Details about Pierre Perron

E-mail:
Homepage:	http://econ.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 2009-11-11. Update your information in the RePEc Author Service.

Short-id: ppe32

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Working Papers

2009

1. A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component
   Purdue University Economics Working Papers, Purdue University, Department of Economics
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2009)
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
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations
3. Wald Tests for Detecting Multiple Structural Changes in Persistence
   Purdue University Economics Working Papers, Purdue University, Department of Economics

2008

4. 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
5. 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
6. 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
7. 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
8. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
9. 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
10. Testing for Breaks in Coefficients and Error Variance: Simulations and Applications
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
11. Testing for Multiple Structural Changes in Cointegrated Regression Models
    Purdue University Economics Working Papers, Purdue University, Department of Economics View citations
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2008) View citations
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations

2007

12. 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
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations
    See also Journal Article in Journal of Econometrics (2008)
13. 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
14. 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
15. 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
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006)
    See also Journal Article in Journal of Econometrics (2009)
16. 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
17. Identifying the Age Profile of Patent Citations
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations
18. 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
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations

2006

19. 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)
20. 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)
21. 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
22. 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)
23. Moonlighting: Public Service and Private Practice
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations
24. 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
25. 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
    See also Journal Article in Econometric Theory (2008)
26. 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)
27. 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
    See also Journal Article in Journal of Econometrics (2009)

2005

28. 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)
29. 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
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005)
30. Dealing with Structural Breaks
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations
31. Estimating and testing structural changes in multivariate regressions
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations
    See also Journal Article in Econometrica (2007)
32. 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
33. Trend and Cycles: A New Approach and Explanations of Some Old Puzzles
    Computing in Economics and Finance 2005, Society for Computational Economics View citations

2001

34. A Note on the Selection of Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
35. PPP May not Hold After all: A Further Investigation
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations

2000

36. 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 View citations
    See also Journal Article in Econometrica (2001)
37. Residual Based Tests for Cointegration with GLS Detrended Data
    Working Papers, University of Ottawa, Department of Economics
38. 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

39. Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    See also Journal Article in Econometrics Journal (2001)
40. Computation and Analysis of Multiple Structural-Change Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    See also Journal Article in Journal of Applied Econometrics (2003)
41. GLS Detrending, Efficient Unit Root Tests and Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    See also Journal Article in Journal of Econometrics (2003)
42. Sampling Interval and estimated Betas: Implications for the Presence of Transitory Components in Stock Prices
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
43. The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques

1996

44. An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996)
    See also Journal Article in Econometric Theory (1998)

1995

45. An Analysis of the Real Interest Rate Under Regime Shifts
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1990)
    See also Journal Article in The Review of Economics and Statistics (1996)
46. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
47. Estimating and Testing Linear Models with Multiple Structural Changes
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    See also Journal Article in Econometrica (1998)
48. Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    See also Journal Article in Journal of Econometrics (1997)
49. The Exact Error in Estimating the Special Density at the Origin
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
50. 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) View citations

1994

51. 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 View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations
    See also Journal Article in International Economic Review (1998)
52. Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994)
53. Further Evidence on Breaking Trend Functions in Macroeconomic Variables
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
    See also Journal Article in Journal of Econometrics (1997)
54. 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)
    See also Journal Article in Journal of Econometrics (1996)
55. The Effect of Linear Filters on Dynamic Time series with Structural Change
    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 (1994)
    See also Journal Article in Journal of Econometrics (1996)
56. 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
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
57. Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations
    See also Journal Article in Review of Economic Studies (1996)

1991

58. 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
59. An analysis of Real Interest Rate Under Regime Shifts
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations
60. Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    See also Journal Article in Journal of Econometrics (1994)
61. Nonstationary and Level Shifts With An Application To Purchasing Power Parity
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    See also Journal Article in Journal of Business & Economic Statistics (1992)
62. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) View citations
    See also Chapter (1991)

