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Details about Pierre Perron

E-mail:
Homepage:http://people.bu.edu/perron
Postal address:Department of Economics Boston University 270 Bay State Rd. Boston, MA, 02215 USA
Workplace:Department of Economics, Boston University, (more information at EDIRC)

Access statistics for papers by Pierre Perron.

Last updated 2017-06-06. Update your information in the RePEc Author Service.

Short-id: ppe32


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Working Papers

2015

  1. A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (1)
  2. Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (2)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011) View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (2)
  3. Forecasting in the presence of in and out of sample breaks
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  4. Improved Tests for Forecast Comparisons in the Presence of Instabilities
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2014) Downloads

    See also Journal Article in Journal of Time Series Analysis (2016)
  5. Inference on Locally Ordered Breaks in Multiple Regressions
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    See also Journal Article in Econometric Reviews (2017)
  6. Inference on a Structural Break in Trend with Fractionally Integrated Errors
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2013) Downloads

    See also Journal Article in Journal of Time Series Analysis (2016)
  7. Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2014) Downloads

    See also Journal Article in Research in Economics (2016)
  8. Residuals-based Tests for Cointegration with GLS Detrended Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in Working Papers, University of Ottawa, Department of Economics (2000) View citations (29)
  9. Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2015) Downloads

2014

  1. Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads

2013

  1. A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  2. Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    See also Journal Article in International Journal of Forecasting (2014)
  3. Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  4. Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  5. Single-equation tests for Cointegration with GLS Detrended Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  6. Statistically-derived contributions of diverse human influences to 20th century temperature changes
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (5)

2012

  1. Breaks, trends and the attribution of climate change: a time-series analysis
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (3)
  2. Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011)

    See also Journal Article in Econometrics Journal (2013)
  3. Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends
    Working Papers, Brown University, Department of Economics Downloads View citations (5)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2010) View citations (4)

    See also Journal Article in Econometric Theory (2013)
  4. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2008) View citations (2)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads

    See also Journal Article in Econometric Reviews (2016)
  5. Residual test for cointegration with GLS detrended data
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  6. Statistical evidence about human influence on the climate system
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (3)

2011

  1. 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, Boston University - Department of Economics View citations (3)
    See also Journal Article in Econometric Theory (2014)
  2. A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (8)
  3. 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, Boston University - Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2013)
  4. Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998) Downloads

    See also Journal Article in Journal of Empirical Finance (2013)
  5. Testing for Common Breaks in a Multiple Equations System
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (7)
  6. 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 Downloads
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011)

    See also Journal Article in Journal of the American Statistical Association (2012)
  7. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (10)
    See also Journal Article in Journal of Applied Econometrics (2015)

2010

  1. On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Journal of Time Series Econometrics (2011)

2009

  1. 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, Boston University - Department of Economics View citations (4)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (2009) Downloads View citations (8)

    See also Journal Article in Journal of Time Series Analysis (2010)
  2. Let’s Take a Break: Trends and Cycles in US Real GDP
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (28)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (7)

    See also Journal Article in Journal of Monetary Economics (2009)
  3. Wald Tests for Detecting Multiple Structural Changes in Persistence
    Purdue University Economics Working Papers, Purdue University, Department of Economics Downloads View citations (1)
    See also Journal Article in Econometric Theory (2013)

2008

  1. 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, Boston University - Department of Economics View citations (1)
  2. Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (7)
  3. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2010)
  4. Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
    See also Journal Article in Journal of Empirical Finance (2010)
  5. Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
  6. Testing for Breaks in Coefficients and Error Variance: Simulations and Applications
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)
  7. Testing for Multiple Structural Changes in Cointegrated Regression Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (19)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (17)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (2008) Downloads View citations (9)

    See also Journal Article in Journal of Business & Economic Statistics (2010)

2007

  1. 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, Boston University - Department of Economics View citations (1)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (1)

    See also Journal Article in Journal of Econometrics (2008)
  2. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (27)
  3. 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, Boston University - Department of Economics
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (4)
  4. Estimating Deterministic Trend with an Integrated or Stationary Noise Component
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (2)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (1)

    See also Journal Article in Journal of Econometrics (2009)
  5. 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, Boston University - Department of Economics View citations (12)
  6. Testing for Shifts in Trend with an Integrated or Stationary Noise Component
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (11)

    See also Journal Article in Journal of Business & Economic Statistics (2009)

