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econ.EM2022
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…
stat.ME2022
Robust Inference for Change Points in High Dimension
Feiyu Jiang, Runmin Wang, Xiaofeng Shao
This paper proposes a new test for a change point in the mean of high-dimensional data based on the spatial sign and self-normalization. The test is easy to implement with no tunin…