{"id":21,"date":"2018-09-20T10:43:49","date_gmt":"2018-09-20T14:43:49","guid":{"rendered":"https:\/\/sites.bu.edu\/qu\/?page_id=21"},"modified":"2026-02-13T16:21:19","modified_gmt":"2026-02-13T21:21:19","slug":"publications","status":"publish","type":"page","link":"https:\/\/sites.bu.edu\/qu\/publications\/","title":{"rendered":"Refereed Publications"},"content":{"rendered":"
    \n
  1. Estimating State Price Densities Implied by American Options<\/a><\/strong>, (with Guang Zhang), Journal of Business & Economic Statistics<\/em>, 44(2026), 80\u201393.. [Working paper<\/a>] [R code for replication.<\/a>]

    <\/li>\n
  2. QR.break: An R Package for Structural Breaks in Quantile Regression<\/a><\/strong><\/span>, (with Samuel Messer and Tatsushi Oka), Journal of Econometric Methods<\/em>, 14 (2025), 21-34. [<\/span>R package\u00a0QR.break<\/span> is available on CRAN (<\/span>link<\/span><\/a>).]

    <\/span><\/li>\n
  3. QTE.RD: An R Package for Quantile Treatment Effects in Regression-Discontinuity Designs with\/without Covariates<\/a><\/strong><\/span>, (with Jungmo Yoon), The R Journal<\/em>, 17(2025), \u00a02073-4859.\u00a0 [<\/span>R package\u00a0QTE.RD<\/span> is available on CRAN (<\/span>link<\/span><\/a>). ]

    <\/span><\/li>\n
  4. Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits<\/strong>, (with Jungmo Yoon and Pierre Perron), 106(2024), 521-541,\u00a0Review of Economics and Statistics<\/em>. [Working paper.<\/a>] [R code for replication<\/a>.]

    <\/li>\n
  5. Using Arbitrary Precision Arithmetic to Sharpen Identification Analysis for DSGE Models<\/strong>, (with Denis Tkachenko),\u00a0Journal of Applied Econometrics,\u00a0<\/em>38 (2023), 451-667. [Open access.<\/a>] [Matlab code for replication.<\/a>]

    <\/li>\n
  6. Sieve Estimation of Option-Implied State Price Density<\/strong>, (with Junwen Lu), Journal of Econometrics (Annals Issue: PI Day)<\/em>, 224 (2021), 88-112. [Working paper<\/a>.] [R code for implementing the proposed methods<\/a>.]

    <\/li>\n
  7. Likelihood Ratio Based Tests for Markov Regime Switching<\/strong>, (with Fan Zhuo), Review of Economic Studies<\/em> 88 (2021), 937-968. [Working paper<\/a>.] [Matlab code for implementing the proposed methods<\/a>.] [Matlab code for replication<\/a>.]

    <\/li>\n
  8. Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs<\/strong>, (with Jungmo Yoon), Journal of Business and Economic Statistics<\/em> 37 (2019), 625-647. [Working paper<\/a>.] [R code for replication<\/a>.]

    <\/li>\n
  9. A Composite Likelihood Framework for Analyzing Singular DSGE Models<\/strong>, Review of Economics and Statistics<\/em> 100 (2018), 916-932. [Working paper<\/a>.] [Matlab code for replication<\/a>.]

    <\/li>\n
  10. Global Identification in DSGE Models Allowing for Indeterminacy<\/strong>, (with Denis Tkachenko) Review of Economic Studies<\/em> 84 (2017), 1306\u20131345. [Working paper<\/a>.] [Online appendix<\/a>.] [Matlab code for replication<\/a>.]

    <\/li>\n
  11. Nonparametric Estimation and Inference on Conditional Quantile Processes<\/strong>, (with Jungmo Yoon), Journal of Econometrics<\/em>, 185 (2015), 1-19. [Working paper<\/a>.]

    <\/li>\n
  12. M Tests with a New Normalization Matrix<\/strong>, (with Yi-Ting Chen), Econometric Reviews<\/em>, 34 (2015), 617-652. [Working paper<\/a>.]

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  13. Inference in DSGE Models with Possible Weak Identification<\/strong>, Quantitative Economics<\/em>, 5 (2014), 457-494. [Working paper<\/a>.]

    <\/li>\n
  14. A Stochastic Volatility Model with Random Level Shifts and its Applications to S&P 500 and Nasdaq Indices<\/strong>, (with Pierre Perron), Econometrics Journal<\/em>, 16(2013), 309-339. [Working paper<\/a>.]

