Pierre Perron
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Pierre |
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Perron |
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Contact
Affiliations
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Boston University
/ Department of Economics
Research profile
author of:
- Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns (RePEc:aah:create:2011-26)
by Rasmus Tangsgaard Varneskov & Pierre Perron - Racines unitaires en macroéconomie : le cas multidimensionnel (RePEc:adr:anecst:y:1992:i:27:p:1-50)
by Pierre Perron & John Y. Campbell - Testing for Common Breaks in a Multiple Equations System (RePEc:arx:papers:1606.00092)
by Tatsushi Oka & Pierre Perron - Generalized Laplace Inference in Multiple Change-Points Models (RePEc:arx:papers:1803.10871)
by Alessandro Casini & Pierre Perron - Continuous Record Asymptotics for Change-Points Models (RePEc:arx:papers:1803.10881)
by Alessandro Casini & Pierre Perron - Continuous Record Laplace-based Inference about the Break Date in Structural Change Models (RePEc:arx:papers:1804.00232)
by Alessandro Casini & Pierre Perron - Structural Breaks in Time Series (RePEc:arx:papers:1805.03807)
by Alessandro Casini & Pierre Perron - Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures (RePEc:arx:papers:1805.09937)
by Dukpa Kim & Tatsushi Oka & Francisco Estrada & Pierre Perron - Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings (RePEc:arx:papers:2103.00060)
by Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron - Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference (RePEc:arx:papers:2103.01604)
by Alessandro Casini & Taosong Deng & Pierre Perron - Prewhitened Long-Run Variance Estimation Robust to Nonstationarity (RePEc:arx:papers:2103.02235)
by Alessandro Casini & Pierre Perron - Change-Point Analysis of Time Series with Evolutionary Spectra (RePEc:arx:papers:2106.02031)
by Alessandro Casini & Pierre Perron - Nonstationarity and Level Shifts with an Application to Purchasing Power Parity (RePEc:bes:jnlbes:v:10:y:1992:i:3:p:301-20)
by Perron, Pierre & Vogelsang, Timothy J - Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions (RePEc:bes:jnlbes:v:10:y:1992:i:4:p:467-70)
by Perron, Pierre & Vogelsang, Timothy J - Testing for Shifts in Trend With an Integrated or Stationary Noise Component (RePEc:bes:jnlbes:v:27:i:3:y:2009:p:369-396)
by Perron, Pierre & Yabu, Tomoyoshi - Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (RePEc:bes:jnlbes:v:28:i:2:y:2010:p:275-290)
by Perron, Pierre & Qu, Zhongjun - Testing for Multiple Structural Changes in Cointegrated Regression Models (RePEc:bes:jnlbes:v:28:i:4:y:2010:p:503-522)
by Kejriwal, Mohitosh & Perron, Pierre - Testing for a Unit Root in a Time Series with a Changing Mean (RePEc:bes:jnlbes:v:8:y:1990:i:2:p:153-62)
by Perron, Pierre - The Exact Error In Estimating The Spectral Density At The Origin (RePEc:bla:jtsera:v:17:y:1996:i:4:p:379-408)
by Serena Ng & Pierre Perron - Searching For Additive Outliers In Nonstationary Time Series (RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220)
by Pierre Perron & Gabriel Rodríguez - A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component (RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328)
by Mohitosh Kejriwal & Pierre Perron - Inference on a Structural Break in Trend with Fractionally Integrated Errors (RePEc:bla:jtsera:v:37:y:2016:i:4:p:555-574)
by Seong Yeon Chang & Pierre Perron - Improved Tests for Forecast Comparisons in the Presence of Instabilities (RePEc:bla:jtsera:v:37:y:2016:i:5:p:650-659)
by Luis Filipe Martins & Pierre Perron - Time Series Methods Applied to Climate Change (RePEc:bla:jtsera:v:38:y:2017:i:5:p:639-639)
by Pierre Perron & Eduardo Zorita & Pierre Perron & Eduardo Zorita - Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures (RePEc:bla:jtsera:v:38:y:2017:i:5:p:711-732)
by Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron - Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series (RePEc:bla:jtsera:v:41:y:2020:i:5:p:676-690)
by Mohitosh Kejriwal & Xuewen Yu & Pierre Perron - A two‐step procedure for testing partial parameter stability in cointegrated regression models (RePEc:bla:jtsera:v:43:y:2022:i:2:p:219-237)
by Mohitosh Kejriwal & Pierre Perron & Xuewen Yu - Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods (RePEc:bla:jtsera:v:43:y:2022:i:3:p:389-411)
by Pierre Perron & Yohei Yamamoto - A Note on the Selection of Time Series Models (RePEc:bla:obuest:v:67:y:2005:i:1:p:115-134)
by Serena Ng & Pierre Perron - Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component (RePEc:bla:obuest:v:79:y:2017:i:5:p:822-850)
by Pierre Perron & Mototsugu Shintani & Tomoyoshi Yabu - Level Shifts and Purchasing Power Parity (RePEc:boc:bocins:levshift)
by Perron, Pierre & Vogelsang, Timothy J. - Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power (RePEc:boc:bocoec:369)
