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

Working Papers

2018

1. Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
   Papers, arXiv.org
   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

2019

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

2018

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

2016

5. A Subsampled Double Bootstrap for Massive Data
   Journal of the American Statistical Association, 2016, 111, (515), 1222-1232 View citations (1)
6. 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

7. 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)
8. 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
9. ON SELF-NORMALIZATION FOR CENSORED DEPENDENT DATA
   Journal of Time Series Analysis, 2015, 36, (1), 109-124 View citations (1)
10. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 315-326
11. 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

12. 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)
13. Self-normalization for Spatial Data
    Scandinavian Journal of Statistics, 2014, 41, (2), 311-324 View citations (1)

2013

14. Bayesian model selection based on parameter estimates from subsamples
    Statistics & Probability Letters, 2013, 83, (4), 979-986
15. 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)
16. Inference for linear models with dependent errors
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 323-343 View citations (9)
17. On a general class of long run variance estimators
    Economics Letters, 2013, 120, (3), 437-441

2012

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

2011

19. A bootstrap-assisted spectral test of white noise under unknown dependence
    Journal of Econometrics, 2011, 162, (2), 213-224 View citations (23)
20. 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)
21. 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

22. 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)
23. 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)
24. NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
    Econometric Theory, 2010, 26, (4), 1060-1087 View citations (9)
25. Testing for Change Points in Time Series
    Journal of the American Statistical Association, 2010, 105, (491), 1228-1240 View citations (24)
26. The Dependent Wild Bootstrap
    Journal of the American Statistical Association, 2010, 105, (489), 218-235 View citations (34)

2009

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

2007

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