1990

63. THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS
    Working Papers, Princeton, Department of Economics - Econometric Research Program
64. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations
65. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    See also Journal Article in Journal of Econometrics (1993)
66. THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations

1989

67. 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)
    See also Journal Article in Econometric Theory (1991)
68. TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    See also Journal Article in Journal of Business & Economic Statistics (1990)

1988

69. 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
    See also Journal Article in Econometrica (1991)
70. 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
71. THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    See also Journal Article in Econometrica (1989)

1987

72. Testing for a Unit Root in Time Series Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
73. 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
74. The Great Crash, the Oil Prices and the Unit Root Hypothesis
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations

1986

75. Does Gnp Have a Unit Root? a Reevaluation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    See also Journal Article in Economics Letters (1987)
76. Tests of Joint Hypotheses for Time Series Regression with a Unit Root
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
77. 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
    See also Journal Article in Journal of Economic Dynamics and Control (1988)

1985

78. Methodology in Economics: the Logic of Appraisal
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
79. Testing the Random Walk Hypothesis: Power versus Frequency of Observation
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1984) View citations
    See also Journal Article in Economics Letters (1985)

Journal Articles

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
   See also Working Paper (2006)
2. Estimating deterministic trends with an integrated or stationary noise component
   Journal of Econometrics, 2009, 151, (1), 56-69 View citations
   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
4. 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 View citations
   See also Working Paper (2006)

2008

5. 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 View citations
   See also Working Paper (2007)
6. 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 View citations
7. THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
   Econometric Theory, 2008, 24, (03), 809-822 View citations
   See also Working Paper (2006)
8. The limit distribution of the estimates in cointegrated regression models with multiple structural changes
   Journal of Econometrics, 2008, 146, (1), 59-73 View citations
   See also Working Paper (2006)

2007

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

2006

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

2005

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

2004

17. 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

2003

18. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 View citations
    See also Working Paper (1998)
19. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations
20. GLS detrending, efficient unit root tests and structural change
    Journal of Econometrics, 2003, 115, (1), 1-27 View citations
    See also Working Paper (1998)
21. SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
    Journal of Time Series Analysis, 2003, 24, (2), 193-220 View citations
    See also Working Paper (2000)

2001

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

2000

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

1999

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

1998

26. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (05), 560-603 View citations
    See also Working Paper (1996)
27. 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
    See also Working Paper (1994)
28. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations
    See also Working Paper (1995)

1997

29. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 View citations
    See also Working Paper (1995)
30. Further evidence on breaking trend functions in macroeconomic variables
    Journal of Econometrics, 1997, 80, (2), 355-385 View citations
    See also Working Paper (1994)

1996

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

1995

35. Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
    Econometric Reviews, 1995, 14, (4), 421-457

1994

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

1993

37. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations
38. Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]
    Econometrica, 1993, 61, (1), 248-49 View citations
39. The HUMP-Shaped Behavior of Macroeconomic Fluctuations
    Empirical Economics, 1993, 18, (4), 707-27 View citations
40. The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 57-98 View citations
    See also Working Paper (1990)

1992

41. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 1992, 10, (3), 301-20 View citations
    See also Working Paper (1991)
42. Racines unitaires en macroéconomie: le cas multidimensionnel
    Annales d'Economie et de Statistique, 1992, (27), 01 View citations
43. 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

1991

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

1990

47. 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
    See also Working Paper (1989)

1989

48. The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
    Econometrica, 1989, 57, (6), 1361-1401 View citations
    See also Working Paper (1988)

1988

49. 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 View citations
    See also Working Paper (1986)

1987

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

1985

51. Testing the random walk hypothesis: Power versus frequency of observation
    Economics Letters, 1985, 18, (4), 381-386 View citations
    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 View citations
   See also Working Paper (1991)

Editor

1. Econometrics Journal
   Royal Economic Society