Details about Xiaofeng Shao
Access statistics for papers by Xiaofeng Shao.
Last updated 2020-04-07. Update your information in the RePEc Author Service.
Short-id: psh274
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Working Papers
2018
- Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
Papers, arXiv.org 
See also Journal Article in Econometric Theory (2019)
Journal Articles
2020
- Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
Journal of Business & Economic Statistics, 2020, 38, (1), 80-92
2019
- BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS
Econometric Theory, 2019, 35, (1), 142-166 
See also Working Paper (2018)
2018
- Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
Journal of the American Statistical Association, 2018, 113, (521), 216-229 View citations (1)
- Testing mutual independence in high dimension via distance covariance
Journal of the Royal Statistical Society Series B, 2018, 80, (3), 455-480
2016
- A Subsampled Double Bootstrap for Massive Data
Journal of the American Statistical Association, 2016, 111, (515), 1222-1232 View citations (1)
- On the coverage bound problem of empirical likelihood methods for time series
Journal of the Royal Statistical Society Series B, 2016, 78, (2), 395-421
2015
- Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors
Journal of Business & Economic Statistics, 2015, 33, (3), 444-457 View citations (1)
- Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
Journal of Multivariate Analysis, 2015, 133, (C), 277-290
- ON SELF-NORMALIZATION FOR CENSORED DEPENDENT DATA
Journal of Time Series Analysis, 2015, 36, (1), 109-124 View citations (1)
- Recent developments in bootstrap methods for dependent data
Journal of Time Series Analysis, 2015, 36, (3), 315-326
- Self-Normalization for Time Series: A Review of Recent Developments
Journal of the American Statistical Association, 2015, 110, (512), 1797-1817 View citations (4)
2014
- Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening
Journal of the American Statistical Association, 2014, 109, (507), 1302-1318 View citations (8)
- Self-normalization for Spatial Data
Scandinavian Journal of Statistics, 2014, 41, (2), 311-324 View citations (1)
2013
- Bayesian model selection based on parameter estimates from subsamples
Statistics & Probability Letters, 2013, 83, (4), 979-986
- Fixed b subsampling and the block bootstrap: improved confidence sets based on p-value calibration
Journal of the Royal Statistical Society Series B, 2013, 75, (1), 161-184 View citations (1)
- Inference for linear models with dependent errors
Journal of the Royal Statistical Society Series B, 2013, 75, (2), 323-343 View citations (9)
- On a general class of long run variance estimators
Economics Letters, 2013, 120, (3), 437-441
2012
- Parametric Inference in Stationary Time Series Models with Dependent Errors
Scandinavian Journal of Statistics, 2012, 39, (4), 772-783 View citations (1)
2011
- A bootstrap-assisted spectral test of white noise under unknown dependence
Journal of Econometrics, 2011, 162, (2), 213-224 View citations (23)
- A simple test of changes in mean in the possible presence of long‐range dependence
Journal of Time Series Analysis, 2011, 32, (6), 598-606 View citations (19)
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
Econometric Theory, 2011, 27, (2), 312-343 View citations (13)
2010
- A self‐normalized approach to confidence interval construction in time series
Journal of the Royal Statistical Society Series B, 2010, 72, (3), 343-366 View citations (29)
- Corrigendum: A self‐normalized approach to confidence interval construction in time series
Journal of the Royal Statistical Society Series B, 2010, 72, (5), 695-696 View citations (21)
- NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
Econometric Theory, 2010, 26, (4), 1060-1087 View citations (9)
- Testing for Change Points in Time Series
Journal of the American Statistical Association, 2010, 105, (491), 1228-1240 View citations (24)
- The Dependent Wild Bootstrap
Journal of the American Statistical Association, 2010, 105, (489), 218-235 View citations (34)
2009
- A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
Econometric Theory, 2009, 25, (1), 195-210 View citations (3)
- Confidence intervals for spectral mean and ratio statistics
Biometrika, 2009, 96, (1), 107-117 View citations (1)
2007
- A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS
Econometric Theory, 2007, 23, (5), 930-951 View citations (10)
- LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
Econometric Theory, 2007, 23, (5), 899-929 View citations (11)
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
Stochastic Processes and their Applications, 2007, 117, (2), 251-261
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