by Serena Ng & Pierre Perron - A Note on the Selection of Time Series Models (RePEc:boc:bocoec:500)
by Serena Ng & Pierre Perron - Estimating and testing structural changes in multivariate regressions (RePEc:bos:wpaper:wp2005-012)
by Zhongjun Qu & Pierre Perron - Dealing with Structural Breaks (RePEc:bos:wpaper:wp2005-017)
by Pierre Perron - Testing for Shifts in Trend with an Integrated or Stationary Noise Component (RePEc:bos:wpaper:wp2005-026)
by Pierre Perron & Tomoyoshi Yabu - A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend (RePEc:bos:wpaper:wp2005-030)
by Ai Deng & Pierre Perron - Let’s Take a Break: Trends and Cycles in US Real GDP? (RePEc:bos:wpaper:wp2005-031)
by Pierre Perron† & Tatsuma Wada - Estimating Deterministric Trends with an Integrated or Stationary Noise Component (RePEc:bos:wpaper:wp2005-037)
by Pierre Perron & Tomoyoshi Yabu - The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions (RePEc:bos:wpaper:wp2005-046)
by Ai Deng & Pierre Perron - A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change (RePEc:bos:wpaper:wp2005-047)
by Ai Deng & Pierre Perron - An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data (RePEc:bos:wpaper:wp2005-43)
by Tatsuma Wada & Pierre Perron - An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data (RePEc:bos:wpaper:wp2005-44)
by Tatsuma Wada & Pierre Perron - The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions (RePEc:bos:wpaper:wp2006-004)
by Ai Deng & Pierre Perron - A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests (RePEc:bos:wpaper:wp2006-010)
by Pierre Perron & Zhongjun Qu - A Modified Information Criterion for Cointegration Tests based on a VAR Approximation (RePEc:bos:wpaper:wp2006-011)
by Zhongjun Qu & Pierre Perron - Estimating Deterministic Trends with an Integrated or Stationary Noise Component (RePEc:bos:wpaper:wp2006-012)
by Pierre Perron & Tomoyoshi Yabu - An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility (RePEc:bos:wpaper:wp2006-016)
by Pierre Perron & Zhongjun Qu - State Space Model with Mixtures of Normals: Specifications and Applications to International Data (RePEc:bos:wpaper:wp2006-029)
by Tatsuma Wada & Pierre Perron - Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression (RePEc:bos:wpaper:wp2006-035)
by Mohitosh Kejriwal & Pierre Perron - Testing for Multiple Structural Changes in Cointegrated Regression Models (RePEc:bos:wpaper:wp2006-051)
by Mohitosh Kejriwal & Pierre Perron - Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses (RePEc:bos:wpaper:wp2006-052)
by Mohitosh Kejriwal & Pierre Perron - Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope (RePEc:bos:wpaper:wp2006-063)
by Dukpa Kim & Pierre Perron - The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes (RePEc:bos:wpaper:wp2006-064)
by Mohitosh Kejriwal & Pierre Perron - Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression (RePEc:bos:wpaper:wp2007-018)
by Mohitosh Kejriwal & Pierre Perron - A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change (RePEc:bos:wpaper:wp2007-019)
by Ai Deng & Pierre Perron - Estimating Deterministic Trend with an Integrated or Stationary Noise Component (RePEc:bos:wpaper:wp2007-020)
by Pierre Perron & Tomoyoshi Yabu - Testing for Shifts in Trend with an Integrated or Stationary Noise Component (RePEc:bos:wpaper:wp2007-025)
by Pierre Perron & Tomoyoshi Yabu - An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts (RePEc:bos:wpaper:wp2007-044)
by Pierre Perron & Zhongjun Qu - Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (RePEc:bos:wpaper:wp2008-004)
by Pierre Perron & Zhongjun Qu - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:bos:wpaper:wp2008-006)
by Pierre Perron & Yohei Yamamoto - A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices (RePEc:bos:wpaper:wp2008-007)
by Zhongjun Qu & Pierre Perron - Testing for Breaks in Coefficients and Error Variance: Simulations and Applications (RePEc:bos:wpaper:wp2008-010)
by Jing Zhou & Pierre Perron - Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model (RePEc:bos:wpaper:wp2008-011)
by Pierre Perron & Jing Zhou - Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model (RePEc:bos:wpaper:wp2008-012)
by Yang K. Lu & Pierre Perron - Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors (RePEc:bos:wpaper:wp2008-017)
by Pierre Perron & Yohei Yamamoto - GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses (RePEc:bos:wpaper:wp2008-019)
by Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron - Testing for Multiple Structural Changes in Cointegrated Regression Models (RePEc:bos:wpaper:wp2008-020)
by Mohitosh Kejriwal & Pierre Perron - A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component (RePEc:bos:wpaper:wp2009-005)
by Mohitosh Kejriwal & Pierre Perron - Let’s Take a Break: Trends and Cycles in US Real GDP (RePEc:bos:wpaper:wp2009-006)
by Pierre Perron & Tatsuma Wada - Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends (RePEc:bos:wpaper:wp2010-048)
