Publications
1. “Local Whittle Memory Parameter Estimation of Long Memory Process in the Presence of Low Frequency Contaminations,” (Job Market Paper), Jie Hou and Pierre Perron, Journal of Econometrics 182 (2014) 309–328 Download
Abstract: We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include processes whose spectral density functions dominate at low frequencies such as random level shifts, deterministic level shifts and deterministic trends. We show that our modified estimator has the usual asymptotic distribution applicable for the standard local Whittle estimator in the absence of such contaminations. We also show how the estimator can be modified to further account for additive noise and that our modification for low frequency contamination reduces the bias due to short-memory dynamics. Through extensive simulations, we show that the proposed estimator provides substantial efficiency gains compared to existing semiparametric estimators in the presence of contaminations, with little loss of efficiency when these are absent.
2. “Real estate price and heterogeneous investment behavior in China,” Ren Wang, Xiaobei He, and Jie Hou (corresponding author), Economic Modelling 60 (2017) 271–280, DOI: 10.1016/j.econmod.2016.09.020 Link
3. “Borrowing constraint, heterogeneous production sectors and policy implications: The case of China,” Ren Wang, Xiaobei He, Hui Song, and Jie Hou (corresponding author), International Review of Economics and Finance 49 (2017), 568–581, DOI: 10.1016/j.iref.2017.03.017 Link
4. “Stock Returns, weather, and air conditioning,” Jie Hou, Wendong Shi, and Jingwei Sun, Plos One 14(7) (2019), e0219439, DOI: https://doi.org/10.1371/journal.pone.0219439 Link
Working Papers
1. “Land Finance, Land Attracting Investment and Housing Price Fluctuations in China,” Ren Wang and Jie Hou (corresponding author), Revised and Resubmitted
2. “Collateral versus Crowding Out: Policy Implications on China’s Housing and Manufacture Sectors,” Ren Wang and Jie Hou (corresponding author), Submitted
3. “Environmental Policies with Financing Constraints in China,” Ren Wang, Jie Hou, and Jujun Jiang, Revised and Resubmitted
4. “Take it or transmit it? On the job search social network,” Rui Zhang and Jie Hou, June 2017, Presented at the 2nd Chinese Labor Economics Forum Annual Meeting
5. “Memory Parameter Estimation of Financial Time Series Robust to Low Frequency Contaminations,” October 2013, Revised January 2019
6. “Pivotal Inference for Structural Changes in a Joint Segmented Trend Model with Heterogeneous Innovations,” Jie Hou and Pierre Perron, April 2014, Revised December 2017
Work in Progress
1. “Using Interactive Effects Factor Analysis to Improve the Berry, Levinsohn and Pakes (1995) model used in industrial organization,”