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Details about Zhongjun Qu

Homepage:https://sites.bu.edu/qu/
Workplace:Department of Economics, Boston University, (more information at EDIRC)

Access statistics for papers by Zhongjun Qu.

Last updated 2023-08-07. 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 View citations (2)
    See also Journal Article A Composite Likelihood Framework for Analyzing Singular DSGE Models, The Review of Economics and Statistics, MIT Press (2018) Downloads View citations (2) (2018)
  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 Global Identification in DSGE Models Allowing for Indeterminacy, The Review of Economic Studies, Review of Economic Studies Ltd (2017) Downloads View citations (18) (2017)
  3. Likelihood Ratio Based Tests for Markov Regime Switching
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    See also Journal Article Likelihood Ratio-Based Tests for Markov Regime Switching, The Review of Economic Studies, Review of Economic Studies Ltd (2021) Downloads View citations (9) (2021)
  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 View citations (1)
    See also Journal Article Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) Downloads View citations (2) (2019)

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 (7)
    See also Chapter Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007), Advances in Econometrics, Emerald Group Publishing Limited (2012) Downloads (2012)
  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 (5)
  3. Nonparametric Estimation and Inference on Conditional Quantile Processes
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (7)
    See also Journal Article Nonparametric estimation and inference on conditional quantile processes, Journal of Econometrics, Elsevier (2015) Downloads View citations (32) (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 A Test Against Spurious Long Memory, Journal of Business & Economic Statistics, American Statistical Association (2011) Downloads View citations (101) (2011)
  2. Estimating structural changes in regression quantiles
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)
    See also Journal Article Estimating structural changes in regression quantiles, Journal of Econometrics, Elsevier (2011) Downloads View citations (52) (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 M Tests with a New Normalization Matrix, Econometric Reviews, Taylor & Francis Journals (2015) Downloads View citations (1) (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 (4)
  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 Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices, Journal of Business & Economic Statistics, American Statistical Association (2010) Downloads View citations (133) (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 (49)

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 A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION, Econometric Theory, Cambridge University Press (2007) Downloads View citations (17) (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 View citations (2)
    See also Journal Article A simple modification to improve the finite sample properties of Ng and Perron's unit root tests, Economics Letters, Elsevier (2007) Downloads View citations (135) (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 (7)

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 (7)
    See also Journal Article Estimating and Testing Structural Changes in Multivariate Regressions, Econometrica, Econometric Society (2007) Downloads View citations (299) (2007)

Journal Articles

2024

  1. Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits
    The Review of Economics and Statistics, 2024, 106, (2), 521-541 Downloads

2023

  1. Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models
    Journal of Applied Econometrics, 2023, 38, (4), 644-667 Downloads

2021

  1. Likelihood Ratio-Based Tests for Markov Regime Switching
    The Review of Economic Studies, 2021, 88, (2), 937-968 Downloads View citations (9)
    See also Working Paper Likelihood Ratio Based Tests for Markov Regime Switching, Boston University - Department of Economics - Working Papers Series (2015) Downloads (2015)
  2. Sieve estimation of option-implied state price density
    Journal of Econometrics, 2021, 224, (1), 88-112 Downloads

2019

  1. Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs
    Journal of Business & Economic Statistics, 2019, 37, (4), 625-647 Downloads View citations (2)
    See also Working Paper Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs, Boston University - Department of Economics - Working Papers Series (2015) Downloads View citations (1) (2015)

2018

  1. A Composite Likelihood Framework for Analyzing Singular DSGE Models
    The Review of Economics and Statistics, 2018, 100, (5), 916-932 Downloads View citations (2)
    See also Working Paper A Composite Likelihood Framework for Analyzing Singular DSGE Models, Boston University - Department of Economics - Working Papers Series (2015) Downloads View citations (2) (2015)

2017

  1. Global Identification in DSGE Models Allowing for Indeterminacy
    The Review of Economic Studies, 2017, 84, (3), 1306-1345 Downloads View citations (18)
    See also Working Paper Global Identification in DSGE Models Allowing for Indeterminacy, Boston University - Department of Economics - Working Papers Series (2015) Downloads View citations (3) (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 M Tests with a New Normalization Matrix, Boston University - Department of Economics - Working Papers Series (2010) (2010)
  2. Nonparametric estimation and inference on conditional quantile processes
    Journal of Econometrics, 2015, 185, (1), 1-19 Downloads View citations (32)
    See also Working Paper Nonparametric Estimation and Inference on Conditional Quantile Processes, Boston University - Department of Economics - Working Papers Series (2011) View citations (7) (2011)

2014

  1. Inference in dynamic stochastic general equilibrium models with possible weak identification
    Quantitative Economics, 2014, 5, 457-494 Downloads View citations (22)

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 (32)

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 (57)

2011

  1. A Test Against Spurious Long Memory
    Journal of Business & Economic Statistics, 2011, 29, (3), 423-438 Downloads View citations (101)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 423-438 (2011) Downloads View citations (101)

    See also Working Paper A Test Against Spurious Long Memory, Boston University - Department of Economics - Working Papers Series (2010) (2010)
  2. Estimating structural changes in regression quantiles
    Journal of Econometrics, 2011, 162, (2), 248-267 Downloads View citations (52)
    See also Working Paper Estimating structural changes in regression quantiles, Boston University - Department of Economics - Working Papers Series (2010) View citations (3) (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 (133)
    See also Working Paper Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices, Boston University - Department of Economics - Working Papers Series (2008) View citations (4) (2008)

2008

  1. Testing for structural change in regression quantiles
    Journal of Econometrics, 2008, 146, (1), 170-184 Downloads View citations (64)

2007

  1. A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
    Econometric Theory, 2007, 23, (4), 638-685 Downloads View citations (17)
    See also Working Paper A Modified Information Criterion for Cointegration Tests based on a VAR Approximation, Boston University - Department of Economics - Working Papers Series (2006) (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 (135)
    See also Working Paper 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 (2006) View citations (2) (2006)
  3. Estimating and Testing Structural Changes in Multivariate Regressions
    Econometrica, 2007, 75, (2), 459-502 Downloads View citations (299)
    See also Working Paper Estimating and testing structural changes in multivariate regressions, Boston University - Department of Economics - Working Papers Series (2005) View citations (7) (2005)
  4. Searching for cointegration in a dynamic system
    Econometrics Journal, 2007, 10, (3), 580-604 View citations (21)

2006

  1. Estimating restricted structural change models
    Journal of Econometrics, 2006, 134, (2), 373-399 Downloads View citations (73)

Chapters

2012

  1. Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)
    A chapter in DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, 2012, pp 319-385 Downloads
    See also Working Paper Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007), Boston University - Department of Economics (2011) View citations (7) (2011)
 
Page updated 2024-06-09