14 citations · 18 across the 14 of their papers we have counts for
5 papers · 1 filter
Generalized Spectral Testing with Sample Splitting
Yuxin Tao, Feiyu Jiang, Xiaofeng Shao
Residual-based goodness-of-fit tests for parametric time-series models are often complicated by parameter-estimation effects, which can alter the limiting behavior of diagnostic st…
Estimation for conditional moment models based on martingale difference divergence
Kunyang Song, Feiyu Jiang, Ke Zhu
We provide a new estimation method for conditional moment models via the martingale difference divergence (MDD).Our MDD-based estimation method is formed in the framework of a cont…
A Consistent ICM-based Specification Test
Feiyu Jiang, Emmanuel Selorm Tsyawo
In spite of the omnibus property of Integrated Conditional Moment (ICM) specification tests, they are not commonly used in empirical practice owing to features such as the non-pivo…
Time Series Analysis of COVID-19 Infection Curve: A Change-Point Perspective
Feiyu Jiang, Zifeng Zhao, Xiaofeng Shao
In this paper, we model the trajectory of the cumulative confirmed cases and deaths of COVID-19 (in log scale) via a piecewise linear trend model. The model naturally captures the…
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Feiyu Jiang, Dong Li, Ke Zhu
This paper considers an augmented double autoregressive (DAR) model, which allows null volatility coefficients to circumvent the over-parameterization problem in the DAR model. Sin…