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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
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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
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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
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M tests with a new normalization matrix
Chen, Yi-ting; Qu, Zhongjun - In: Econometric reviews 34 (2015) 1/5, pp. 617-652
Persistent link: https://www.econbiz.de/10011373254
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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
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Estimating structural changes in regression quantiles
Oka, Tatsushi; Qu, Zhongjun - In: Journal of econometrics 162 (2011) 2, pp. 248-267
Persistent link: https://www.econbiz.de/10009270637
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Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
Qu, Zhongjun; Tkachenko, Denis - In: Quantitative economics : QE ; journal of the … 3 (2012) 1, pp. 95-132
Persistent link: https://www.econbiz.de/10009562885
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Frequency domain analysis of medium scale DSGE models with application to Smets and Wouters (2007)
Tkachenko, Denis; Qu, Zhongjun - In: DSGE models in macroeconomics : estimation, evaluation, …, (pp. 319-385). 2012
Persistent link: https://www.econbiz.de/10009682775
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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
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Identification and Frequency Domain QML Estimation of Linearized DSGE Models
Qu, Zhongjun - 2011
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...
Persistent link: https://www.econbiz.de/10013133166