by Pierre Perron & Adam McCloskey - On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance (RePEc:bos:wpaper:wp2010-049)
by Pierre Perron & Linxia Ren - Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions (RePEc:bos:wpaper:wp2011-049)
by Pierre Perron & Yohei Yamamoto - Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns (RePEc:bos:wpaper:wp2011-050)
by Pierre Perron & Rasmus T. Varneskov - A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4 (RePEc:bos:wpaper:wp2011-051)
by Pierre Perron & Francisco Estrada & Carlos Gay-García & Benjamín Martínez-López - Testing for Trend in the Presence of Autoregressive Error: A Comment (RePEc:bos:wpaper:wp2011-052)
by Pierre Perron & Tomoyoshi Yabu - Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors (RePEc:bos:wpaper:wp2011-053)
by Pierre Perron & Yohei Yamamoto - A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS (RePEc:bos:wpaper:wp2011-054)
by Pierre Perron & Yohei Yamamoto - Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices (RePEc:bos:wpaper:wp2011-055)
by Pierre Perron & Sungju Chun & Cosme Vodounou - Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run (RePEc:bos:wpaper:wp2011-056)
by Pierre Perron & Sungju Chun - Testing for Common Breaks in a Multiple Equations System (RePEc:bos:wpaper:wp2011-057)
by Pierre Perron & Tatsushi Oka - Statistical evidence about human influence on the climate system (RePEc:bos:wpaper:wp2012-012)
by Pierre Perron & Francisco Estrada & Benjamín Martínez-López - Breaks, trends and the attribution of climate change: a time-series analysis (RePEc:bos:wpaper:wp2012-013)
by Pierre Perron & Francisco Estrada - Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations (RePEc:bos:wpaper:wp2013-006)
by Jiawen Xu & Pierre Perron - Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends (RePEc:bos:wpaper:wp2013-010)
by Ye Li & Pierre Perron - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:bos:wpaper:wp2013-012)
by Pierre Perron & Yohei Yamamoto - Detection and attribution of climate change through econometric methods (RePEc:bos:wpaper:wp2013-015)
by Francisco Estrada & Pierre Perron - Single-equation tests for Cointegration with GLS Detrended Data (RePEc:bos:wpaper:wp2013-016)
by Gabriel Rodriguez & Pierre Perron - Statistically-derived contributions of diverse human influences to 20th century temperature changes (RePEc:bos:wpaper:wp2013-017)
by Francisco Estrada & Pierre Perron & Benjamin Martinez-Lopez - Inference on a Structural Break in Trend with Fractionally Integrated Errors (RePEc:bos:wpaper:wp2013-020)
by Seongyeon Chang & Pierre Perron - Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion (RePEc:bos:wpaper:wp2013-021)
by Jiawen Xu & Pierre Perron - A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models (RePEc:bos:wpaper:wp2013-023)
by Seongyeon Chang & Pierre Perron - Improved Tests for Forecast Comparisons in the Presence of Instabilities (RePEc:bos:wpaper:wp2014-003)
by Luis Filipe Martins & Pierre Perron - Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data (RePEc:bos:wpaper:wp2014-004)
by Tatsuma Wada & Pierre Perron - Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models (RePEc:bos:wpaper:wp2014-009)
by Pierre Perron & Wendong Shi - A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models (RePEc:bos:wpaper:wp2015-010)
by Seong Yeon Chang & Pierre Perron - Inference on a Structural Break in Trend with Fractionally Integrated Errors (RePEc:bos:wpaper:wp2015-011)
by Seong Yeon Chang & Pierre Perron - Forecasting in the presence of in and out of sample breaks (RePEc:bos:wpaper:wp2015-012)
by Jiawen Xu & Pierre Perron - Inference on Locally Ordered Breaks in Multiple Regressions (RePEc:bos:wpaper:wp2015-013)
by Ye Li & Pierre Perron - Improved Tests for Forecast Comparisons in the Presence of Instabilities (RePEc:bos:wpaper:wp2015-014)
by Luis Filipe Martins & Pierre Perron - Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns (RePEc:bos:wpaper:wp2015-015)
by Rasmus T. Varneskov & Pierre Perron - Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data (RePEc:bos:wpaper:wp2015-016)
by Pierre Perron & Tatsuma Wada - Residuals-based Tests for Cointegration with GLS Detrended Data (RePEc:bos:wpaper:wp2015-017)
by Pierre Perron & Gabriel RodrÃguez - Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component (RePEc:bos:wpaper:wp2015-018)
by Pierre Perron & Mototsugu Shintani & Tomoyoshi Yabu - Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns (RePEc:bos:wpaper:wp2017-005)
by Rasmus T. Varneskov & Pierre Perron - Extracting and analyzing the warming trend in global and hemispheric temperatures (RePEc:bos:wpaper:wp2017-008)
by Francisco Estrada & Pierre Perron - Characterizing and attributing the warming trend in sea and land surface temperatures (RePEc:bos:wpaper:wp2017-009)
by Francisco Estrada & Luis Filipe Martins & Pierre Perron - Forecasting in the presence of in and out of sample breaks (RePEc:bos:wpaper:wp2018-014)
