Details about Benoit Perron

Access statistics for papers by Benoit Perron.

Last updated 2009-02-22. Update your information in the RePEc Author Service.

Short-id: ppe27

Working Papers

2005

1. An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors
   IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
2. Incidental Trends and the Power of Panel Unit Root Tests
   IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
   Also in Yale School of Management Working Papers, Yale School of Management (2004)
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
   See also Journal Article in Journal of Econometrics (2007)

2004

3. The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model
   FMG Discussion Papers, Financial Markets Group
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1999) View citations

2003

4. Long memory and the relation between implied and realized volatility
   Econometrics, EconWPA View citations
   See also Journal Article in Journal of Financial Econometrics (2006)

2002

5. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off
   CIRANO Working Papers, CIRANO
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1999)
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
   See also Journal Article in The Review of Economics and Statistics (2003)
6. Testing for a Unit Root in Panels with Dynamic Factors
   Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
   Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2002) View citations
   See also Journal Article in Journal of Econometrics (2004)

2000

7. The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) View citations

1999

8. Jumps in the Volatility of Financial Markets
   Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations

1995

9. Ricardian Equivalence and the Permanent Income Hypothesis: An Empirical Investigation
   Working Papers-Department of Finance Canada, Department of Finance Canada

Journal Articles

2008

1. Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
   Econometrics Journal, 2008, 11, (1), 80-104 View citations
2. Long-run risk-return trade-offs
   Journal of Econometrics, 2008, 143, (2), 349-374 View citations

2007

3. An empirical analysis of nonstationarity in a panel of interest rates with factors
   Journal of Applied Econometrics, 2007, 22, (2), 383-400 View citations
4. Incidental trends and the power of panel unit root tests
   Journal of Econometrics, 2007, 141, (2), 416-459 View citations
   See also Working Paper (2005)

2006

5. Long Memory and the Relation Between Implied and Realized Volatility
   Journal of Financial Econometrics, 2006, 4, (4), 636-670 View citations
   See also Working Paper (2003)
6. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
   Econometric Theory, 2006, 22, (06), 1179-1190 View citations
7. Resampling methods in econometrics
   Journal of Econometrics, 2006, 133, (2), 411-419

2004

8. Testing for a unit root in panels with dynamic factors
   Journal of Econometrics, 2004, 122, (1), 81-126 View citations
   See also Working Paper (2002)

2003

9. Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff
   The Review of Economics and Statistics, 2003, 85, (2), 424-443
   See also Working Paper (2002)
10. The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model
    Journal of Business & Economic Statistics, 2003, 21, (3), 354-67 View citations