126 citations · 262 across the 32 of their papers we have counts for
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math.ST2009★ 7 cited
Testing for white noise under unknown dependence and its applications to goodness-of-fit for time series models
Xiaofeng Shao
Testing for white noise has been well studied in the literature of econometrics and statistics. For most of the proposed test statistics, such as the well-known Box-Pierce's test s…
stat.ME2009
Nonstationarity-extended Whittle Estimation
Xiaofeng Shao
For long memory time series models with uncorrelated but dependent errors, we establish the asymptotic normality of the Whittle estimator under mild conditions. Our framework inclu…