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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 2017-08-06. 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)
    See also Journal Article in Review of Economic Studies (2017)
  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 (2)
    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 (6)
  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

2017

  1. Global Identification in DSGE Models Allowing for Indeterminacy
    Review of Economic Studies, 2017, 84, (3), 1306-1345 Downloads
    See also Working Paper (2015)

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 (16)

2011

  1. A Test Against Spurious Long Memory
    Journal of Business & Economic Statistics, 2011, 29, (3), 423-438 Downloads View citations (49)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 423-438 (2011) Downloads View citations (45)

    See also Working Paper (2010)
  2. Estimating structural changes in regression quantiles
    Journal of Econometrics, 2011, 162, (2), 248-267 Downloads View citations (19)
    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 (76)
    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 (24)

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 (69)
    See also Working Paper (2006)
  3. Estimating and Testing Structural Changes in Multivariate Regressions
    Econometrica, 2007, 75, (2), 459-502 Downloads View citations (122)
    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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