 | Boston University Verified email at bu.edu Cited by 385 |
Z Qu… - Econometrica, 2007 - Wiley Online Library
This paper considers issues related to estimation, inference, and computation with multiple
structural changes that occur at unknown dates in a system of equations. Changes can
occur in the regression coefficients and/or the covariance matrix of the errors. We also ...
P Perron… - Economics Letters, 2007 - Elsevier
The tests introduced by Ng and Perron [Ng, S., Perron, P., 20011.“Lag Length Selection and
the Construction of Unit Root Tests with Good Size and Power,” Econometrica 69, 1519–
1554] have the drawback that for non-local alternatives the power can be very small. The ...
P Perron… - Journal of Econometrics, 2006 - Elsevier
This paper considers issues related to multiple structural changes, occurring at unknown
dates, in the linear regression model when restrictions are imposed on the parameters. This
includes, for example, the important special case where different nonadjacent regimes are ...
P Perron… - Manuscript, Department of Economics, Boston …, 2004 - sws.bu.edu
Abstract Recently, there has been an upsurge of interest on the possibility of confusing long
memory and structural changes in level. Many studies have shown that when a stationary
short memory process is contaminated by level shifts the estimate of the fractional ...
P Perron… - Unpublished Manuscript, Department of Economics, …, 2007 - bu.edu
Abstract Recently, there has been an upsurge of interest on the possibility of confusing long
memory and structural changes in level. Many studies have shown that when a stationary
short memory process is contaminated by level shifts the estimate of the fractional ...
Z Qu - Journal of Econometrics, 2008 - Elsevier
Most studies in the structural change literature focus solely on the conditional mean, while
under various circumstances, structural change in the conditional distribution or in
conditional quantiles is of key importance. This paper proposes several tests for structural ...
P Perron… - Journal of Business and Economic Statistics, 2010 - ASA
There has been interest in the possibility of confusing long memory and structural changes
in level, and studies showed that when a short-memory process is contaminated by level
shifts the estimate of the fractional differencing parameter is biased upward and the ...
Z Qu - Journal of Business and Economic Statistics, 2011 - ASA
This paper proposes a test statistic for the null hypothesis that a given time series is a
stationary long-memory process against the alternative hypothesis that it is affected by
regime change or a smoothly varying trend. The proposed test is in the frequency domain ...
Z Qu, P Perron, SK Ahn, GC Reinsel… - Econometric …, 2007 - Cambridge Univ Press
We consider the cointegration tests of Johansen~ 1988, Journal of Economic Dynamics and
Control 12, 231–254; 1991, Econometrica 59, 1551–1580! when a vector autoregressive~
VAR! process of order k is used to approximate a more general linear process with a ...
Z Qu - The Econometrics Journal, 2007 - Wiley Online Library
Summary Outlying events or regime changes may mask cointegration relationships,
rendering cointegration tests uninformative. To address this issue we propose tests to detect
whether a cointegration relationship holds in any one or more parts of the sample. ...
T Oka… - Journal of Econometrics, 2011 - Elsevier
This paper considers the estimation of multiple structural changes occurring at unknown
dates in one or multiple conditional quantile functions. The analysis covers time series
models as well as models with repeated cross-sections. We estimate the break dates and ...
Z Qu - Unpublished working paper, Department of Economics, …, 2011 - people.bu.edu
Abstract This paper considers inference and model diagnostics for log&linearized DSGE
models allow& ing an unknown subset of parameters to be weakly (including un&) identified.
The framework allows for latent state variables, measurement errors and also permits ...
Z Qu… - Boston University-Department of Economics-Working …, 2008 - sws1.bu.edu
Abstract Empirical findings related to the time series properties of stock returns volatility
indicate autocorrelations that decay slowly at long lags. In light of this, several long%
memory models have been proposed. However, the possibility of level shifts has been ...
[CITATION] Test for Structural Change in Regression Quantiles
Z Qu - 2007 - working paper
Z Qu - 2005 - gradworks.umi.com
Abstract: Thank you for your interest in this graduate work published by ProQuest's UMI
Dissertation Publishing group. This graduate work is no longer available through this web
page. If you are interested in this or other dissertations and theses published by ProQuest, ...
U Doraszelski, KL Judd, Z Qu, D Tkachenko… - Wiley Online Library
Skip to Main Content. Wiley Online Library will be disrupted 17 March
from 10-14 GMT (06-10 EDT) for essential maintenance. ...
Z Qu… - Quantitative Economics, 2012 - Wiley Online Library
This paper considers issues related to identification, inference, and computation in
linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a
necessary and sufficient condition for the local identification of the structural parameters ...
P Perron… - Department of Economics, Boston University, 2009 - Citeseer
Abstract Recently, there has been an upsurge of interest on the possibility of confusing long
memory and structural changes in level. Many studies have documented the fact that when a
stationary short memory process is contaminated by level shifts the estimate of the ...
Z Qu - 2008 - papers.ssrn.com
Abstract: Recently, there has been an upsurge of interest in the possibility of confusing long
memory and structural changes in level. Many studies have shown that when a stationary
short memory process is contaminated by level shifts the estimate of the fractional ...
Create email alert
About Google Scholar - All About Google - My Citations
©2012 Google