Semiparametric Markov Models" (Updated March 2009) (with Wei Biao Wu, Yanping Yi) [55pp, abstract] Reprinted in Annals of Statistics (2009), 37(6B): 4214-4253 [CFP 1284]

CFDP 1694, "Principal Components and Long Run Implications of Multivariate Diffusions" (April 2009) (with Lars P. Hansen, José Scheinkman) [51pp, abstract] Reprinted in Annals of Statistics (2009), 37(6B): 4279-4312 [CFP 1283]

CFDP 1731, "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions" (October 2009) (with Chunrong Ai) [abstract, 40pp] Reprinted in Journal of Econometrics (October 2012), 170(2): 442-457 [CFP 1366]

CFDP 1795, "Local Identification of Nonparametric and Semiparametric Models" (April 2011) (with Victor Chernozhukov, Sokbae Lee, Whitney Newey) [abstract, 30pp]

CFDP 1795R, "Local Identification of Nonparametric and Semiparametric Models" (April 2011, Revised November 2012) (with Victor Chernozhukov, Sokbae Lee, Whitney Newey) [abstract, 45pp]

CFDP 1803, "A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators" (May 2011) (with Daniel Ackerberg, Jinyong Hahn) [abstract, 50pp] Reprinted in Review of Economics and Statistics (May 2012), 94(2): 482-498 [CFP 1357]

CFDP 1804, "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review" (May 2011) [abstract, 56pp] Reprinted in Advances in Economics and Econometrics, 2010 World Congress of the Econometric Society book volumes, Cambridge University Press, 2013 [CFP 1388]

CFDP 1836, "Sensitivity Analysis in Semiparametric Likelihood Models" (November 2011) (with Elie Tamer, Alexander Torgovitsky) [58pp, abstract]

CFDP 1849, "Sieve Inference on Semi-nonparametric Time Series Models" (February 2012) (with Zhipeng Liao, Yixiao Sun) [54pp, abstract]

CFDP 1880, "Asymptotic Efficiency of Semiparametric Two-step GMM" (October 2012) (with Jinyong Hahn, Zhipeng Liao) [24pp, abstract]

CFDP 1883, "An Estimation of Economic Models with Recursive Preferences" (December 2012) (with Jack Fuvilukis, Sydney Ludvigson) [58pp, abstract] Reprinted in Quantitative Economics, 2013, 4(1), 39-83 [CFP 1387]

CFDP 1895, "Likelihood Inference in Some Finite Mixture Models" (May 2013) (with Maria Ponomareva, Elie Tamer) [37pp, abstract]

CFDP 1897, "Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models" (May 2013) (with Demian Pouzo) [43pp, abstract]

CFP 1223, "Semiparametric Efficiency in GMM Models with Auxiliary Data." The Annals of Statistics (2008), 36(2): 808-843 (with Han Hong, Alessandro Tarozzi) [CFDP 1644]

CFP 1259, "A Note on the Closed-form Identification of Regression Models with a Mismeasured Binary Regressor." Statistics and Probability Letters (2008), 78(12): 1473-1479 (with Yingyao Hu, Arthur Lewbel)

CFP 1260, "Nonparametric Identification of Regression Models Containing a Misclassified Dichotomous Regressor without Instruments." Economics Letters (2008), 100: 381-384 (with Yingyao Hu, Arthur Lewbel)

CFP 1261, "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves" Econometrica (2007), 75(6): 1613-1669 (with Richard Blundell and Dennis Kristensen)

CFP 1262, "Large Sample Sieve Estimation of Semi-Nonparametric Models." Chapter 76 in James J. Heckman and Edward E. Leamer (eds.), Handbook of Econometrics, Vol. 6B. North-Holland, 2007

CFP 1277, "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals." Journal of Econometrics (September 2009), 152: 46-60 (with Demian Pouzo) [CFDP 1640R]

CFP 1282, "Copula-based Nonlinear Quantile Autoregression." Econometrics Journal (January 2009), 12(1): S50-S67 (with Roger Koenker, Zhijie Xiao) [CFDP 1679]

CFP 1283, "Nonlinear Principal Components and Long-run Implications of Multivariate Diffusions." Annals of Statistics (2009), 37(6B): 4279-4312 (with Lars P. Hansen, José Scheinkman) [CFDP 1694]

CFP 1284, "Efficient Estimation of Copula-based Semiparametric Markov Models." Annals of Statistics (2009), 37(6B): 4214-4253 (with Wei Biao Wu, Yanping Yi) [CFDP 1691]

CFP 1285, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models." Journal of Applied Econometrics (August 2009), 24(7): 1057-1093 (with Sydney C. Ludvigson)

CFP 1298, "Nonlinearity and Temporal Dependence." Journal of Econometrics (April 2010), 155(2): 155-169 (with Lars P. Hansen, Marine Carrasco)  [CFDP 1652]

CFP 1299, "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship." Journal of Econometrics (July 2010), 157(1): 129-142 (with Yanqin Fan, Demian Pouzo, Zhiliang Ying) [CFDP 1683]

CFP 1329, "On Rate Optimality for Ill-posed Inverse Problems in Econometrics." Econometric Theory (2011), 27(3): 497-521 (with Markus Reiss) [CFDP 1626]

CFP 1344, "Nonlinear Models of Measurement Errors,'' Journal of Economic Literature (December 2011), 49(4): 901-937 (with Han Hong, Denis Nekipelov)

CFP 1345, "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals," Econometrica (January 2012), 80(1): 277-321, plus Supplement, Econometrica Supplementary Material (January 2012), 80(1): 1-27 (with Demian Pouzo)

CFP 1357, "A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Review of Economics and Statistics (May 2012), 94(2): 482-498 (with Daniel Ackerberg, Jinyong Hahn) [CFDP 1803]

CFP 1366, "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions," Journal of Econometrics (October 2012), 170(2): 442-457 (with Chunrong Ai) [CFDP 1731]

CFP 1384, "Fast Convergence Rates in Estimating Large Volatility Matrices Using High-Frequency Financial Data," Econometric Theory (August 2013), 29(4): 838-856 (with Minjing Tao, Yazhen Wang)