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Details about Benoit Perron

E-mail:
Homepage:http://www.benoitperron.com
Phone:514-343-2449
Postal address:Département de sciences économiques Université de Montréal C.P. 6128, succursale Centre-ville Montréal (Québec) Canada H3C 3J7
Workplace:Département de Sciences Économiques (Department of Economics), Université de Montréal (University of Montreal), (more information at EDIRC)
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (Center for Interuniversity Research in Quantitative Economics), (more information at EDIRC)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (Center for Interuniversity Research and Analysis on Organizations), (more information at EDIRC)

Access statistics for papers by Benoit Perron.

Last updated 2016-08-30. Update your information in the RePEc Author Service.

Short-id: ppe27


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Working Papers

2016

  1. Tests of Equal Accuracy for Nested Models with Estimated Factors
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)

2015

  1. Bootstrap inference in regressions with estimated factors and serial correlation
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  2. The scale of predictability
    CIRANO Working Papers, CIRANO Downloads
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) Downloads

2012

  1. Bootstrapping factor-augmented regression models
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article in Journal of Econometrics (2014)

2011

  1. Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
    CIRANO Working Papers, CIRANO Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2010) Downloads View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2010) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2012)
  2. Past Market Variance and Asset Prices
    CIRANO Working Papers, CIRANO Downloads

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)
  2. Incidental Trends and the Power of Panel Unit Root Tests
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (1)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (1)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (12)

    See also Journal Article in Journal of Econometrics (2007)

2004

  1. The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1999) Downloads View citations (2)

2003

  1. Long memory and the relation between implied and realized volatility
    Econometrics, EconWPA Downloads View citations (13)
    See also Journal Article in Journal of Financial Econometrics (2006)

2002

  1. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off
    CIRANO Working Papers, CIRANO Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1999) Downloads View citations (2)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads

    See also Journal Article in The Review of Economics and Statistics (2003)
  2. TESTING FOR A UNIT ROOT IN PANELS WITH DYNAMIC FACTORS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (37)

    See also Journal Article in Journal of Econometrics (2004)

2000

  1. The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) Downloads View citations (7)

1999

  1. Jumps in the Volatility of Financial Markets
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (3)

1995

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

Journal Articles

2015

  1. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 481-502 Downloads

2014

  1. Bootstrapping factor-augmented regression models
    Journal of Econometrics, 2014, 182, (1), 156-173 Downloads View citations (13)
    See also Working Paper (2012)
  2. PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS
    Econometric Theory, 2014, 30, (04), 882-893 Downloads
  3. Point‐optimal panel unit root tests with serially correlated errors
    Econometrics Journal, 2014, 17, (3), 338-372 Downloads View citations (1)

2012

  1. Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel
    Journal of Econometrics, 2012, 169, (1), 29-33 Downloads View citations (13)
    See also Working Paper (2011)

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 Downloads View citations (17)
  2. Long-run risk-return trade-offs
    Journal of Econometrics, 2008, 143, (2), 349-374 Downloads View citations (23)

2007

  1. An empirical analysis of nonstationarity in a panel of interest rates with factors
    Journal of Applied Econometrics, 2007, 22, (2), 383-400 Downloads View citations (25)
  2. Incidental trends and the power of panel unit root tests
    Journal of Econometrics, 2007, 141, (2), 416-459 Downloads View citations (34)
    See also Working Paper (2005)

2006

  1. Long Memory and the Relation Between Implied and Realized Volatility
    Journal of Financial Econometrics, 2006, 4, (4), 636-670 Downloads View citations (50)
    See also Working Paper (2003)
  2. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
    Econometric Theory, 2006, 22, (06), 1179-1190 Downloads View citations (8)
  3. Resampling methods in econometrics
    Journal of Econometrics, 2006, 133, (2), 411-419 Downloads

2005

  1. Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
    Econometric Reviews, 2005, 23, (4), 293-323 Downloads View citations (3)

2004

  1. Détection non paramétrique de sauts dans la volatilité des marchés financiers
    L'Actualité Economique, 2004, 80, (2), 229-251 Downloads
  2. Testing for a unit root in panels with dynamic factors
    Journal of Econometrics, 2004, 122, (1), 81-126 Downloads View citations (372)
    See also Working Paper (2002)

2003

  1. Relation entre le taux de change et les exportations nettes: test de la condition Marshall-Lerner pour le Canada
    L'Actualité Economique, 2003, 79, (4), 481-502 Downloads View citations (2)
  2. Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff
    The Review of Economics and Statistics, 2003, 85, (2), 424-443 Downloads View citations (2)
    See also Working Paper (2002)
  3. 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 (8)
 
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