by Jiawen Xu & Pierre Perron - Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures (RePEc:bos:wpaper:wp2018-015)
by Dukpa Kim & Tatsushi Oka & Francisco Estrada & Pierre Perron - Structural Breaks in Time Series (RePEc:bos:wpaper:wp2019-002)
by Alessandro Casini & Pierre Perron - Testing for Changes in Forecasting Performance (RePEc:bos:wpaper:wp2019-003)
by Pierre Perron & Yohei Yamamoto - Testing for Changes in Forecasting Performance (RePEc:bos:wpaper:wp2019-013)
by Pierre Perron & Yohei Yamamoto - The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence (RePEc:bos:wpaper:wp2020-008)
by Pierre Perron & Yohei Yamamoto - Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series (RePEc:bos:wpaper:wp2020-009)
by Mohitosh Kejriwal & Xuewen Yu & Pierre Perron - Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model (RePEc:bos:wpaper:wp2020-010)
by Pierre Perron & Yohei Yamamoto & Jing Zhou - A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models (RePEc:bos:wpaper:wp2020-011)
by Mohitosh Kejriwal & Pierre Perron & Xuewen Yu - Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise (RePEc:bos:wpaper:wp2020-012)
by Pierre Perron & Mototsugu Shintaniz & Tomoyoshi Yabu - Continuous Record Asymptotics for Change-Point Models (RePEc:bos:wpaper:wp2020-013)
by Alessandro Casini & Pierre Perron - Continuous Record Laplace-based Inference about the Break Date in Structural Change Models (RePEc:bos:wpaper:wp2020-014)
by Alessandro Casini & Pierre Perron - Generalized Laplace Inference in Multiple Change-Points Models (RePEc:bos:wpaper:wp2020-015)
by Alessandro Casini & Pierre Perron - On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance (RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:1)
by Perron Pierre & Ren Linxia - Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends (RePEc:bro:econwp:2012-15)
by Adam McCloskey & Pierre Perron - An Analysis of the Real Interest Rate Under Regime Shifts (RePEc:cir:cirwor:95s-05)
by René Garcia & Pierre Perron - PPP May not Hold Afterall: A Further Investigation (RePEc:cuf:journl:y:2002:v:3:i:1:p:43-64)
by Serena Ng & Pierre Perron - PPP May not Hold Afterall: A Further Investigation (RePEc:cuf:wpaper:83)
by Serena Ng & Pierre Perron - An Autoregressive Spectral Density Estimator At Frequency Zero For Nonstationarity Tests (RePEc:cup:etheor:v:14:y:1998:i:05:p:560-603_14)
by Perron, Pierre & Ng, Serena - The Variance Ratio Test: An Analysis Of Size And Power Based On A Continuous-Time Asymptotic Framework (RePEc:cup:etheor:v:21:y:2005:i:03:p:562-592_05)
by Perron, Pierre & Vodounou, Cosme - A Modified Information Criterion For Cointegration Tests Based On A Var Approximation (RePEc:cup:etheor:v:23:y:2007:i:04:p:638-685_07)
by Qu, Zhongjun & Perron, Pierre - The Limit Distribution Of The Cusum Of Squares Test Under General Mixing Conditions (RePEc:cup:etheor:v:24:y:2008:i:03:p:809-822_08)
by Deng, Ai & Perron, Pierre - Data Dependent Rules For Selection Of The Number Of Leads And Lags In The Dynamic Ols Cointegrating Regression (RePEc:cup:etheor:v:24:y:2008:i:05:p:1425-1441_08)
by Kejriwal, Mohitosh & Perron, Pierre - Gls-Based Unit Root Tests With Multiple Structural Breaks Under Both The Null And The Alternative Hypotheses (RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99)
by Carrion-i-Silvestre, Josep Lluís & Kim, Dukpa & Perron, Pierre - Wald Tests For Detecting Multiple Structural Changes In Persistence (RePEc:cup:etheor:v:29:y:2013:i:02:p:289-323_00)
by Kejriwal, Mohitosh & Perron, Pierre & Zhou, Jing - Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends (RePEc:cup:etheor:v:29:y:2013:i:06:p:1196-1237_00)
by Mccloskey, Adam & Perron, Pierre - A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls (RePEc:cup:etheor:v:30:y:2014:i:02:p:491-507_00)
by Perron, Pierre & Yamamoto, Yohei - Generalized Laplace Inference In Multiple Change-Points Models (RePEc:cup:etheor:v:38:y:2022:i:1:p:35-65_2)
by Casini, Alessandro & Perron, Pierre - The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model (RePEc:cup:etheor:v:5:y:1989:i:02:p:241-255_01)
by Perron, Pierre - A Continuous Time Approximation to the Stationary First-Order Autoregressive Model (RePEc:cup:etheor:v:7:y:1991:i:02:p:236-252_00)
by Perron, Pierre - Test Consistency with Varying Sampling Frequency (RePEc:cup:etheor:v:7:y:1991:i:03:p:341-368_00)
by Perron, Pierre - Testing the Random Walk Hypothesis: Power Versus Frequency of Observation (RePEc:cwl:cwldpp:732)
by Pierre Perron & Robert J. Shiller - Testing for a Unit Root in Time Series Regression (RePEc:cwl:cwldpp:795r)
by Peter C.B. Phillips & Pierre Perron - The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (RePEc:ecm:emetrp:v:57:y:1989:i:6:p:1361-1401)
by Perron, Pierre - A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept (RePEc:ecm:emetrp:v:59:y:1991:i:1:p:211-36)
