Qihui Chen 陈齐辉

Associate Professor of Economics

School of Management and Economics

The Chinese University of Hong Kong, Shenzhen

Email: qihuichen [at] cuhk.edu.cn

Curriculum Vitae Google Scholar GitHub

Research Interests: Econometrics, Machine Learning, Asset Pricing

Working Papers

• Debiased Machine Learning: Identification, Estimation, and Shape Constraints
  With Ka Yan Cheng and Zheng Fang.
• Debiased Bayesian Inference for High-dimensional Regression Models
  With Zheng Fang and Ruixuan Liu.
• Economically Guided Sparse Factors YouTube
  With Lin William Cong and Chunyu Qi.
• Conditional Quantile Factor Models with Applications to Asset Pricing
• Semiparametric Conditional Factor Models in Asset Pricing
  With Nikolai Roussanov and Xiaoliang Wang.
• Implementing an Improved Test of Matrix Rank in Stata GitHub
  With Zheng Fang and Xun Huang.

Publications

• A Unified Framework for Estimation of High-dimensional Conditional Factor Models
  Journal of the American Statistical Association, forthcoming.
  Working paper: arXiv
• Robust and Optimal Estimation for Partially Linear IV Models with Partial Identification
  Journal of Econometrics, 221(2): 368–380, 2021.
  Working paper: SSRN
• Improved Inference on the Rank of a Matrix
  Quantitative Economics, 10(4): 1787–1824, 2019 (with Zheng Fang).
  Working paper: arXiv
• Inference on Functionals under First Order Degeneracy
  Journal of Econometrics, 210(2): 459–481, 2019 (with Zheng Fang).
  Working paper: arXiv
• Testing Homogeneity in Panel Data Models with Interactive Fixed Effects
  Econometric Theory, 29(6): 1079–1135, 2013 (with Liangjun Su).
  Supplemental Appendix
• Improvement in Finite-Sample Properties of GMM-Based Wald Tests
  Computational Statistics, 28(2): 735–749, 2013 (with Yu Ren).