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Pierre Perron

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Personal Details

First Name: Pierre
Middle Name:
Last Name: Perron
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RePEc Short-ID: ppe32

Email:
Homepage: http://people.bu.edu/perron
Postal Address: Department of Economics Boston University 270 Bay State Rd. Boston, MA, 02215 USA
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Affiliation

Department of Economics
Boston University
Location: Boston, Massachusetts (United States)
Homepage: http://www.bu.edu/econ/
Email:
Phone: 617-353-4389
Fax: 617-353-444
Postal: 270 Bay State Road, Boston, MA 02215
Handle: RePEc:edi:decbuus (more details at EDIRC)

Works

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Working papers

  1. Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo, Departamento de Economía - Pontificia Universidad Católica del Perú 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.
  2. Pierre Perron & Francisco Estrada, 2012. "Breaks, trends and the attribution of climate change: a time-series analysis," Boston University - Department of Economics - Working Papers Series WP2012-013, Boston University - Department of Economics.
  3. Pierre Perron & Francisco Estrada & Benjamín Martínez-López, 2012. "Statistical evidence about human influence on the climate system," Boston University - Department of Economics - Working Papers Series WP2012-012, Boston University - Department of Economics.
  4. Pierre Perron & Sungju Chun, 2011. "Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run," Boston University - Department of Economics - Working Papers Series WP2011-056, Boston University - Department of Economics.
  5. Pierre Perron & Yohei Yamamoto, 2011. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Boston University - Department of Economics - Working Papers Series WP2011-049, Boston University - Department of Economics.
  6. Rasmus Tangsgaard Varneskov & Pierre Perron, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," CREATES Research Papers 2011-26, School of Economics and Management, University of Aarhus.
  7. Pierre Perron & Francisco Estrada & Carlos Gay-García & Benjamín Martínez-López, 2011. "A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4," Boston University - Department of Economics - Working Papers Series WP2011-051, Boston University - Department of Economics.
  8. Pierre Perron & Yohei Yamamoto, 2011. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series WP2011-053, Boston University - Department of Economics.
  9. Pierre Perron & Tatsushi Oka, 2011. "Testing for Common Breaks in a Multiple Equations System," Boston University - Department of Economics - Working Papers Series WP2011-057, Boston University - Department of Economics.
  10. Pierre Perron & Yohei Yamamoto, 2011. "A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS," Boston University - Department of Economics - Working Papers Series WP2011-054, Boston University - Department of Economics.
  11. Pierre Perron & Tomoyoshi Yabu, 2011. "Testing for Trend in the Presence of Autoregressive Error: A Comment," Keio/Kyoto Joint Global COE Discussion Paper Series, Keio/Kyoto Joint Global COE Program 2011-024, Keio/Kyoto Joint Global COE Program.
  12. Pierre Perron & Linxia Ren, 2010. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Boston University - Department of Economics - Working Papers Series WP2010-049, Boston University - Department of Economics.
  13. Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
  14. Mohitosh Kejriwal & Pierre Perron, 2009. "A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component," Purdue University Economics Working Papers 1217, Purdue University, Department of Economics.
  15. Mohitosh Kejriwal & Pierre Perron & Jing Zhou, 2009. "Wald Tests for Detecting Multiple Structural Changes in Persistence," Purdue University Economics Working Papers 1223, Purdue University, Department of Economics.
  16. Jing Zhou & Pierre Perron, 2008. "Testing for Breaks in Coefficients and Error Variance: Simulations and Applications," Boston University - Department of Economics - Working Papers Series wp2008-010, Boston University - Department of Economics.
  17. Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.
  18. Mohitosh Kejriwal & Pierre Perron, 2008. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers 1216, Purdue University, Department of Economics.
  19. Pierre Perron & Jing Zhou, 2008. "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Boston University - Department of Economics - Working Papers Series wp2008-011, Boston University - Department of Economics.
  20. Pierre Perron & Yohei Yamamoto, 2008. "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series wp2008-017, Boston University - Department of Economics.
  21. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-007, Boston University - Department of Economics.
  22. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
  23. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
  24. Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007. "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses," Boston University - Department of Economics - Working Papers Series wp2008-019, Boston University - Department of Economics.
  25. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
  26. Mohitosh Kejriwal & Pierre Perron, 2006. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression," Boston University - Department of Economics - Working Papers Series WP2006-035, Boston University - Department of Economics.
  27. Mohitosh Kejriwal & Pierre Perron, 2006. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series WP2006-064, Boston University - Department of Economics.
  28. Mohitosh Kejriwal & Pierre Perron, 2006. "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series WP2006-052, Boston University - Department of Economics.
  29. Dukpa Kim & Pierre Perron, 2006. "Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope," Boston University - Department of Economics - Working Papers Series WP2006-063, Boston University - Department of Economics.
  30. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
  31. Ai Deng & Pierre Perron, 2006. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions," Boston University - Department of Economics - Working Papers Series wp2006-004, Boston University - Department of Economics.
  32. Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics.
  33. Pierre Perron & Zhongjun Qu, 2006. "A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests," Boston University - Department of Economics - Working Papers Series WP2006-010, Boston University - Department of Economics.
  34. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.
  35. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics.
  36. Pierre Perron & Tomoyoshi Yabu, 2005. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2005-026, Boston University - Department of Economics.
  37. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics.
  38. Pierre Perron & Tomoyoshi Yabu, 2005. "Estimating Deterministric Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2005-037, Boston University - Department of Economics.
  39. Ai Deng & Pierre Perron, 2005. "A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change," Boston University - Department of Economics - Working Papers Series WP2005-047, Boston University - Department of Economics.
  40. Ai Deng & Pierre Perron, 2005. "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," Boston University - Department of Economics - Working Papers Series WP2005-030, Boston University - Department of Economics.
  41. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005, Society for Computational Economics 252, Society for Computational Economics.
  42. Zhongjun Qu & Pierre Perron, 2005. "Estimating and testing structural changes in multivariate regressions," Boston University - Department of Economics - Working Papers Series WP2005-012, Boston University - Department of Economics.