2006

  1. A Modified Information Criterion for Cointegration Tests based on a VAR Approximation
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Econometric Theory (2007)
  2. 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, Boston University - Department of Economics
    See also Journal Article in Economics Letters (2007)
  3. 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, Boston University - Department of Economics View citations (5)
  4. 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, Boston University - Department of Economics
    See also Journal Article in Journal of Econometrics (2009)
  5. State Space Model with Mixtures of Normals: Specifications and Applications to International Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (11)
  6. The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
    See also Journal Article in Econometric Theory (2008)
  7. The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Journal of Econometrics (2008)
  8. 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, Boston University - Department of Economics View citations (1)
    See also Journal Article in Journal of Econometrics (2009)

2005

  1. A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article in Econometrics Journal (2006)
  2. 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, Boston University - Department of Economics View citations (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (3)
  3. Dealing with Structural Breaks
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (38)
  4. Estimating and testing structural changes in multivariate regressions
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
    See also Journal Article in Econometrica (2007)
  5. The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions*
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
  6. Trend and Cycles: A New Approach and Explanations of Some Old Puzzles
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (6)

2002

  1. PPP May not Hold Afterall: A Further Investigation
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (9)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (10)

    See also Journal Article in Annals of Economics and Finance (2002)

2001

  1. A Note on the Selection of Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)

2000

  1. Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (30)
    See also Journal Article in Econometrica (2001)
  2. Seraching for Additive Outliers in Nonstationary Time Series
    Working Papers, University of Ottawa, Department of Economics
    See also Journal Article in Journal of Time Series Analysis (2003)

1998

  1. Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    See also Journal Article in Econometrics Journal (2001)
  2. Computation and Analysis of Multiple Structural-Change Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (22)
    See also Journal Article in Journal of Applied Econometrics (2003)
  3. GLS Detrending, Efficient Unit Root Tests and Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2003)
  4. The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads

1996

  1. An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (1)

    See also Journal Article in Econometric Theory (1998)

1995

  1. An Analysis of the Real Interest Rate Under Regime Shifts
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (14)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (2)
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (1)

    See also Journal Article in The Review of Economics and Statistics (1996)
  2. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
  3. Estimating and Testing Linear Models with Multiple Structural Changes
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (11)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (44)

    See also Journal Article in Econometrica (1998)
  4. Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (2)

    See also Journal Article in Journal of Econometrics (1997)
  5. The Exact Error in Estimating the Special Density at the Origin
    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 (1995) Downloads View citations (1)
  6. Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

1994

  1. 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 Downloads View citations (11)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (8)

    See also Journal Article in International Economic Review (1998)
  2. Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994)
  3. Further Evidence on Breaking Trend Functions in Macroeconomic Variables
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (8)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (18)
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (13)

    See also Journal Article in Journal of Econometrics (1997)
  4. The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads

    See also Journal Article in Journal of Econometrics (1996)
  5. The Effect of Linear Filters on Dynamic Time series with Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994)

    See also Journal Article in Journal of Econometrics (1996)
  6. Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (119)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (7)
  7. Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (16)

    See also Journal Article in Review of Economic Studies (1996)

1991

  1. A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (11)
  2. An analysis of Real Interest Rate Under Regime Shifts
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (2)
  3. Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors
    Working Papers, Princeton, Department of Economics - Econometric Research Program
    See also Journal Article in Journal of Econometrics (1994)
  4. Nonstationary and Level Shifts With An Application To Purchasing Power Parity
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (22)
    See also Journal Article in Journal of Business & Economic Statistics (1992)
  5. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (188)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) Downloads View citations (689)
    Scholarly Articles, Harvard University Department of Economics (1991) Downloads View citations (658)

    See also Chapter (1991)

1990

  1. THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (1)
  2. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT
    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 (1990) View citations (2)
  3. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (3)
    See also Journal Article in Journal of Econometrics (1993)
  4. THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (1)

1989

  1. TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY
    Working Papers, Princeton, Department of Economics - Econometric Research Program
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1987) View citations (1)

    See also Journal Article in Econometric Theory (1991)
  2. TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (21)
    See also Journal Article in Journal of Business & Economic Statistics (1990)

1988

  1. A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (2)
    See also Journal Article in Econometrica (1991)
  2. TESTING FOR A RANDOM WALK: A SIMULATION EXPERIMENT OF POWER WHEN THE SIMPLING INTERVAL IS VARIED
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (7)
  3. THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (159)
    See also Journal Article in Econometrica (1989)