by Perron, Pierre - Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis] (RePEc:ecm:emetrp:v:61:y:1993:i:1:p:248-49)
by Perron, P - Estimating and Testing Linear Models with Multiple Structural Changes (RePEc:ecm:emetrp:v:66:y:1998:i:1:p:47-78)
by Jushan Bai & Pierre Perron - LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (RePEc:ecm:emetrp:v:69:y:2001:i:6:p:1519-1554)
by Serena Ng & Pierre Perron - Estimating and Testing Structural Changes in Multivariate Regressions (RePEc:ecm:emetrp:v:75:y:2007:i:2:p:459-502)
by Zhongjun Qu & Pierre Perron - Econometrics Journal (RePEc:ect:emjrnl)
from Royal Economic Society as editor - Asymptotic approximations in the near-integrated model with a non-zero initial condition (RePEc:ect:emjrnl:v:4:y:2001:i:1:p:42)
by Pierre Perron & Cosme Vodounou - Critical values for multiple structural change tests (RePEc:ect:emjrnl:v:6:y:2003:i:1:p:72-78)
by Jushan Bai & Pierre Perron - A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend (RePEc:ect:emjrnl:v:9:y:2006:i:3:p:423-447)
by Ai Deng & Pierre Perron - Trends and random walks in macroeconomic time series : Further evidence from a new approach (RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:297-332)
by Perron, Pierre - A note on estimating a structural change in persistence (RePEc:eee:ecolet:v:117:y:2012:i:3:p:932-935)
by Kejriwal, Mohitosh & Perron, Pierre - Testing the random walk hypothesis : Power versus frequency of observation (RePEc:eee:ecolet:v:18:y:1985:i:4:p:381-386)
by Shiller, Robert J. & Perron, Pierre - Does GNP have a unit root? : A re-evaluation (RePEc:eee:ecolet:v:23:y:1987:i:2:p:139-145)
by Perron, Pierre & Phillips, Peter C. B. - A look at the quality of the approximation of the functional central limit theorem (RePEc:eee:ecolet:v:68:y:2000:i:3:p:225-234)
by Perron, Pierre & Mallet, Sylvie - A simple modification to improve the finite sample properties of Ng and Perron's unit root tests (RePEc:eee:ecolet:v:94:y:2007:i:1:p:12-19)
by Perron, Pierre & Qu, Zhongjun - GLS detrending, efficient unit root tests and structural change (RePEc:eee:econom:v:115:y:2003:i:1:p:1-27)
by Perron, Pierre & Rodriguez, Gabriel - Structural breaks with deterministic and stochastic trends (RePEc:eee:econom:v:129:y:2005:i:1-2:p:65-119)
by Perron, Pierre & Zhu, Xiaokang - Estimating restricted structural change models (RePEc:eee:econom:v:134:y:2006:i:2:p:373-399)
by Perron, Pierre & Qu, Zhongjun - A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change (RePEc:eee:econom:v:142:y:2008:i:1:p:212-240)
by Deng, Ai & Perron, Pierre - The limit distribution of the estimates in cointegrated regression models with multiple structural changes (RePEc:eee:econom:v:146:y:2008:i:1:p:59-73)
by Kejriwal, Mohitosh & Perron, Pierre - Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses (RePEc:eee:econom:v:148:y:2009:i:1:p:1-13)
by Kim, Dukpa & Perron, Pierre - Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope (RePEc:eee:econom:v:149:y:2009:i:1:p:26-51)
by Kim, Dukpa & Perron, Pierre - Estimating deterministic trends with an integrated or stationary noise component (RePEc:eee:econom:v:151:y:2009:i:1:p:56-69)
by Perron, Pierre & Yabu, Tomoyoshi - Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (RePEc:eee:econom:v:182:y:2014:i:2:p:309-328)
by Hou, Jie & Perron, Pierre - Testing for common breaks in a multiple equations system (RePEc:eee:econom:v:204:y:2018:i:1:p:66-85)
by Oka, Tatsushi & Perron, Pierre - Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures (RePEc:eee:econom:v:214:y:2020:i:1:p:130-152)
by Kim, Dukpa & Oka, Tatsushi & Estrada, Francisco & Perron, Pierre - Continuous record Laplace-based inference about the break date in structural change models (RePEc:eee:econom:v:224:y:2021:i:1:p:3-21)
by Casini, Alessandro & Perron, Pierre - The effect of seasonal adjustment filters on tests for a unit root (RePEc:eee:econom:v:55:y:1993:i:1-2:p:57-98)
by Ghysels, Eric & Perron, Pierre - Local asymptotic distribution related to the AR(1) model with dependent errors (RePEc:eee:econom:v:62:y:1994:i:2:p:229-264)
by Nabeya, Seiji & Perron, Pierre - The effect of linear filters on dynamic time series with structural change (RePEc:eee:econom:v:70:y:1996:i:1:p:69-97)
by Ghysels, Eric & Perron, Pierre - The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors (RePEc:eee:econom:v:70:y:1996:i:2:p:317-350)
by Perron, Pierre - Estimation and inference in nearly unbalanced nearly cointegrated systems (RePEc:eee:econom:v:79:y:1997:i:1:p:53-81)
by Ng, Serena & Perron, Pierre - Further evidence on breaking trend functions in macroeconomic variables (RePEc:eee:econom:v:80:y:1997:i:2:p:355-385)
by Perron, Pierre - Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework (RePEc:eee:empfin:v:11:y:2004:i:2:p:203-230)
by Perron, Pierre & Vodounou, Cosme - Modeling and forecasting stock return volatility using a random level shift model (RePEc:eee:empfin:v:17:y:2010:i:1:p:138-156)