  43. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
  44. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-43, Boston University - Department of Economics.
  45. Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
  46. Serena Ng & Pierre Perron, 2001. "A Note on the Selection of Time Series Models," Boston College Working Papers in Economics 500, Boston College Department of Economics.
  47. Perron, P. & Rodriguez, G., 2000. "Residual Based Tests for Cointegration with GLS Detrended Data," Working Papers, University of Ottawa, Department of Economics 0004e, University of Ottawa, Department of Economics.
  48. Perron, P. & Rodriguez, G., 2000. "Seraching for Additive Outliers in Nonstationary Time Series," Working Papers, University of Ottawa, Department of Economics 0005e, University of Ottawa, Department of Economics.
  49. PERRON, Pierre & VODOUNOU, Cosme, 1998. "Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9815, Universite de Montreal, Departement de sciences economiques.
  50. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9807, Universite de Montreal, Departement de sciences economiques.
  51. PERRON, Pierre & VODOUNOU, Cosme, 1998. "Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9816, Universite de Montreal, Departement de sciences economiques.
  52. PERRON, Pierre & MALLET, Sylvie, 1998. "The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9817, Universite de Montreal, Departement de sciences economiques.
  53. PERRON, Pierre & RODRIGUEZ, Gabriel, 1998. "GLS Detrending, Efficient Unit Root Tests and Structural Change," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9809, Universite de Montreal, Departement de sciences economiques.
  54. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  55. Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9611, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  56. Ng, S. & Perron, P., 1995. "The Exact Error in Estimating the Special Density at the Origin," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9535, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  57. Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9534, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  58. Pierre Perron & Regina Cati & Marcio Gomes Pinto Garcia, 1995. "Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data," Textos para discussão 349, Department of Economics PUC-Rio (Brazil).
  59. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  60. René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO.
  61. Jushan Bai & Pierre Perron, 1995. "Estimating & Testing Linear Models with Multiple Structural Changes," Working papers 95-17, Massachusetts Institute of Technology (MIT), Department of Economics.
  62. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9425, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  63. Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  64. Perron, P., 1994. "The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9424, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  65. Nabeya, S. & Perron, P., 1994. "Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9420, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  66. Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9422, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  67. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  68. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers, Princeton, Department of Economics - Econometric Research Program 360, Princeton, Department of Economics - Econometric Research Program.
  69. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers, Princeton, Department of Economics - Econometric Research Program 359, Princeton, Department of Economics - Econometric Research Program.
  70. Garcia, R. & Perron, P., 1991. "An analysis of Real Interest Rate Under Regime Shifts," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9125, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  71. Perron, P., 1991. "A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series," Papers, Princeton, Department of Economics - Econometric Research Program 363, Princeton, Department of Economics - Econometric Research Program.
  72. Nabeya, S. & Perron, P., 1991. "Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors," Papers, Princeton, Department of Economics - Econometric Research Program 362, Princeton, Department of Economics - Econometric Research Program.
  73. Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Test For Unit Root," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9037, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  74. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers, Princeton, Department of Economics - Econometric Research Program 350, Princeton, Department of Economics - Econometric Research Program.
  75. Perron, P., 1990. "The Adequacy Of Limiting Distributions In The Ar(1) Model With Dependent Errors," Papers, Princeton, Department of Economics - Econometric Research Program 349, Princeton, Department of Economics - Econometric Research Program.
  76. Perron, P., 1990. "The Limiting Distribution Of The Least Squares Estimator In Nearly Integrated Seasonal Models," Papers, Princeton, Department of Economics - Econometric Research Program 354, Princeton, Department of Economics - Econometric Research Program.
  77. Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Tests For A Unit Root," Papers, Princeton, Department of Economics - Econometric Research Program 355, Princeton, Department of Economics - Econometric Research Program.
  78. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers, Princeton, Department of Economics - Econometric Research Program 347, Princeton, Department of Economics - Econometric Research Program.
  79. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers, Princeton, Department of Economics - Econometric Research Program 345, Princeton, Department of Economics - Econometric Research Program.
  80. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
  81. Perron,P., 1988. "Testing For A Random Walk: A Simulation Experiment Of Power When The Simpling Interval Is Varied," Papers, Princeton, Department of Economics - Econometric Research Program 336, Princeton, Department of Economics - Econometric Research Program.
  82. Perron,P., 1988. "A Continuous Time Approximation To The Unstable First- Order Autoregressive Process: The Case Without An Intercept," Papers, Princeton, Department of Economics - Econometric Research Program 337, Princeton, Department of Economics - Econometric Research Program.
  83. Perron, P., 1987. "The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8748, Universite de Montreal, Departement de sciences economiques.
  84. Perron, P., 1987. "The Great Crash, the Oil Prices and the Unit Root Hypothesis," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8749, Universite de Montreal, Departement de sciences economiques.
  85. Perron, P., 1986. "Tests of Joint Hypotheses for Time Series Regression with a Unit Root," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8632, Universite de Montreal, Departement de sciences economiques.
  86. Perron, P. & Phillips, P.C.B., 1986. "Does Gnp Have a Unit Root? a Reevaluation," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8640, Universite de Montreal, Departement de sciences economiques.
  87. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  88. Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8650, Universite de Montreal, Departement de sciences economiques.
  89. Perron, P., 1985. "Methodology in Economics: the Logic of Appraisal," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8557, Universite de Montreal, Departement de sciences economiques.
  90. Pierre Perron & Robert J. Shiller, 1984. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Cowles Foundation Discussion Papers 732, Cowles Foundation for Research in Economics, Yale University.