1987

  1. Testing for a Unit Root in Time Series Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (432)
  2. 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 View citations (4)
    See also Journal Article in Econometric Theory (1989)
  3. The Great Crash, the Oil Prices and the Unit Root Hypothesis
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (11)

1986

  1. Does Gnp Have a Unit Root? a Reevaluation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    See also Journal Article in Economics Letters (1987)
  2. Tests of Joint Hypotheses for Time Series Regression with a Unit Root
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (1)
  3. Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (1988)

1985

  1. Methodology in Economics: the Logic of Appraisal
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
  2. Testing the Random Walk Hypothesis: Power versus Frequency of Observation
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (164)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1984) Downloads View citations (31)

    See also Journal Article in Economics Letters (1985)

Undated

  1. Detection and attribution of climate change through econometric methods
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (4)

Journal Articles

2017

  1. Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses
    Econometrics, 2017, 5, (1), 1-26 Downloads
  2. Inference on locally ordered breaks in multiple regressions
    Econometric Reviews, 2017, 36, (1-3), 289-353 Downloads
    See also Working Paper (2015)

2016

  1. Improved Tests for Forecast Comparisons in the Presence of Instabilities
    Journal of Time Series Analysis, 2016, 37, (5), 650-659 Downloads
    See also Working Paper (2015)
  2. Inference on a Structural Break in Trend with Fractionally Integrated Errors
    Journal of Time Series Analysis, 2016, 37, (4), 555-574 Downloads View citations (1)
    See also Working Paper (2015)
  3. Measuring business cycles with structural breaks and outliers: Applications to international data
    Research in Economics, 2016, 70, (2), 281-303 Downloads View citations (1)
    See also Working Paper (2015)
  4. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
    Econometric Reviews, 2016, 35, (5), 782-844 Downloads
    See also Working Paper (2012)
  5. Residuals‐based tests for cointegration with generalized least‐squares detrended data
    Econometrics Journal, 2016, 19, (1), 84-111 Downloads

2015

  1. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
    Journal of Applied Econometrics, 2015, 30, (1), 119-144 Downloads View citations (2)
    See also Working Paper (2011)

2014

  1. A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
    Econometric Theory, 2014, 30, (02), 491-507 Downloads View citations (4)
    See also Working Paper (2011)
  2. Forecasting return volatility: Level shifts with varying jump probability and mean reversion
    International Journal of Forecasting, 2014, 30, (3), 449-463 Downloads View citations (9)
    See also Working Paper (2013)
  3. Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
    Journal of Econometrics, 2014, 182, (2), 309-328 Downloads View citations (7)

2013

  1. A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
    Econometrics Journal, 2013, 16, (3), 309-339 Downloads View citations (11)
  2. Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run
    Applied Economics, 2013, 45, (24), 3512-3528 Downloads View citations (1)
    See also Working Paper (2011)
  3. Estimating and testing multiple structural changes in linear models using band spectral regressions
    Econometrics Journal, 2013, 16, (3), 400-429 Downloads View citations (3)
    See also Working Paper (2012)
  4. MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
    Econometric Theory, 2013, 29, (06), 1196-1237 Downloads View citations (11)
    See also Working Paper (2012)
  5. Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
    Journal of Empirical Finance, 2013, 20, (C), 42-62 Downloads View citations (1)
    See also Working Paper (2011)
  6. WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
    Econometric Theory, 2013, 29, (02), 289-323 Downloads View citations (6)
    See also Working Paper (2009)

2012

  1. A note on estimating a structural change in persistence
    Economics Letters, 2012, 117, (3), 932-935 Downloads
  2. GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural
    Revista Economía, 2012, 35, (69), 174-203 Downloads View citations (1)
  3. Testing for Trend in the Presence of Autoregressive Error: A Comment
    Journal of the American Statistical Association, 2012, 107, (498), 844-844 Downloads View citations (3)
    See also Working Paper (2011)

2011

  1. On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
    Journal of Time Series Econometrics, 2011, 3, (3), 1-34 Downloads View citations (1)
    See also Working Paper (2010)
  2. Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives
    Econometrics Journal, 2011, 14, Ci-Ciii Downloads