by Lu, Yang K. & Perron, Pierre - Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices (RePEc:eee:empfin:v:20:y:2013:i:c:p:42-62)
by Perron, Pierre & Chun, Sungju & Vodounou, Cosme - Forecasting return volatility: Level shifts with varying jump probability and mean reversion (RePEc:eee:intfor:v:30:y:2014:i:3:p:449-463)
by Xu, Jiawen & Perron, Pierre - Let's take a break: Trends and cycles in US real GDP (RePEc:eee:moneco:v:56:y:2009:i:6:p:749-765)
by Perron, Pierre & Wada, Tatsuma - Measuring business cycles with structural breaks and outliers: Applications to international data (RePEc:eee:reecon:v:70:y:2016:i:2:p:281-303)
by Perron, Pierre & Wada, Tatsuma - Testing For A Random Walk: A Simulation Experiment Of Power When The Simpling Interval Is Varied (RePEc:fth:prinem:336)
by Perron,P. - A Continuous Time Approximation To The Unstable First- Order Autoregressive Process: The Case Without An Intercept (RePEc:fth:prinem:337)
by Perron,P. - The Great Crash, The Oil Price Shock And The Unit Root Hypothesis (RePEc:fth:prinem:338)
by Perron, P - Test Consistency With Varying Sampling Frequency (RePEc:fth:prinem:345)
by Perron, P. - Testing For A Unit Root In A Time Series With A Changing Mean (RePEc:fth:prinem:347)
by Perron, P. - The Adequacy Of Limiting Distributions In The Ar(1) Model With Dependent Errors (RePEc:fth:prinem:349)
by Perron, P. - Further Evidence On Breaking Trend Functions In Macroeconomics Variables (RePEc:fth:prinem:350)
by Perron, P. - An Anlysis Of The Real Interest Rate Under Regime Shifts (RePEc:fth:prinem:353)
by Garcia, R. & Perron, P. - The Limiting Distribution Of The Least Squares Estimator In Nearly Integrated Seasonal Models (RePEc:fth:prinem:354)
by Perron, P. - The Effect Of Seasonal Adjustment Filters On Tests For A Unit Root (RePEc:fth:prinem:355)
by Ghysels, E. & Perron, P. - Nonstationary and Level Shifts With An Application To Purchasing Power Parity (RePEc:fth:prinem:359)
by Vogelsang, T.I. & Perron, P. - Pitfalls and Opportunities: What Macroeconomics should know about unit roots (RePEc:fth:prinem:360)
by Campbell, J.Y. & Perron, P. - Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors (RePEc:fth:prinem:362)
by Nabeya, S. & Perron, P. - A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series (RePEc:fth:prinem:363)
by Perron, P. - Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses (RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211)
by Seong Yeon Chang & Pierre Perron - Unit Roots and Structural Breaks (RePEc:gam:jecnmx:v:5:y:2017:i:2:p:22-:d:100001)
by Pierre Perron - Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model (RePEc:gam:jecnmx:v:7:y:2019:i:2:p:22-:d:233056)
by Pierre Perron & Yohei Yamamoto - Temporal Aggregation and Long Memory for Asset Price Volatility (RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:182-:d:399544)
by Pierre Perron & Wendong Shi - Testing for Changes in Forecasting Performance (RePEc:hit:econdp:2018-03)
by PERRON, Pierre & YAMAMOTO, Yohei & 山本, 庸平 - Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model (RePEc:hit:econdp:2019-01)
by Perron, Pierre & Yamamoto, Yohei & 山本, 庸平 - Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model (RePEc:hit:hiasdp:hias-e-85)
by Perron, Pierre & Yamamoto, Yohei & 山本, 庸平 & Zhou, Jing - The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence (RePEc:hit:hiasdp:hias-e-90)
by Perron, Pierre & Yamamoto, Yohei & 山本, 庸平 - Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (RePEc:hrv:faseco:3374863)
by Campbell, John & Perron, Pierre - Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions (RePEc:hst:ghsdps:gd12-250)
by Yohei Yamamoto & Pierre Perron - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:hst:ghsdps:gd12-258)
by Pierre Perron & Yohei Yamamoto - Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time (RePEc:ier:iecrev:v:39:y:1998:i:4:p:1073-1100)
by Vogelsang, Timothy J & Perron, Pierre - Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data (RePEc:jae:japmet:v:14:y:1999:i:1:p:27-56)
by Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre - Computation and analysis of multiple structural change models (RePEc:jae:japmet:v:18:y:2003:i:1:p:1-22)
by Jushan Bai & Pierre Perron - PPP May not Hold After all: A Further Investigation (RePEc:jhu:papers:466)
by Serena Ng & Pierre Perron - Testing for Trend in the Presence of Autoregressive Error: A Comment (RePEc:kei:dpaper:2011-024)
by Pierre Perron & Tomoyoshi Yabu - Estimating & Testing Linear Models with Multiple Structural Changes (RePEc:mit:worpap:95-17)
by Jushan Bai & Pierre Perron - Testing for common breaks in a multiple equations system (RePEc:msh:ebswps:2018-3)
by Tatsushi Oka & Pierre Perron - Methodology in Economics: the Logic of Appraisal (RePEc:mtl:montde:8557)
by Perron, P. - Tests of Joint Hypotheses for Time Series Regression with a Unit Root (RePEc:mtl:montde:8632)
