Details about Benoit Perron

Access statistics for papers by Benoit Perron.

Last updated 2022-05-17. Update your information in the RePEc Author Service.

Short-id: ppe27

Working Papers

2022

1. Bootstrap Inference Under Cross Sectional Dependence
   Working papers, University of Connecticut, Department of Economics
2. Modélisation de règles budgétaires pour l’après-COVID
   CIRANO Project Reports, CIRANO

2018

3. Bootstrapping Factor Models With Cross Sectional Dependence
   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 (2018) View citations (1)
   See also Journal Article Bootstrapping factor models with cross sectional dependence, Journal of Econometrics, Elsevier (2020) View citations (14) (2020)
4. The scale of predictability
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) View citations (2)
   CIRANO Working Papers, CIRANO (2015) View citations (1)
   See also Journal Article The scale of predictability, Journal of Econometrics, Elsevier (2019) View citations (21) (2019)

2016

5. Bootstrap prediction intervals for factor models
   CIRANO Working Papers, CIRANO View citations (12)
   See also Journal Article Bootstrap Prediction Intervals for Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (16) (2017)
6. Règles budgétaires touchant les dépenses consolidées
   CIRANO Project Reports, CIRANO

2015

7. Bootstrap inference in regressions with estimated factors and serial correlation
   CIRANO Working Papers, CIRANO View citations (19)
8. Tests of Equal Accuracy for Nested Models with Estimated Factors
   Working Papers, Federal Reserve Bank of St. Louis View citations (2)
   See also Journal Article Tests of equal accuracy for nested models with estimated factors, Journal of Econometrics, Elsevier (2017) View citations (19) (2017)

2012

9. Bootstrapping factor-augmented regression models
   CIRANO Working Papers, CIRANO View citations (7)
   See also Journal Article Bootstrapping factor-augmented regression models, Journal of Econometrics, Elsevier (2014) View citations (58) (2014)

2011

10. Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
    CIRANO Working Papers, CIRANO
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2010) View citations (3)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2010) View citations (3)
    See also Journal Article Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel, Journal of Econometrics, Elsevier (2012) View citations (30) (2012)
11. Past Market Variance and Asset Prices
    CIRANO Working Papers, CIRANO

2005

12. 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 (5)
13. Incidental Trends and the Power of Panel Unit Root Tests
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (2)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (2)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (18)
    See also Journal Article Incidental trends and the power of panel unit root tests, Journal of Econometrics, Elsevier (2007) View citations (57) (2007)

2004

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

2003

15. Long memory and the relation between implied and realized volatility
    Econometrics, University Library of Munich, Germany View citations (12)
    See also Journal Article Long Memory and the Relation Between Implied and Realized Volatility, Journal of Financial Econometrics, Oxford University Press (2006) View citations (83) (2006)

2002

16. 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) View citations (3)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
    See also Journal Article Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff, The Review of Economics and Statistics, MIT Press (2003) View citations (4) (2003)
17. TESTING FOR A UNIT ROOT IN PANELS WITH DYNAMIC FACTORS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (10)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (43)
    See also Journal Article Testing for a unit root in panels with dynamic factors, Journal of Econometrics, Elsevier (2004) View citations (598) (2004)

2000

18. The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (7)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000) View citations (4)

1999

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

1995

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

Journal Articles

2021

1. Special Issue “Celebrated Econometricians: Peter Phillips”
   Econometrics, 2021, 9, (3), 1-3

2020

2. Bootstrapping factor models with cross sectional dependence
   Journal of Econometrics, 2020, 218, (2), 476-495 View citations (14)
   See also Working Paper Bootstrapping Factor Models With Cross Sectional Dependence, Cahiers de recherche (2018) View citations (1) (2018)

2019

3. The scale of predictability
   Journal of Econometrics, 2019, 208, (1), 120-140 View citations (21)
   See also Working Paper The scale of predictability, LSE Research Online Documents on Economics (2018) View citations (5) (2018)

2017

4. Bootstrap Prediction Intervals for Factor Models
   Journal of Business & Economic Statistics, 2017, 35, (1), 53-69 View citations (16)
   See also Working Paper Bootstrap prediction intervals for factor models, CIRANO Working Papers (2016) View citations (12) (2016)
5. Tests of equal accuracy for nested models with estimated factors
   Journal of Econometrics, 2017, 198, (2), 231-252 View citations (19)
   See also Working Paper Tests of Equal Accuracy for Nested Models with Estimated Factors, Working Papers (2015) View citations (2) (2015)

2015

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

2014

7. Bootstrapping factor-augmented regression models
   Journal of Econometrics, 2014, 182, (1), 156-173 View citations (58)
   See also Working Paper Bootstrapping factor-augmented regression models, CIRANO Working Papers (2012) View citations (7) (2012)
8. PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS
   Econometric Theory, 2014, 30, (4), 882-893
9. Point‐optimal panel unit root tests with serially correlated errors
   Econometrics Journal, 2014, 17, (3), 338-372 View citations (4)

2012

10. 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 View citations (30)
    See also Working Paper Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel, CIRANO Working Papers (2011) (2011)

2008

11. 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 (25)
12. Long-run risk-return trade-offs
    Journal of Econometrics, 2008, 143, (2), 349-374 View citations (45)

2007

13. An empirical analysis of nonstationarity in a panel of interest rates with factors
    Journal of Applied Econometrics, 2007, 22, (2), 383-400 View citations (39)
14. Incidental trends and the power of panel unit root tests
    Journal of Econometrics, 2007, 141, (2), 416-459 View citations (57)
    See also Working Paper Incidental Trends and the Power of Panel Unit Root Tests, IEPR Working Papers (2005) View citations (2) (2005)

2006

15. Long Memory and the Relation Between Implied and Realized Volatility
    Journal of Financial Econometrics, 2006, 4, (4), 636-670 View citations (83)
    See also Working Paper Long memory and the relation between implied and realized volatility, Econometrics (2003) View citations (12) (2003)
16. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
    Econometric Theory, 2006, 22, (6), 1179-1190 View citations (12)
17. Resampling methods in econometrics
    Journal of Econometrics, 2006, 133, (2), 411-419

2005

18. Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
    Econometric Reviews, 2005, 23, (4), 293-323 View citations (8)

2004

19. Détection non paramétrique de sauts dans la volatilité des marchés financiers
    L'Actualité Economique, 2004, 80, (2), 229-251
20. Testing for a unit root in panels with dynamic factors
    Journal of Econometrics, 2004, 122, (1), 81-126 View citations (598)
    See also Working Paper TESTING FOR A UNIT ROOT IN PANELS WITH DYNAMIC FACTORS, Cahiers de recherche (2002) View citations (10) (2002)

2003

21. 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 View citations (4)
22. Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff
    The Review of Economics and Statistics, 2003, 85, (2), 424-443 View citations (4)
    See also Working Paper Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off, CIRANO Working Papers (2002) (2002)
23. 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 (16)