Zhongjun Qu

About

Zhongjun Qu is a Professor and the Director of Graduate Studies in the Department of Economics at Boston University. His main research interests are in theoretical and applied econometrics, focusing on identification, estimation, inference, and model comparison for dynamic stochastic general equilibrium models. His work also addresses issues related to low frequency variation, including regime switching, structural change, long memory, and cointegration. Additionally, he proposes new methods for quantifying behavioral heterogeneity using the framework of quantile regression in a dynamic or semiparametric setting. His ongoing research projects include modeling regime switching in high-dimensional settings, estimating conditional quantile processes in partially linear models with applications such as the impact of unemployment benefits, and sieve estimation of option-implied state price density. Qu holds a PhD from Boston University and is actively involved in graduate education and research within the field of econometrics.

Research topics

• Artificial Intelligence
• Computer Science
• Geography
• Real-time computing
• Algorithm
• Distributed computing

Selected publications

• Global Identification in DSGE Models Allowing for Indeterminacy

  The Review of Economic Studies · 2016-09-16 · 19 citations

  article1st authorCorresponding

  This article presents a framework for analysing global identification in log linearized Dynamic Stochastic General Equilibrium (DSGE) models that encompasses both determinacy and indeterminacy. First, it considers a frequency domain expression for the Kullback–Leibler distance between two DSGE models and shows that global identification fails if and only if the minimized distance equals 0. This result has three features: (1) it can be applied across DSGE models with different structures; (2) it…

  PublisherDOI

• Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs

  Journal of Business and Economic Statistics · 2017-11-27 · 13 citations

  articleOpen access1st authorCorresponding

  This study develops methods for conducting uniform inference on quantile treatment effects for sharp regression discontinuity designs. We develop a score test for the treatment significance hypothesis and Wald-type tests for the hypotheses related to treatment significance, homogeneity, and unambiguity. The bias from the nonparametric estimation is studied in detail. In particular, we show that under some conditions, the asymptotic distribution of the score test is unaffected by the bias, withou…

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• Sieve estimation of option-implied state price density

  Journal of Econometrics · 2021-04-08 · 12 citations

  articleSenior author
  PublisherDOI

• A Composite Likelihood Framework for Analyzing Singular DSGE Models

  The Review of Economics and Statistics · 2018-01-12 · 9 citations

  articleOpen access1st authorCorresponding

  This paper builds on the composite likelihood concept of Lindsay (1988) to develop a framework for parameter identification, estimation, inference, and forecasting in dynamic stochastic general equilibrium (DSGE) models allowing for stochastic singularity. The framework consists of four components. First, it provides a necessary and sufficient condition for parameter identification, where the identifying information is provided by the first- and second-order properties of nonsingular submodels.…

  PublisherOA PDFDOI

• Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models

  Journal of Applied Econometrics · 2023-02-05 · 3 citations

  articleOpen access1st author

  Summary We introduce arbitrary precision arithmetic to resolve practical difficulties arising in the identification analysis of dynamic stochastic general equilibrium (DSGE) models. A three‐step procedure is proposed to address local and global identification and the empirical distance between models. The method is applied to monetary and fiscal policy interaction models, revealing exact observational equivalence in a small‐scale model between an indeterminate passive monetary and fiscal policy…

  PublisherOA PDFDOI

Frequent coauthors

• Pierre Perrón

  Boston University

  31 shared

• Denis Tkachenko

  9 shared

• Jungmo Yoon

  9 shared

• Fan Zhuo

  Hebrew University of Jerusalem

  9 shared

• Tatsushi Oka

  4 shared

• Junwen Lu

  1 shared

• Mingrui Han

  Xi'an Jiaotong University

  1 shared

• Timothy J. Vogelsang

  1 shared

Education

• Ph.D.

  Boston University

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