Details about Xiaofeng Shao

Access statistics for papers by Xiaofeng Shao.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: psh274

Working Papers

2025

1. Online Generalized Method of Moments for Time Series
   Papers, arXiv.org

2022

2. Testing the martingale difference hypothesis in high dimension
   Papers, arXiv.org
   See also Journal Article Testing the martingale difference hypothesis in high dimension, Journal of Econometrics, Elsevier (2023) (2023)

2020

3. Time Series Analysis of COVID-19 Infection Curve: A Change-Point Perspective
   Papers, arXiv.org View citations (15)
   See also Journal Article Time series analysis of COVID-19 infection curve: A change-point perspective, Journal of Econometrics, Elsevier (2023) View citations (4) (2023)

2018

4. Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
   Papers, arXiv.org
   See also Journal Article BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS, Econometric Theory, Cambridge University Press (2019) View citations (2) (2019)

Journal Articles

2024

1. Gaussian Approximation and Spatially Dependent Wild Bootstrap for High-Dimensional Spatial Data
   Journal of the American Statistical Association, 2024, 119, (547), 1820-1832
2. Testing serial independence of object-valued time series
   Biometrika, 2024, 111, (3), 925-944

2023

3. Robust inference for change points in high dimension
   Journal of Multivariate Analysis, 2023, 193, (C)
4. Testing the martingale difference hypothesis in high dimension
   Journal of Econometrics, 2023, 235, (2), 972-1000
   See also Working Paper Testing the martingale difference hypothesis in high dimension, Papers (2022) (2022)
5. Time series analysis of COVID-19 infection curve: A change-point perspective
   Journal of Econometrics, 2023, 232, (1), 1-17 View citations (4)
   See also Working Paper Time Series Analysis of COVID-19 Infection Curve: A Change-Point Perspective, Papers (2020) View citations (15) (2020)

2022

6. Adaptive Inference for Change Points in High-Dimensional Data
   Journal of the American Statistical Association, 2022, 117, (540), 1751-1762 View citations (4)
7. Jiang, Zhao and Shao's reply to the Discussion of ‘The First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’
   Journal of the Royal Statistical Society Series A, 2022, 185, (4), 1849-1854
8. Modelling the COVID‐19 infection trajectory: A piecewise linear quantile trend model
   Journal of the Royal Statistical Society Series B, 2022, 84, (5), 1589-1607
9. Segmenting time series via self‐normalisation
   Journal of the Royal Statistical Society Series B, 2022, 84, (5), 1699-1725
10. Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
    Journal of Business & Economic Statistics, 2022, 40, (3), 980-994 View citations (4)

2020

11. Testing conditional mean independence for functional data
    Biometrika, 2020, 107, (2), 331-346 View citations (2)
12. Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
    Journal of Business & Economic Statistics, 2020, 38, (1), 80-92 View citations (2)

2019

13. BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS
    Econometric Theory, 2019, 35, (1), 142-166 View citations (2)
    See also Working Paper Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors, Papers (2018) (2018)

2018

14. 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 (8)
15. Testing mutual independence in high dimension via distance covariance
    Journal of the Royal Statistical Society Series B, 2018, 80, (3), 455-480 View citations (13)

2016

16. A Subsampled Double Bootstrap for Massive Data
    Journal of the American Statistical Association, 2016, 111, (515), 1222-1232 View citations (7)
17. 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 View citations (1)

2015

18. Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors
    Journal of Business & Economic Statistics, 2015, 33, (3), 444-457 View citations (2)
19. 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
20. ON SELF-NORMALIZATION FOR CENSORED DEPENDENT DATA
    Journal of Time Series Analysis, 2015, 36, (1), 109-124 View citations (3)
21. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 315-326
22. Self-Normalization for Time Series: A Review of Recent Developments
    Journal of the American Statistical Association, 2015, 110, (512), 1797-1817 View citations (25)

2014

23. Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening
    Journal of the American Statistical Association, 2014, 109, (507), 1302-1318 View citations (34)
24. Self-normalization for Spatial Data
    Scandinavian Journal of Statistics, 2014, 41, (2), 311-324 View citations (2)

2013

25. Bayesian model selection based on parameter estimates from subsamples
    Statistics & Probability Letters, 2013, 83, (4), 979-986
26. 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)
27. Inference for linear models with dependent errors
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 323-343 View citations (18)
28. On a general class of long run variance estimators
    Economics Letters, 2013, 120, (3), 437-441

2012

29. Parametric Inference in Stationary Time Series Models with Dependent Errors
    Scandinavian Journal of Statistics, 2012, 39, (4), 772-783 View citations (3)

2011

30. A bootstrap-assisted spectral test of white noise under unknown dependence
    Journal of Econometrics, 2011, 162, (2), 213-224 View citations (33)
31. 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 (24)
32. 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 (20)

2010

33. 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 (43)
34. 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 (27)
35. NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
    Econometric Theory, 2010, 26, (4), 1060-1087 View citations (12)
36. Testing for Change Points in Time Series
    Journal of the American Statistical Association, 2010, 105, (491), 1228-1240 View citations (57)
37. The Dependent Wild Bootstrap
    Journal of the American Statistical Association, 2010, 105, (489), 218-235 View citations (58)

2009

38. A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
    Econometric Theory, 2009, 25, (1), 195-210 View citations (5)
39. Confidence intervals for spectral mean and ratio statistics
    Biometrika, 2009, 96, (1), 107-117 View citations (3)

2007

40. A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS
    Econometric Theory, 2007, 23, (5), 930-951 View citations (15)
41. LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
    Econometric Theory, 2007, 23, (5), 899-929 View citations (16)
42. Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
    Stochastic Processes and their Applications, 2007, 117, (2), 251-261

Undated

43. Envelopes in multivariate regression models with nonlinearity and heteroscedasticity
    Biometrika, 107, (4), 965-981