by Perron, P. - Does Gnp Have a Unit Root? a Reevaluation (RePEc:mtl:montde:8640)
by Perron, P. & Phillips, P.C.B. - Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach (RePEc:mtl:montde:8650)
by Perron, P. - The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model (RePEc:mtl:montde:8748)
by Perron, P. - The Great Crash, the Oil Prices and the Unit Root Hypothesis (RePEc:mtl:montde:8749)
by Perron, P. - Test Consistency with Varying Sampling Frequency (RePEc:mtl:montde:8752)
by Perron, P. - The Effect of Seasonal Adjustment Filters on Test for Unit Root (RePEc:mtl:montde:9037)
by Ghysels, E. & Perron, P. - An analysis of Real Interest Rate Under Regime Shifts (RePEc:mtl:montde:9125)
by Garcia, R. & Perron, P. - Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors (RePEc:mtl:montde:9420)
by Nabeya, S. & Perron, P. - Further Evidence on Breaking Trend Functions in Macroeconomic Variables (RePEc:mtl:montde:9421)
by Perron, P. - Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time (RePEc:mtl:montde:9422)
by Vogelsang, T.J. & Perron, P. - Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag (RePEc:mtl:montde:9423)
by Ng, S. & Perron, P. - The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors (RePEc:mtl:montde:9424)
by Perron, P. - The Effect of Linear Filters on Dynamic Time series with Structural Change (RePEc:mtl:montde:9425)
by Perron, P. & Ghysels, E. - Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties (RePEc:mtl:montde:9427)
by Perron, P. & Ng, S. - An Analysis of the Real Interest rate Under Regime Shifts (RePEc:mtl:montde:9428)
by Garcia, R. & Perron, P. - Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems (RePEc:mtl:montde:9534)
by Ng, S. & Perron, P. - The Exact Error in Estimating the Special Density at the Origin (RePEc:mtl:montde:9535)
by Ng, S. & Perron, P. - Estimating and Testing Linear Models with Multiple Structural Changes (RePEc:mtl:montde:9552)
by Perron, P. & Bai, J. - An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests (RePEc:mtl:montde:9611)
by Perron, P. & Ng, S. - Computation and Analysis of Multiple Structural-Change Models (RePEc:mtl:montde:9807)
by BAI, Jushan & PERRON, Pierre - GLS Detrending, Efficient Unit Root Tests and Structural Change (RePEc:mtl:montde:9809)
by PERRON, Pierre & RODRIGUEZ, Gabriel - Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition (RePEc:mtl:montde:9815)
by PERRON, Pierre & VODOUNOU, Cosme - Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices (RePEc:mtl:montde:9816)
by PERRON, Pierre & VODOUNOU, Cosme - The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation (RePEc:mtl:montde:9817)
by PERRON, Pierre & MALLET, Sylvie - The Effect Of Seasonal Adjustment Filters On Test For Unit Root (RePEc:mtl:montec:9037)
by Ghysels, E. & Perron, P. - An analysis of Real Interest Rate Under Regime Shifts (RePEc:mtl:montec:9125)
by Garcia, R. & Perron, P. - Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors (RePEc:mtl:montec:9420)
by Nabeya, S. & Perron, P. - Further Evidence on Breaking Trend Functions in Macroeconomic Variables (RePEc:mtl:montec:9421)
by Perron, P. - Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time (RePEc:mtl:montec:9422)
by Vogelsang, T.J. & Perron, P. - Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag (RePEc:mtl:montec:9423)
by Ng, S. & Perron, P. - The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors (RePEc:mtl:montec:9424)
by Perron, P. - The Effect of Linear Filters on Dynamic Time series with Structural Change (RePEc:mtl:montec:9425)
by Perron, P. & Ghysels, E. - Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties (RePEc:mtl:montec:9427)
by Perron, P. & Ng, S. - An Analysis of the Real Interest rate Under Regime Shifts (RePEc:mtl:montec:9428)
by Garcia, R. & Perron, P. - Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems (RePEc:mtl:montec:9534)
by Ng, S. & Perron, P. - The Exact Error in Estimating the Special Density at the Origin (RePEc:mtl:montec:9535)
by Ng, S. & Perron, P. - Estimating and Testing Linear Models with Multiple Structural Changes (RePEc:mtl:montec:9552)
by Perron, P. & Bai, J. - An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests (RePEc:mtl:montec:9611)
by Perron, P. & Ng, S. - Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (RePEc:nbr:nberch:10983)
by John Y. Campbell & Pierre Perron - Testing the Random Walk Hypothesis: Power versus Frequency of Observation (RePEc:nbr:nberte:0045)
by Robert J. Shiller & Pierre Perron - Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots (RePEc:nbr:nberte:0100)
by John Y. Campbell & Pierre Perron - Residual Based Tests for Cointegration with GLS Detrended Data (RePEc:ott:wpaper:0004e)
by Perron, P. & Rodriguez, G. - Seraching for Additive Outliers in Nonstationary Time Series (RePEc:ott:wpaper:0005e)
by Perron, P. & Rodriguez, G. - Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties (RePEc:oup:restud:v:63:y:1996:i:3:p:435-463.)
