Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Jul, 2020, Volume 11, Issue 3
Pierre Perron, Yohei Yamamoto, Jing Zhou
We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type regressors and the assumptions on the errors are quite mild. Their distribution can be nonnormal and conditional heteroskedasticity is permitted. Extensions to the case with serially correlated errors are also treated. We provide the required tools to address the following testing problems, among others: (a) testing for given numbers of changes in regression coefficients and variance of the errors; (b) testing for some unknown number of changes within some prespecified maximum; (c) testing for changes in variance (regression coefficients) allowing for a given number of changes in the regression coefficients (variance); (d) a sequential procedure to estimate the number of changes present. These testing problems are important for practical applications as witnessed by interests in macroeconomics and finance where documenting structural changes in the variability of shocks to simple autoregressions or vector autoregressive models have been a concern.
Change‐point variance shift conditional heteroskedasticity likelihood ratio tests C22March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.