126 citations · 262 across the 32 of their papers we have counts for
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econ.EM2022★ 17 cited
Testing the martingale difference hypothesis in high dimension
Jinyuan Chang, Qing Jiang, Xiaofeng Shao
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of th…
econ.EM2020★ 14 cited
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…
econ.EM2018
Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
Yeonwoo Rho, Xiaofeng Shao
In unit root testing, a piecewise locally stationary process is adopted to accommodate nonstationary errors that can have both smooth and abrupt changes in second- or higher-order…