Pierre Perron
Personal Details
First Name: Pierre
Middle Name:
Last Name: Perron
Suffix:
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
Phone:
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
Working papers
- Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo, Departamento de EconomÃa - Pontificia Universidad CatÃ³lica del PerÃº 2012-327, Departamento de EconomÃa - Pontificia Universidad CatÃ³lica del PerÃº.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Yohei Yamamoto & Pierre Perron, 2012. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Global COE Hi-Stat Discussion Paper Series gd12-250, Institute of Economic Research, Hitotsubashi University.
- 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.
- Pierre Perron & Rasmus T. Varneskov, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2011-050, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Pierre Perron & Tomoyoshi Yabu, 2011. "Testing for Trend in the Presence of Autoregressive Error: A Comment," Boston University - Department of Economics - Working Papers Series WP2011-052, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- 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.
- 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.
- Mohitosh Kejriwal & Pierre Perron, 2009. "A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series wp2009-005, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Pierre Perron & Yohei Yamamoto, 2012. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series gd12-258, Institute of Economic Research, Hitotsubashi University.
- 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.
- 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.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2007. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series wp2008-020, Boston University - Department of Economics, revised Nov 2008.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Mohitosh Kejriwal & Pierre Perron, 2007. "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 WP2007-018, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Pierre Perron & Tomoyoshi Yabu, 2007. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-025, Boston University - Department of Economics.
- Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics.
- 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.
- 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.
- Pierre Perron & Tomoyoshi Yabu, . "Estimating Deterministic Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2006-012, Boston University - Department of Economics, revised Feb 2006.
- Pierre Perron & Tomoyoshi Yabu, 2007. "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-020, Boston University - Department of Economics.
- 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.
- 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.
- Ai Deng & Pierre Perron, 2007. "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 WP2007-019, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- 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.
- 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 WP2005-44, Boston University - Department of Economics.
- 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.
- 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.
- Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 83, China Economics and Management Academy, Central University of Finance and Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Pierre Perron & Sungju Chun & Cosme Vodounou, 2011. "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series WP2011-055, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- Perron, P. & Ng, S., 1996.
"An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests,"
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
9611, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9611, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1995.
"The Exact Error in Estimating the Special Density at the Origin,"
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
9535, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Ng, S. & Perron, P., 1995. "The Exact Error in Estimating the Special Density at the Origin," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9535, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1995.
"Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems,"
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
9534, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9534, Universite de Montreal, Departement de sciences economiques.
- 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).
- Perron, P. & Bai, J., 1995.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
9552, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9552, Universite de Montreal, Departement de sciences economiques.
- René Garcia & Pierre Perron, 1995.
"An Analysis of the Real Interest Rate Under Regime Shifts,"
CIRANO Working Papers
95s-05, CIRANO.
- 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.
- Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers, Princeton, Department of Economics - Econometric Research Program 353, Princeton, Department of Economics - Econometric Research Program.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 9428, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9428, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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 Ã©conomie quantitative, CIREQ
9425, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9425, Universite de Montreal, Departement de sciences economiques.
- 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 Ã©conomie quantitative, CIREQ
9427, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9427, Universite de Montreal, Departement de sciences economiques.
- 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 Ã©conomie quantitative, CIREQ
9424, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P., 1994. "The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9424, Universite de Montreal, Departement de sciences economiques.
- 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 Ã©conomie quantitative, CIREQ
9420, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Nabeya, S. & Perron, P., 1994. "Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9420, Universite de Montreal, Departement de sciences economiques.
- 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 Ã©conomie quantitative, CIREQ
9422, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- 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, Universite de Montreal, Departement de sciences economiques 9422, Universite de Montreal, Departement de sciences economiques.
- 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 Ã©conomie quantitative, CIREQ
9423, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9423, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Garcia, R. & Perron, P., 1991.
"An analysis of Real Interest Rate Under Regime Shifts,"
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
9125, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Garcia, R. & Perron, P., 1991. "An analysis of Real Interest Rate Under Regime Shifts," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9125, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- Ghysels, E. & Perron, P., 1990.
"The Effect Of Seasonal Adjustment Filters On Test For Unit Root,"
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
9037, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Ghysels, E. & Perron, P., 1990. "The Effect of Seasonal Adjustment Filters on Test for Unit Root," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9037, Universite de Montreal, Departement de sciences economiques.
- 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.
- Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 9421, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9421, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Perron, Pierre, 1991. "Test Consistency with Varying Sampling Frequency," Econometric Theory, Cambridge University Press, vol. 7(03), pages 341-368, September.
- Perron, P., 1987. "Test Consistency with Varying Sampling Frequency," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8752, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8633, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- 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.
- Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
Articles
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Yohei Yamamoto & Pierre Perron, 2012. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Global COE Hi-Stat Discussion Paper Series gd12-250, Institute of Economic Research, Hitotsubashi University.
- 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.
- 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.
- 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.
- Pierre Perron & Sungju Chun & Cosme Vodounou, 2011. "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series WP2011-055, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- 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.
- 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.
- Pierre Perron & Tomoyoshi Yabu, 2011. "Testing for Trend in the Presence of Autoregressive Error: A Comment," Boston University - Department of Economics - Working Papers Series WP2011-052, Boston University - Department of Economics.
- Pierre Perron & Gabriel RodrÃguez, 2012. "GLS para eliminar los componentes determinÃsticos, estadÃsticos de raÃz unitaria eficientes y cambio estructural," Revista EconomÃa, Departamento de EconomÃa - Pontificia Universidad CatÃ³lica del PerÃº, vol. 35(69), pages 174-203.