2010

  1. A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
    Journal of Time Series Analysis, 2010, 31, (5), 305-328 Downloads View citations (43)
    See also Working Paper (2009)
  2. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
    Journal of Business & Economic Statistics, 2010, 28, (2), 275-290 Downloads View citations (76)
    See also Working Paper (2008)
  3. Modeling and forecasting stock return volatility using a random level shift model
    Journal of Empirical Finance, 2010, 17, (1), 138-156 Downloads View citations (30)
    See also Working Paper (2008)
  4. Testing for Multiple Structural Changes in Cointegrated Regression Models
    Journal of Business & Economic Statistics, 2010, 28, (4), 503-522 Downloads View citations (41)
    See also Working Paper (2008)

2009

  1. Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
    Journal of Econometrics, 2009, 149, (1), 26-51 Downloads View citations (10)
    See also Working Paper (2006)
  2. Estimating deterministic trends with an integrated or stationary noise component
    Journal of Econometrics, 2009, 151, (1), 56-69 Downloads View citations (52)
    See also Working Paper (2007)
  3. GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
    Econometric Theory, 2009, 25, (06), 1754-1792 Downloads View citations (77)
  4. Let's take a break: Trends and cycles in US real GDP
    Journal of Monetary Economics, 2009, 56, (6), 749-765 Downloads View citations (61)
    See also Working Paper (2009)
  5. Testing for Shifts in Trend With an Integrated or Stationary Noise Component
    Journal of Business & Economic Statistics, 2009, 27, (3), 369-396 Downloads View citations (98)
    See also Working Paper (2007)
  6. 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, 2009, 148, (1), 1-13 Downloads View citations (80)
    See also Working Paper (2006)

2008

  1. A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
    Journal of Econometrics, 2008, 142, (1), 212-240 Downloads View citations (22)
    See also Working Paper (2007)
  2. DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
    Econometric Theory, 2008, 24, (05), 1425-1441 Downloads View citations (19)
  3. THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
    Econometric Theory, 2008, 24, (03), 809-822 Downloads View citations (26)
    See also Working Paper (2006)
  4. The limit distribution of the estimates in cointegrated regression models with multiple structural changes
    Journal of Econometrics, 2008, 146, (1), 59-73 Downloads View citations (39)
    See also Working Paper (2006)

2007

  1. A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
    Econometric Theory, 2007, 23, (04), 638-685 Downloads View citations (11)
    See also Working Paper (2006)
  2. A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
    Economics Letters, 2007, 94, (1), 12-19 Downloads View citations (47)
    See also Working Paper (2006)
  3. Estimating and Testing Structural Changes in Multivariate Regressions
    Econometrica, 2007, 75, (2), 459-502 Downloads View citations (122)
    See also Working Paper (2005)

2006

  1. A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
    Econometrics Journal, 2006, 9, (3), 423-447 Downloads View citations (3)
    See also Working Paper (2005)
  2. Estimating restricted structural change models
    Journal of Econometrics, 2006, 134, (2), 373-399 Downloads View citations (43)

2005

  1. A Note on the Selection of Time Series Models
    Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 115-134 Downloads View citations (25)
    See also Working Paper (2001)
  2. Structural breaks with deterministic and stochastic trends
    Journal of Econometrics, 2005, 129, (1-2), 65-119 Downloads View citations (83)
  3. THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
    Econometric Theory, 2005, 21, (03), 562-592 Downloads View citations (5)

2004

  1. Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
    Journal of Empirical Finance, 2004, 11, (2), 203-230 Downloads

2003

  1. Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1)
    Econometric Reviews, 2003, 22, (3), 239-245 Downloads
  2. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 Downloads View citations (1281)
    See also Working Paper (1998)
  3. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 Downloads View citations (167)
  4. GLS detrending, efficient unit root tests and structural change
    Journal of Econometrics, 2003, 115, (1), 1-27 Downloads View citations (64)
    See also Working Paper (1998)
  5. SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
    Journal of Time Series Analysis, 2003, 24, (2), 193-220 Downloads View citations (44)
    See also Working Paper (2000)

2002

  1. PPP May not Hold Afterall: A Further Investigation
    Annals of Economics and Finance, 2002, 3, (1), 43-64 Downloads View citations (8)
    See also Working Paper (2002)

2001

  1. Asymptotic approximations in the near-integrated model with a non-zero initial condition
    Econometrics Journal, 2001, 4, (1), 42 View citations (1)
    See also Working Paper (1998)
  2. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Econometrica, 2001, 69, (6), 1519-1554 Downloads View citations (1384)
    See also Working Paper (2000)

2000

  1. A look at the quality of the approximation of the functional central limit theorem
    Economics Letters, 2000, 68, (3), 225-234 Downloads

