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Details about Zhongjun Qu

E-mail:
Homepage:http://people.bu.edu/qu
Workplace:Department of Economics, Boston University, (more information at EDIRC)

Access statistics for papers by Zhongjun Qu.

Last updated 2017-04-05. Update your information in the RePEc Author Service.

Short-id: pqu46


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Working Papers

2015

  1. A Composite Likelihood Framework for Analyzing Singular DSGE Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  2. Global Identification in DSGE Models Allowing for Indeterminacy
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (3)
  3. Likelihood Ratio Based Tests for Markov Regime Switching
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  4. Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads

2011

  1. Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
  2. Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
  3. Nonparametric Estimation and Inference on Conditional Quantile Processes
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
    See also Journal Article in Journal of Econometrics (2015)

2010

  1. A Test Against Spurious Long Memory
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. Estimating structural changes in regression quantiles
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Journal of Econometrics (2011)
  3. Identification and Frequency Domain QML Estimation of Linearized DSGE Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
  4. M Tests with a New Normalization Matrix
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Econometric Reviews (2015)

2008

  1. A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
  2. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2010)

2007

  1. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (27)

2006

  1. A Modified Information Criterion for Cointegration Tests based on a VAR Approximation
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Econometric Theory (2007)
  2. A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Economics Letters (2007)
  3. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility*
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)

2005

  1. Estimating and testing structural changes in multivariate regressions
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
    See also Journal Article in Econometrica (2007)

Journal Articles

2015

  1. M Tests with a New Normalization Matrix
    Econometric Reviews, 2015, 34, (5), 617-652 Downloads View citations (1)
    See also Working Paper (2010)
  2. Nonparametric estimation and inference on conditional quantile processes
    Journal of Econometrics, 2015, 185, (1), 1-19 Downloads View citations (4)
    See also Working Paper (2011)

2014

  1. Inference in dynamic stochastic general equilibrium models with possible weak identification
    Quantitative Economics, 2014, 5, 457-494 Downloads View citations (8)

2013

  1. A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
    Econometrics Journal, 2013, 16, (3), 309-339 Downloads View citations (11)

2012

  1. Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
    Quantitative Economics, 2012, 3, (1), 95-132 Downloads View citations (15)

2011

  1. A Test Against Spurious Long Memory
    Journal of Business & Economic Statistics, 2011, 29, (3), 423-438 Downloads View citations (43)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 423-438 (2011) Downloads View citations (47)

    See also Working Paper (2010)
  2. Estimating structural changes in regression quantiles
    Journal of Econometrics, 2011, 162, (2), 248-267 Downloads View citations (16)
    See also Working Paper (2010)

2010

  1. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
    Journal of Business & Economic Statistics, 2010, 28, (2), 275-290 Downloads View citations (75)
    See also Working Paper (2008)

2008

  1. Testing for structural change in regression quantiles
    Journal of Econometrics, 2008, 146, (1), 170-184 Downloads View citations (22)

2007

  1. A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
    Econometric Theory, 2007, 23, (04), 638-685 Downloads View citations (11)
    See also Working Paper (2006)
  2. A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
    Economics Letters, 2007, 94, (1), 12-19 Downloads View citations (47)
    See also Working Paper (2006)
  3. Estimating and Testing Structural Changes in Multivariate Regressions
    Econometrica, 2007, 75, (2), 459-502 Downloads View citations (119)
    See also Working Paper (2005)
  4. Searching for cointegration in a dynamic system
    Econometrics Journal, 2007, 10, (3), 580-604 Downloads View citations (9)

2006

  1. Estimating restricted structural change models
    Journal of Econometrics, 2006, 134, (2), 373-399 Downloads View citations (43)
 
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