by Pierre Perron & Serena Ng - Trend, Unit Root and Structural Change in Macroeconomic Time Series (RePEc:pal:palchp:978-1-349-23529-2_4)
by Pierre Perron - GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural (RePEc:pcp:pucrev:y:2012:i:69:p:174-203)
by Pierre Perron & Gabriel Rodríguez - Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis (RePEc:pcp:pucrev:y:2019:i:83:p:1-31)
by Francisco Estrada & Pierre Perron - Residual test for cointegration with GLS detrended data (RePEc:pcp:pucwps:wp00327)
by Pierre Perron & Gabriel Rodriguez - A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report (RePEc:plo:pone00:0060017)
by Francisco Estrada & Pierre Perron & Carlos Gay-García & Benjamín Martínez-López - Testing for Multiple Structural Changes in Cointegrated Regression Models (RePEc:pur:prukra:1216)
by Mohitosh Kejriwal & Pierre Perron - A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component (RePEc:pur:prukra:1217)
by Mohitosh Kejriwal & Pierre Perron - Wald Tests for Detecting Multiple Structural Changes in Persistence (RePEc:pur:prukra:1223)
by Mohitosh Kejriwal & Pierre Perron & Jing Zhou - Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data (RePEc:rio:texdis:349)
by Pierre Perron & Regina Cati & Marcio Gomes Pinto Garcia - L'estimation de modèles avec changements structurels multiples (RePEc:ris:actuec:0239)
by Perron, Pierre - Racines unitaires en macroéconomie : le cas d’une variable (RePEc:ris:actuec:v:68:y:1992:i:1:p:325-356)
by Perron, Pierre - L’estimation de modèles avec changements structurels multiples (RePEc:ris:actuec:v:73:y:1997:i:1:p:457-505)
by Perron, Pierre - A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks (RePEc:sbe:breart:v:13:y:1993:i:2:a:2981)
by Perron, Pierre & Vogelsang, Timothy J. - Trend and Cycles: A New Approach and Explanations of Some Old Puzzles (RePEc:sce:scecf5:252)
by Tatsuma Wada & Pierre Perron - The HUMP-Shaped Behavior of Macroeconomic Fluctuations (RePEc:spr:empeco:v:18:y:1993:i:4:p:707-27)
by Perron, Pierre - A Note on Johansen's Cointegration Procedure When Trends Are Present (RePEc:spr:empeco:v:18:y:1993:i:4:p:777-89)
by Perron, Pierre & Campbell, John Y - The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence (RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02047-x)
by Pierre Perron & Yohei Yamamoto - Forecasting in the presence of in-sample and out-of-sample breaks (RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02346-x)
by Jiawen Xu & Pierre Perron - Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run (RePEc:taf:applec:v:45:y:2013:i:24:p:3512-3528)
by Sungju Chun & Pierre Perron - Modelling exchange rate volatility with random level shifts (RePEc:taf:applec:v:49:y:2017:i:26:p:2579-2589)
by Ye Li & Pierre Perron & Jiawen Xu - Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1) (RePEc:taf:emetrv:v:22:y:2003:i:3:p:239-245)
by Pierre Perron - On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (RePEc:taf:emetrv:v:35:y:2016:i:5:p:782-844)
by Pierre Perron & Yohei Yamamoto - Inference on locally ordered breaks in multiple regressions (RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:289-353)
by Ye Li & Pierre Perron - A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models (RePEc:taf:emetrv:v:37:y:2018:i:6:p:577-601)
by Seong Yeon Chang & Pierre Perron - Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings (RePEc:taf:emetrv:v:42:y:2023:i:3:p:281-306)
by Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron - Testing for Trend in the Presence of Autoregressive Error: A Comment (RePEc:taf:jnlasa:v:107:y:2012:i:498:p:844-844)
by Pierre Perron & Tomoyoshi Yabu - Testing for Changes in Forecasting Performance (RePEc:taf:jnlbes:v:39:y:2021:i:1:p:148-165)
by Pierre Perron & Yohei Yamamoto - Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (RePEc:taf:quantf:v:18:y:2018:i:3:p:371-393)
by Rasmus T. Varneskov & Pierre Perron - Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits (RePEc:tpr:restat:v:106:y:2024:i:2:p:521-541)
by Zhongjun Qu & Jungmo Yoon & Pierre Perron - An Analysis of the Real Interest Rate under Regime Shifts (RePEc:tpr:restat:v:78:y:1996:i:1:p:111-25)
by Garcia, Rene & Perron, Pierre - Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component (RePEc:van:wpaper:vuecon-sub-15-00001)
by Pierre Perron & Mototsugu Shintani & Tomoyoshi Yabu - Econometrics Journal (RePEc:wly:emjrnl)
from Royal Economic Society as editor - Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives (RePEc:wly:emjrnl:v:14:y:2011:i::p:ci-ciii)
by Pierre Perron & Richard J. Smith - A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices (RePEc:wly:emjrnl:v:16:y:2013:i:3:p:309-339)
by Zhongjun Qu & Pierre Perron - Estimating and testing multiple structural changes in linear models using band spectral regressions (RePEc:wly:emjrnl:v:16:y:2013:i:3:p:400-429)
by Yohei Yamamoto & Pierre Perron - Residuals‐based tests for cointegration with generalized least‐squares detrended data (RePEc:wly:emjrnl:v:19:y:2016:i:1:p:84-111)
by Pierre Perron & Gabriel Rodríguez - Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors (RePEc:wly:japmet:v:30:y:2015:i:1:p:119-144)
by Pierre Perron & Yohei Yamamoto - Testing jointly for structural changes in the error variance and coefficients of a linear regression model (RePEc:wly:quante:v:11:y:2020:i:3:p:1019-1057)
by Pierre Perron & Yohei Yamamoto & Jing Zhou