Articles

  1. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
  2. Perron, Pierre & Yamamoto, Yohei, 2014. "A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls," Econometric Theory, Cambridge University Press, vol. 30(02), pages 491-507, April.
  3. Sungju Chun & Pierre Perron, 2013. "Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(24), pages 3512-3528, August.
  4. Kejriwal, Mohitosh & Perron, Pierre & Zhou, Jing, 2013. "Wald Tests For Detecting Multiple Structural Changes In Persistence," Econometric Theory, Cambridge University Press, vol. 29(02), pages 289-323, April.
  5. Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
  6. Zhongjun Qu & Pierre Perron, 2013. "A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 309-339, October.
  7. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, Elsevier, vol. 20(C), pages 42-62.
  8. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(06), pages 1196-1237, December.
  9. Pierre Perron & Tomoyoshi Yabu, 2012. "Testing for Trend in the Presence of Autoregressive Error: A Comment," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 844-844, June.
  10. Pierre Perron & Gabriel Rodríguez, 2012. "GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural," Revista Economía, Departamento de Economía - Pontificia Universidad Católica del Perú, vol. 35(69), pages 174-203.
  11. Kejriwal, Mohitosh & Perron, Pierre, 2012. "A note on estimating a structural change in persistence," Economics Letters, Elsevier, vol. 117(3), pages 932-935.
  12. Perron Pierre & Ren Linxia, 2011. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Journal of Time Series Econometrics, De Gruyter, De Gruyter, vol. 3(3), pages 1-34, October.
  13. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(2), pages 275-290.
  14. Mohitosh Kejriwal & Pierre Perron, 2010. "A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 305-328, 09.
  15. Kejriwal, Mohitosh & Perron, Pierre, 2010. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(4), pages 503-522.
  16. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(1), pages 138-156, January.
  17. Kim, Dukpa & Perron, Pierre, 2009. "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, vol. 148(1), pages 1-13, January.
  18. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Testing for Shifts in Trend With an Integrated or Stationary Noise Component," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(3), pages 369-396.
  19. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
  20. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
  21. Kim, Dukpa & Perron, Pierre, 2009. "Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope," Journal of Econometrics, Elsevier, vol. 149(1), pages 26-51, April.
  22. Carrion-i-Silvestre, Josep Lluís & Kim, Dukpa & Perron, Pierre, 2009. "Gls-Based Unit Root Tests With Multiple Structural Breaks Under Both The Null And The Alternative Hypotheses," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1754-1792, December.
  23. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
  24. Deng, Ai & Perron, Pierre, 2008. "The Limit Distribution Of The Cusum Of Squares Test Under General Mixing Conditions," Econometric Theory, Cambridge University Press, vol. 24(03), pages 809-822, June.
  25. Kejriwal, Mohitosh & Perron, Pierre, 2008. "The limit distribution of the estimates in cointegrated regression models with multiple structural changes," Journal of Econometrics, Elsevier, vol. 146(1), pages 59-73, September.
  26. Kejriwal, Mohitosh & Perron, Pierre, 2008. "Data Dependent Rules For Selection Of The Number Of Leads And Lags In The Dynamic Ols Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1425-1441, October.
  27. Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, vol. 23(04), pages 638-685, August.
  28. Zhongjun Qu & Pierre Perron, 2007. "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, Econometric Society, Econometric Society, vol. 75(2), pages 459-502, 03.
  29. Perron, Pierre & Qu, Zhongjun, 2007. "A simple modification to improve the finite sample properties of Ng and Perron's unit root tests," Economics Letters, Elsevier, vol. 94(1), pages 12-19, January.
  30. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
  31. Ai Deng & Pierre Perron, 2006. "A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 423-447, November.
  32. Serena Ng & Pierre Perron, 2005. "A Note on the Selection of Time Series Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 115-134, 02.
  33. Perron, Pierre & Vodounou, Cosme, 2005. "The Variance Ratio Test: An Analysis Of Size And Power Based On A Continuous-Time Asymptotic Framework," Econometric Theory, Cambridge University Press, vol. 21(03), pages 562-592, June.
