Narrow search
Showing 1 - 10 of 419
Cover Image
Estimating and testing structural changes in multivariate regressions
Qu, Zhongjun; Perron, Pierre - In: Econometrica : journal of the Econometric Society, an … 75 (2007) 2, pp. 459-502
Persistent link: https://www.econbiz.de/10003462410
Cover Image
Estimating restricted structural change models
Perron, Pierre; Qu, Zhongjun - In: Journal of econometrics 134 (2006) 2, pp. 373-399
Persistent link: https://www.econbiz.de/10003374322
Cover Image
Long-memory and level shifts in the volatility of stock market return indices
Perron, Pierre; Qu, Zhongjun - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 275-290
Persistent link: https://www.econbiz.de/10008736221
Cover Image
A modified information criterion for cointegration tests based on a VAR approximation
Qu, Zhongjun; Perron, Pierre - In: Econometric theory 23 (2007) 4, pp. 638-685
Persistent link: https://www.econbiz.de/10003549586
Cover Image
A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339
Persistent link: https://www.econbiz.de/10010253639
Cover Image
A simple modification to improve the finite sample properties of Ng and Perrons's unit root tests
Perron, Pierre; Qu, Zhongjun - In: Economics letters 94 (2007) 1, pp. 12-19
Persistent link: https://www.econbiz.de/10003403999
Cover Image
An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility*
Perron, Pierre; Qu, Zhongjun - Department of Economics, Boston University - 2006
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 fractional differencing parameter is...
Persistent link: https://www.econbiz.de/10005209377
Cover Image
A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
Perron, Pierre; Qu, Zhongjun - In: Economics letters 94 (2007) 1, pp. 12-19
Persistent link: https://www.econbiz.de/10007390898
Cover Image
Estimating restricted structural change models
Perron, Pierre; Qu, Zhongjun - In: Journal of econometrics 134 (2006) 2, pp. 373-400
Persistent link: https://www.econbiz.de/10007279809
Cover Image
Inference on conditional quantile processes in partially linear models with applications to the impact of unemployment benefits
Qu, Zhongjun; Yoon, Jungmo; Perron, Pierre - In: The review of economics and statistics 106 (2024) 2, pp. 521-541
Persistent link: https://www.econbiz.de/10014536847