Fields: Econometrics, Quantitative Macroeconomics, Empirical Finance<\/b><\/p>\n
Zhongjun Qu\u2019s<\/strong> main research interests are in theoretical and applied econometrics. A first part of his research studies identification, estimation, inference, and model comparison for dynamic stochastic general equilibrium models. A second part revolves around the issue of low frequency variation that encompasses regime switching, structural change, long memory, and cointegration. A third part proposes new methods for quantifying behavioral heterogeneity using the framework of quantile regression in a dynamic or a semiparametric setting. Examples of his ongoing research projects include modeling regime switching in a high dimensional setting, estimating conditional quantile processes in partially linear models with applications to the impact of unemployment benefits, and sieve estimation of option-implied state price density.<\/p>\n