  34. Perron, Pierre & Zhu, Xiaokang, 2005. "Structural breaks with deterministic and stochastic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 65-119.
  35. Perron, Pierre & Vodounou, Cosme, 2004. "Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(2), pages 203-230, March.
  36. Pierre Perron, 2003. "Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(3), pages 239-245.
  37. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  38. Pierre Perron & Gabriel RodrÃŒguez, 2003. "Searching For Additive Outliers In Nonstationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 193-220, 03.
  39. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  40. Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, 06.
  41. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
  42. Pierre Perron & Cosme Vodounou, 2001. "Asymptotic approximations in the near-integrated model with a non-zero initial condition," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 42.
  43. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, Econometric Society, vol. 69(6), pages 1519-1554, November.
  44. Perron, Pierre & Mallet, Sylvie, 2000. "A look at the quality of the approximation of the functional central limit theorem," Economics Letters, Elsevier, vol. 68(3), pages 225-234, September.
  45. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb..
  46. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, Econometric Society, vol. 66(1), pages 47-78, January.
  47. Perron, Pierre & Ng, Serena, 1998. "An Autoregressive Spectral Density Estimator At Frequency Zero For Nonstationarity Tests," Econometric Theory, Cambridge University Press, vol. 14(05), pages 560-603, October.
  48. Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
  49. Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
  50. Perron, Pierre, 1997. "L’estimation de modèles avec changements structurels multiples," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 73(1), pages 457-505, mars-juin.
  51. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
  52. Perron, Pierre, 1996. "The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors," Journal of Econometrics, Elsevier, vol. 70(2), pages 317-350, February.
  53. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
  54. Perron, Pierre & Ng, Serena, 1996. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 63(3), pages 435-63, July.
  55. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-25, February.
  56. Nabeya, Seiji & Perron, Pierre, 1994. "Local asymptotic distribution related to the AR(1) model with dependent errors," Journal of Econometrics, Elsevier, vol. 62(2), pages 229-264, June.
  57. Perron, Pierre & Campbell, John Y, 1993. "A Note on Johansen's Cointegration Procedure When Trends Are Present," Empirical Economics, Springer, vol. 18(4), pages 777-89.
  58. Perron, Pierre, 1993. "The HUMP-Shaped Behavior of Macroeconomic Fluctuations," Empirical Economics, Springer, vol. 18(4), pages 707-27.
  59. Perron, P, 1993. "Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]," Econometrica, Econometric Society, Econometric Society, vol. 61(1), pages 248-49, January.
  60. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
  61. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 301-20, July.
  62. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(4), pages 467-70, October.
  63. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
  64. Pierre PERRON & John Y. CAMPBELL, 1992. "Racines unitaires en macroéconomie : le cas multidimensionnel," Annales d'Economie et de Statistique, ENSAE, issue 27, pages 1-50.
  65. Perron, Pierre, 1991. "Test Consistency with Varying Sampling Frequency," Econometric Theory, Cambridge University Press, vol. 7(03), pages 341-368, September.
  66. Perron, Pierre, 1991. "A Continuous Time Approximation to the Stationary First-Order Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 7(02), pages 236-252, June.
  67. Perron, Pierre, 1991. "A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept," Econometrica, Econometric Society, Econometric Society, vol. 59(1), pages 211-36, January.
  68. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(2), pages 153-62, April.
  69. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
  70. Perron, Pierre, 1989. "The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model," Econometric Theory, Cambridge University Press, vol. 5(02), pages 241-255, August.
  71. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
  72. Perron, Pierre & Phillips, Peter C. B., 1987. "Does GNP have a unit root? : A re-evaluation," Economics Letters, Elsevier, vol. 23(2), pages 139-145.
  73. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386.