1999

  1. Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data
    Journal of Applied Econometrics, 1999, 14, (1), 27-56 Downloads View citations (47)

1998

  1. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (05), 560-603 Downloads View citations (34)
    See also Working Paper (1996)
  2. Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
    International Economic Review, 1998, 39, (4), 1073-1100 View citations (144)
    See also Working Paper (1994)
  3. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (1621)
    See also Working Paper (1995)

1997

  1. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 Downloads View citations (32)
    See also Working Paper (1995)
  2. Further evidence on breaking trend functions in macroeconomic variables
    Journal of Econometrics, 1997, 80, (2), 355-385 Downloads View citations (663)
    See also Working Paper (1994)
  3. L’estimation de modèles avec changements structurels multiples
    L'Actualité Economique, 1997, 73, (1), 457-505 Downloads View citations (5)

1996

  1. An Analysis of the Real Interest Rate under Regime Shifts
    The Review of Economics and Statistics, 1996, 78, (1), 111-25 Downloads View citations (305)
    See also Working Paper (1995)
  2. The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
    Journal of Econometrics, 1996, 70, (2), 317-350 Downloads View citations (6)
    See also Working Paper (1994)
  3. The effect of linear filters on dynamic time series with structural change
    Journal of Econometrics, 1996, 70, (1), 69-97 Downloads View citations (15)
    See also Working Paper (1994)
  4. Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
    Review of Economic Studies, 1996, 63, (3), 435-463 Downloads View citations (215)
    See also Working Paper (1994)

1994

  1. Local asymptotic distribution related to the AR(1) model with dependent errors
    Journal of Econometrics, 1994, 62, (2), 229-264 Downloads View citations (22)
    See also Working Paper (1991)

1993

  1. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations (24)
  2. A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks
    Brazilian Review of Econometrics, 1993, 13, (2) Downloads
  3. Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]
    Econometrica, 1993, 61, (1), 248-49 Downloads View citations (22)
  4. The HUMP-Shaped Behavior of Macroeconomic Fluctuations
    Empirical Economics, 1993, 18, (4), 707-27 View citations (8)
  5. The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 57-98 Downloads View citations (71)
    See also Working Paper (1990)

1992

  1. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 1992, 10, (3), 301-20 View citations (406)
    See also Working Paper (1991)
  2. Racines unitaires en macroéconomie: le cas d’une variable
    L'Actualité Economique, 1992, 68, (1), 325-356 Downloads View citations (5)
  3. Racines unitaires en macroéconomie: le cas multidimensionnel
    Annals of Economics and Statistics, 1992, (27), 1-50 Downloads View citations (3)
  4. Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions
    Journal of Business & Economic Statistics, 1992, 10, (4), 467-70 View citations (96)

1991

  1. A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
    Econometric Theory, 1991, 7, (02), 236-252 Downloads View citations (7)
  2. A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept
    Econometrica, 1991, 59, (1), 211-36 Downloads View citations (14)
    See also Working Paper (1988)
  3. Test Consistency with Varying Sampling Frequency
    Econometric Theory, 1991, 7, (03), 341-368 Downloads View citations (35)
    See also Working Paper (1989)

1990

  1. Testing for a Unit Root in a Time Series with a Changing Mean
    Journal of Business & Economic Statistics, 1990, 8, (2), 153-62 View citations (381)
    See also Working Paper (1989)

1989

  1. The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model
    Econometric Theory, 1989, 5, (02), 241-255 Downloads View citations (11)
    See also Working Paper (1987)
  2. The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
    Econometrica, 1989, 57, (6), 1361-1401 Downloads View citations (1912)
    See also Working Paper (1988)

1988

  1. Trends and random walks in macroeconomic time series: Further evidence from a new approach
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 297-332 Downloads View citations (268)
    See also Working Paper (1986)

1987

  1. Does GNP have a unit root?: A re-evaluation
    Economics Letters, 1987, 23, (2), 139-145 Downloads View citations (34)
    See also Working Paper (1986)

1985

  1. Testing the random walk hypothesis: Power versus frequency of observation
    Economics Letters, 1985, 18, (4), 381-386 Downloads View citations (188)
    See also Working Paper (1985)

Chapters

1991

  1. Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots
    A chapter in NBER Macroeconomics Annual 1991, Volume 6, 1991, pp 141-220 Downloads View citations (661)
    See also Working Paper (1991)

Software Items

Editor

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