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User profiles for author:"Zhongjun Qu"

Zhongjun qu

Boston University
Verified email at bu.edu
Cited by 385

Estimating and testing structural changes in multivariate regressions

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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 ...
Cited by 137 - Related articles - BL Direct - All 35 versions

A simple modification to improve the finite sample properties of Ng and Perron's unit root tests

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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 ...
Cited by 56 - Related articles - All 13 versions

Estimating restricted structural change models

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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 ...
Cited by 54 - Related articles - All 14 versions

[PDF] An analytical evaluation of the log-periodogram estimate in the presence of level shifts and its implications for stock returns volatility

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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 ...
Cited by 35 - Related articles - View as HTML - All 22 versions

[PDF] An analytical evaluation of the log-periodogram estimate in the presence of level shifts

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P Perron… - Unpublished Manuscript, Department of Economics, …, 2007 - bu.edu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 ...
Cited by 17 - Related articles - View as HTML - All 7 versions

Testing for structural change in regression quantiles

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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 ...
Cited by 15 - Related articles - All 10 versions

[PDF] Long-memory and level shifts in the volatility of stock market return indices

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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 ...
Cited by 15 - Related articles - View as HTML - All 20 versions

[PDF] A test against spurious long memory

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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 ...
Cited by 13 - Related articles - View as HTML - All 17 versions

A modified information criterion for cointegration tests based on a VAR approximation

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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 ...
Cited by 10 - Related articles - BL Direct - All 17 versions

Searching for cointegration in a dynamic system

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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. ...
Cited by 6 - Related articles - All 12 versions

Estimating structural changes in regression quantiles

[PDF] from 128.197.153.21
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 ...
Cited by 5 - Related articles - Get it from MIT Libraries - All 15 versions

[PDF] Inference and specification testing in DSGE models with possible weak identification

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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 ...
Cited by 5 - Related articles - View as HTML - All 5 versions

[PDF] A stochastic volatility model with random level shifts: theory and applications to S&P 500 and NASDAQ return indices

[PDF] from bu.edu
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 ...
Cited by 4 - Related articles - View as HTML - All 17 versions

[CITATION] Test for Structural Change in Regression Quantiles

Z Qu - 2007 - working paper
Cited by 3 - Related articles - Get it from MIT Libraries

Essays on structural change, long memory and cointegration

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, ...
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Richard Blundell, Joel L. Horowitz, and Matthias Parey Measuring the price responsiveness of gasoline demand: Economic shape restrictions and nonparametric …

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. ...

Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models

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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 ...

2007):“An Analytical Evaluation of the Log-periodogram Estimate

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 ...
Cached - All 2 versions

Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

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 ...

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