Chapters

  1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.

Editor

  1. Econometrics Journal, Royal Economic Society.
  2. Econometrics Journal, Royal Economic Society.

NEP Fields

31 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (1) 2012-06-05
  2. NEP-BEC: Business Economics (1) 2007-08-14
  3. NEP-CBA: Central Banking (1) 2006-05-06
  4. NEP-CFN: Corporate Finance (1) 2007-08-14
  5. NEP-COM: Industrial Competition (1) 2007-08-14
  6. NEP-CSE: Economics of Strategic Management (1) 2007-08-14
  7. NEP-ECM: Econometrics (24) 2006-03-18 2006-03-18 2006-04-22 2006-05-06 2006-10-28 2006-10-28 2006-10-28 2007-08-14 2007-08-14 2007-08-14 2009-04-13 2009-04-18 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-07-17 2009-08-22 2012-01-03 2012-07-23 2012-11-17. Author is listed
  8. NEP-ENE: Energy Economics (2) 2012-06-05 2012-06-05
  9. NEP-ENV: Environmental Economics (2) 2012-06-05 2012-06-05
  10. NEP-ETS: Econometric Time Series (23) 2005-11-19 2006-03-18 2006-03-18 2006-03-18 2006-05-06 2006-10-28 2007-08-14 2007-08-14 2007-08-14 2009-04-13 2009-04-18 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-07-17 2009-08-22 2012-01-03 2012-07-23 2012-11-17. Author is listed
  11. NEP-FIN: Finance (2) 2006-03-18 2006-10-28
  12. NEP-FMK: Financial Markets (2) 2006-03-18 2009-06-10
  13. NEP-FOR: Forecasting (2) 2009-06-10 2009-06-10
  14. NEP-HPE: History & Philosophy of Economics (1) 2006-03-18
  15. NEP-IFN: International Finance (1) 2006-03-18
  16. NEP-IND: Industrial Organization (1) 2007-08-14
  17. NEP-INT: International Trade (1) 2006-03-18
  18. NEP-MAC: Macroeconomics (4) 2005-11-19 2006-03-18 2006-10-28 2006-10-28
  19. NEP-ORE: Operations Research (2) 2009-06-10 2009-06-10
  20. NEP-SEA: South East Asia (1) 2012-06-05
  21. NEP-UPT: Utility Models & Prospect Theory (1) 2006-03-18

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