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On a general class of long run variance estimators
Zhang, Xianyang; Shao, Xiaofeng - In: Economics letters 120 (2013) 3, pp. 437-441
Persistent link: https://www.econbiz.de/10010187270
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Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
Zhang, Xianyang - In: Journal of econometrics 193 (2016) 1, pp. 123-146
Persistent link: https://www.econbiz.de/10011704780
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White noise testing and model diagnostic checking for functional time series
Zhang, Xianyang - In: Journal of econometrics 194 (2016) 1, pp. 76-95
Persistent link: https://www.econbiz.de/10011705041
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Adaptive testing for alphas in high-dimensional factor pricing models
Xia, Qiang; Zhang, Xianyang - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 640-653
Persistent link: https://www.econbiz.de/10015053435
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Nonstationarity-extended whittle estimation
Shao, Xiaofeng - In: Econometric theory 26 (2010) 4, pp. 1060-1087
Persistent link: https://www.econbiz.de/10003993824
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Testing for white noise under unknown dependence and its applications to diagnostic checking for time series models
Shao, Xiaofeng - In: Econometric theory 27 (2011) 2, pp. 312-343
Persistent link: https://www.econbiz.de/10009310782
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Local whittle estimation of fractional integration for nonlinear processes
Shao, Xiaofeng; Wu, Wei Biao - In: Econometric theory 23 (2007) 5, pp. 899-929
Persistent link: https://www.econbiz.de/10003549669
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A limit theorem for quadratic forms and its applications
Wu, Wei Biao; Shao, Xiaofeng - In: Econometric theory 23 (2007) 5, pp. 930-951
Persistent link: https://www.econbiz.de/10003549673
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Inference for time series regression models with weakly dependent and heteroscedastic errors
Rho, Yeonwoo; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 444-457
Persistent link: https://www.econbiz.de/10011391388
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Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 80-92
Persistent link: https://www.econbiz.de/10012179517