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Details about Xiaofeng Shao

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Homepage:http://www.stat.uiuc.edu/~xshao

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

  1. Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
    Papers, arXiv.org Downloads
    See also Journal Article in Econometric Theory (2019)

Journal Articles

2020

  1. Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
    Journal of Business & Economic Statistics, 2020, 38, (1), 80-92 Downloads

2019

  1. BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS
    Econometric Theory, 2019, 35, (1), 142-166 Downloads
    See also Working Paper (2018)

2018

  1. 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 Downloads View citations (1)
  2. Testing mutual independence in high dimension via distance covariance
    Journal of the Royal Statistical Society Series B, 2018, 80, (3), 455-480 Downloads

2016

  1. A Subsampled Double Bootstrap for Massive Data
    Journal of the American Statistical Association, 2016, 111, (515), 1222-1232 Downloads View citations (1)
  2. 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 Downloads

2015

  1. Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors
    Journal of Business & Economic Statistics, 2015, 33, (3), 444-457 Downloads View citations (1)
  2. 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 Downloads
  3. ON SELF-NORMALIZATION FOR CENSORED DEPENDENT DATA
    Journal of Time Series Analysis, 2015, 36, (1), 109-124 Downloads View citations (1)
  4. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 315-326 Downloads
  5. Self-Normalization for Time Series: A Review of Recent Developments
    Journal of the American Statistical Association, 2015, 110, (512), 1797-1817 Downloads View citations (4)

2014

  1. Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening
    Journal of the American Statistical Association, 2014, 109, (507), 1302-1318 Downloads View citations (8)
  2. Self-normalization for Spatial Data
    Scandinavian Journal of Statistics, 2014, 41, (2), 311-324 Downloads View citations (1)

2013

  1. Bayesian model selection based on parameter estimates from subsamples
    Statistics & Probability Letters, 2013, 83, (4), 979-986 Downloads
  2. 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 Downloads View citations (1)
  3. Inference for linear models with dependent errors
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 323-343 Downloads View citations (9)
  4. On a general class of long run variance estimators
    Economics Letters, 2013, 120, (3), 437-441 Downloads

2012

  1. Parametric Inference in Stationary Time Series Models with Dependent Errors
    Scandinavian Journal of Statistics, 2012, 39, (4), 772-783 Downloads View citations (1)

2011

  1. A bootstrap-assisted spectral test of white noise under unknown dependence
    Journal of Econometrics, 2011, 162, (2), 213-224 Downloads View citations (23)
  2. 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 Downloads View citations (19)
  3. TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
    Econometric Theory, 2011, 27, (2), 312-343 Downloads View citations (13)

2010

  1. A self‐normalized approach to confidence interval construction in time series
    Journal of the Royal Statistical Society Series B, 2010, 72, (3), 343-366 Downloads View citations (29)
  2. 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 Downloads View citations (21)
  3. NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
    Econometric Theory, 2010, 26, (4), 1060-1087 Downloads View citations (9)
  4. Testing for Change Points in Time Series
    Journal of the American Statistical Association, 2010, 105, (491), 1228-1240 Downloads View citations (24)
  5. The Dependent Wild Bootstrap
    Journal of the American Statistical Association, 2010, 105, (489), 218-235 Downloads View citations (34)

2009

  1. A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
    Econometric Theory, 2009, 25, (1), 195-210 Downloads View citations (3)
  2. Confidence intervals for spectral mean and ratio statistics
    Biometrika, 2009, 96, (1), 107-117 Downloads View citations (1)

2007

  1. A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS
    Econometric Theory, 2007, 23, (5), 930-951 Downloads View citations (10)
  2. LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
    Econometric Theory, 2007, 23, (5), 899-929 Downloads View citations (11)
  3. Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
    Stochastic Processes and their Applications, 2007, 117, (2), 251-261 Downloads
 
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