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 change in regression...

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 other parameters jointly by...

The chapter considers parameter identification, estimation, and model diagnostics in medium scale DSGE models from a frequency domain perspective using the framework developed in Qu and Tkachenko (2012). The analysis uses Smets and Wouters (2007) as an illustrative example, motivated by the fact...

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 based on the (first and) second...