- Kejriwal, Mohitosh & Perron, Pierre, 2012. "A note on estimating a structural change in persistence," Economics Letters, Elsevier, vol. 117(3), pages 932-935.
- 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.
- 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.
- 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.
- 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.
- 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.
- Mohitosh Kejriwal & Pierre Perron, 2009. "A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series wp2009-005, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2007. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series wp2008-020, Boston University - Department of Economics, revised Nov 2008.
- 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.
- 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.
- 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.
- 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.
- 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.
- Pierre Perron & Tomoyoshi Yabu, 2007. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-025, Boston University - Department of Economics.
- 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.
- 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.
- Pierre Perron & Tomoyoshi Yabu, . "Estimating Deterministic Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2006-012, Boston University - Department of Economics, revised Feb 2006.
- Pierre Perron & Tomoyoshi Yabu, 2007. "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-020, Boston University - Department of Economics.
- 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.
- 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.
- Tom Doan, . "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
- 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.
- 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 wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- 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.
- 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.
- 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.
- 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.
- Ai Deng & Pierre Perron, 2007. "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 WP2007-019, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
- 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.
- 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.
- 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.
- 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.
- 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.
- Perron, Pierre & Zhu, Xiaokang, 2005. "Structural breaks with deterministic and stochastic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 65-119.
- 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.
- Pierre Perron, 2003. "Comment on â€œStatistical Adequacy and the Testing of Trend Versus Difference Stationarityâ€ by Andreou and Spanos (Number 1)," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(3), pages 239-245.
- 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.
- Tom Doan, . "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Tom Doan, . "PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date," Statistical Software Components RTS00156, Boston College Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Tom Doan, . "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, . "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- 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.
- Tom Doan, . "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, 06.
- 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.
- 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.
- Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 83, China Economics and Management Academy, Central University of Finance and Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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..
- 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.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9552, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 9552, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 9611, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9611, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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 Ã©conomie quantitative, CIREQ 9422, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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, Universite de Montreal, Departement de sciences economiques 9422, Universite de Montreal, Departement de sciences economiques.
- 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.
- Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9534, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 9534, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Perron, Pierre, 1997. "Lâ€™estimation de modÃ¨les avec changements structurels multiples," L'ActualitÃ© Economique, SociÃ©tÃ© Canadienne de Science Economique, SociÃ©tÃ© Canadienne de Science Economique, vol. 73(1), pages 457-505, mars-juin.
- Perron, Pierre, 1997.
"Further evidence on breaking trend functions in macroeconomic variables,"
Journal of Econometrics,
Elsevier, vol. 80(2), pages 355-385, October.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 9421, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9421, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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 Ã©conomie quantitative, CIREQ 9424, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Perron, P., 1994. "The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9424, Universite de Montreal, Departement de sciences economiques.
- 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.
- Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9425, Universite de Montreal, Departement de sciences economiques.
- 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 Ã©conomie quantitative, CIREQ 9425, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9427, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, . "PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests," Statistical Software Components RTS00155, Boston College Department of Economics.
- 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 Ã©conomie quantitative, CIREQ 9427, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 9428, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO.
- Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers, Princeton, Department of Economics - Econometric Research Program 353, Princeton, Department of Economics - Econometric Research Program.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9428, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- Perron, Pierre, 1993. "The HUMP-Shaped Behavior of Macroeconomic Fluctuations," Empirical Economics, Springer, vol. 18(4), pages 707-27.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Perron, Pierre, 1992. "Racines unitaires en macroÃ©conomie : le cas dâ€™une variable," L'ActualitÃ© Economique, SociÃ©tÃ© Canadienne de Science Economique, SociÃ©tÃ© Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
- Pierre PERRON & John Y. CAMPBELL, 1992. "Racines unitaires en macroÃ©conomie : le cas multidimensionnel," Annales d'Economie et de Statistique, ENSAE, issue 27, pages 1-50.
- Perron, Pierre, 1991.
"Test Consistency with Varying Sampling Frequency,"
Econometric Theory,
Cambridge University Press, vol. 7(03), pages 341-368, September.
- Perron, P., 1987. "Test Consistency with Varying Sampling Frequency," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8752, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
Chapters
- 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.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- 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.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
Editor
- Econometrics Journal, Royal Economic Society.
- 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):- NEP-AGR: Agricultural Economics (1) 2012-06-05
- NEP-BEC: Business Economics (1) 2007-08-14
- NEP-CBA: Central Banking (1) 2006-05-06
- NEP-CFN: Corporate Finance (1) 2007-08-14
- NEP-COM: Industrial Competition (1) 2007-08-14
- NEP-CSE: Economics of Strategic Management (1) 2007-08-14
- 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
- NEP-ENE: Energy Economics (2) 2012-06-05 2012-06-05
- NEP-ENV: Environmental Economics (2) 2012-06-05 2012-06-05
- 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
- NEP-FIN: Finance (2) 2006-03-18 2006-10-28
- NEP-FMK: Financial Markets (2) 2006-03-18 2009-06-10
- NEP-FOR: Forecasting (2) 2009-06-10 2009-06-10
- NEP-HPE: History & Philosophy of Economics (1) 2006-03-18
- NEP-IFN: International Finance (1) 2006-03-18
- NEP-IND: Industrial Organization (1) 2007-08-14
- NEP-INT: International Trade (1) 2006-03-18
- NEP-MAC: Macroeconomics (4) 2005-11-19 2006-03-18 2006-10-28 2006-10-28
- NEP-ORE: Operations Research (2) 2009-06-10 2009-06-10
- NEP-SEA: South East Asia (1) 2012-06-05
- NEP-UPT: Utility Models & Prospect Theory (1) 2006-03-18
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Most cited item
- 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.
Most downloaded item (past 12 months)
- 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.
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