    <\/li>\n
  15. Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)<\/strong>, (with Denis Tkachenko), Advances in Econometrics (Volume 28):<\/em> DSGE Models in Macroeconomics \u2013 Estimation, Evaluation and New Developments<\/em>, 2012, 319-385. [Working paper<\/a>.]\u00a0[Matlab code for replication<\/a>.]

    <\/li>\n
  16. Identification and Frequency Domain Quasi-maximum Likelihood Estimation of Linearized Dynamic Stochastic General Equilibrium Models<\/strong>, (with Denis Tkachenko), Quantitative Economics<\/em>, 3(2012), 95-132. [Update<\/a>.] [Working paper<\/a>.] [Matlab code for replication<\/a>.][Dynare implementation: see p.120 of the linked document<\/a>.]

    <\/li>\n
  17. Estimating Structural Changes in Regression Quantiles<\/strong>, (with Tatsushi Oka), Journal of Econometrics<\/em>, 162 (2011), 248-267. [Working paper<\/a>.] [R code for applying the methods<\/a>.]

    <\/li>\n
  18. A Test Against Spurious Long Memory<\/strong>, Journal of Business and Economic Statistics<\/em>. 29 (2011), 423-438. Working paper. [Working paper<\/a>.] [R code for applying the methods<\/a>.]

    <\/li>\n
  19. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices<\/strong>, (with Pierre Perron), Journal of Business and Economic Statistics<\/em> 28 (2010), 275-290. [R code for replication<\/a>.]

    <\/li>\n
  20. Testing for Structural Change in Regression Quantiles<\/strong>, Journal of Econometrics<\/em>, 148 (2008), 170-184.\u00a0[R code for applying the methods<\/a>.]

    <\/li>\n
  21. Searching for Cointegration in a Dynamic System<\/strong>, Econometrics Journal<\/em>, 10 (2007), 580\u2013604. (Reprinted in VIRTUAL ISSUE: Celebrating 10 years of The Econometrics Journal.) [Gauss Code 1<\/a> and Gauss <\/strong>Code 2<\/a> for applying the proposed methods.]

    <\/li>\n
  22. Estimating and Testing Structural Changes in Multivariate Regressions<\/strong>, (with Pierre Perron), Econometrica<\/em>, 75 (2007), 459-502. (Supplementary material available on the Econometrica website at this Link.) [Matlab Code for implementing the proposed methods<\/a>.] [Gauss Code for implementing the proposed methods<\/a>.] [Eviews Add-in<\/a>.]

    <\/li>\n
  23. A Modified Information Criterion for Cointegration Tests based on a VAR Approximation<\/strong>, (with Pierre Perron), Econometric Theory<\/em>, 23 (2007), 638-685.

    <\/li>\n
  24. A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests<\/strong>, (with Pierre Perron), Economics Letters<\/em>, 94 (2007), 12-19.

    <\/li>\n
  25. Estimating Restricted Structural Change Models<\/strong>, (with Pierre Perron), Journal of Econometrics<\/em>, 134 (2006), 373-399.\u00a0[Gauss Code for implementing the proposed methods<\/a>.]<\/li>\n<\/ol>\n

    <\/p>\n

    Other Publications<\/strong><\/h2>\n
      \n
    1. Introduction to the Themed Issue: Macroeconometrics<\/b>,\u00a0<\/span>Journal of Econometrics<\/em>, 244 (2024), 105870.

      <\/span><\/li>\n
    2. Introduction to Annals Issue: PI-Day<\/strong>, (with Serena Ng and Timothy Vogelsang),\u00a0Journal of Econometrics<\/em>, 224 (2021), 1-2.<\/span><\/li>\n<\/ol>\n","protected":false},"excerpt":{"rendered":"

      Estimating State Price Densities Implied by American Options, (with Guang Zhang), Journal of Business & Economic Statistics, 44(2026), 80\u201393.. [Working paper] [R code for replication.] QR.break: An R Package for Structural Breaks in Quantile Regression, (with Samuel Messer and Tatsushi Oka), Journal of Econometric Methods, 14 (2025), 21-34. [R package\u00a0QR.break is available on CRAN (link).] […]<\/p>\n","protected":false},"author":15163,"featured_media":0,"parent":0,"menu_order":2,"comment_status":"closed","ping_status":"closed","template":"page-templates\/no-sidebars.php","meta":[],"_links":{"self":[{"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/pages\/21"}],"collection":[{"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/users\/15163"}],"replies":[{"embeddable":true,"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/comments?post=21"}],"version-history":[{"count":53,"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/pages\/21\/revisions"}],"predecessor-version":[{"id":800,"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/pages\/21\/revisions\/800"}],"wp:attachment":[{"href":"https:\/\/sites.bu.edu\/qu\/wp-json\/wp\/v2\/media?parent=21"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}