Details about Pierre Perron

Homepage:	https://blogs.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 2024-10-08. Update your information in the RePEc Author Service.

Short-id: ppe32

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Working Papers

2024

1. Change-Point Analysis of Time Series with Evolutionary Spectra
   Papers, arXiv.org View citations (1)
   See also Journal Article Change-point analysis of time series with evolutionary spectra, Journal of Econometrics, Elsevier (2024) (2024)
2. Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
   Papers, arXiv.org View citations (5)
   See also Journal Article Prewhitened long-run variance estimation robust to nonstationarity, Journal of Econometrics, Elsevier (2024) (2024)
3. Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference
   Papers, arXiv.org View citations (10)

2021

4. Continuous Record Asymptotics for Change-Points Models
   Papers, arXiv.org View citations (12)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2020)
5. Generalized Laplace Inference in Multiple Change-Points Models
   Papers, arXiv.org View citations (5)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2020) View citations (8)
   See also Journal Article GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS, Econometric Theory, Cambridge University Press (2022) View citations (2) (2022)
6. Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings
   Papers, arXiv.org
   See also Journal Article Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, Econometric Reviews, Taylor & Francis Journals (2023) View citations (1) (2023)

2020

7. A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
   See also Journal Article A two‐step procedure for testing partial parameter stability in cointegrated regression models, Journal of Time Series Analysis, Wiley Blackwell (2022) (2022)
8. Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)
   See also Journal Article Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series, Journal of Time Series Analysis, Wiley Blackwell (2020) View citations (3) (2020)
9. Continuous Record Laplace-based Inference about the Break Date in Structural Change Models
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
   Also in Papers, arXiv.org (2020) View citations (7)
   See also Journal Article Continuous record Laplace-based inference about the break date in structural change models, Journal of Econometrics, Elsevier (2021) View citations (8) (2021)
10. Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (19)
11. The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
    Also in Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University (2019)
    See also Journal Article The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence, Empirical Economics, Springer (2022) View citations (3) (2022)
12. Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics

2019

13. Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (7)
    See also Journal Article Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model, Econometrics, MDPI (2019) View citations (7) (2019)
14. Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University View citations (3)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2008) View citations (9)
    See also Journal Article Testing jointly for structural changes in the error variance and coefficients of a linear regression model, Quantitative Economics, Econometric Society (2020) View citations (18) (2020)
15. Testing for Changes in Forecasting Performance
    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 (2018)
    Discussion Papers, Graduate School of Economics, Hitotsubashi University (2018)
    See also Journal Article Testing for Changes in Forecasting Performance, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (8) (2021)

2018

16. Forecasting in the presence of in and out of sample breaks
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2015) View citations (1)
17. Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
    Also in Papers, arXiv.org (2018) View citations (4)
    See also Journal Article Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures, Journal of Econometrics, Elsevier (2020) View citations (6) (2020)
18. Structural Breaks in Time Series
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (15)
    Also in Papers, arXiv.org (2018) View citations (31)
19. Testing for Common Breaks in a Multiple Equations System
    Papers, arXiv.org View citations (10)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011) View citations (10)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) View citations (10)
    See also Journal Article Testing for common breaks in a multiple equations system, Journal of Econometrics, Elsevier (2018) View citations (10) (2018)

2017

20. Characterizing and attributing the warming trend in sea and land surface temperatures
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)
21. 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
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2015) View citations (7)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011) View citations (4)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (4)
    See also Journal Article Combining long memory and level shifts in modelling and forecasting the volatility of asset returns, Quantitative Finance, Taylor & Francis Journals (2018) View citations (14) (2018)
22. Extracting and analyzing the warming trend in global and hemispheric temperatures
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (25)
    See also Journal Article Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (11) (2017)

2015

23. 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 View citations (15)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2013) View citations (2)
    See also Journal Article A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models, Econometric Reviews, Taylor & Francis Journals (2018) View citations (16) (2018)
24. Improved Tests for Forecast Comparisons in the Presence of Instabilities
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2014) View citations (1)
    See also Journal Article Improved Tests for Forecast Comparisons in the Presence of Instabilities, Journal of Time Series Analysis, Wiley Blackwell (2016) View citations (17) (2016)
25. Inference on Locally Ordered Breaks in Multiple Regressions
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article Inference on locally ordered breaks in multiple regressions, Econometric Reviews, Taylor & Francis Journals (2017) View citations (8) (2017)
26. Inference on a Structural Break in Trend with Fractionally Integrated Errors
    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 (2013)
    See also Journal Article Inference on a Structural Break in Trend with Fractionally Integrated Errors, Journal of Time Series Analysis, Wiley Blackwell (2016) View citations (9) (2016)
27. 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 View citations (2)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2014)
    See also Journal Article Measuring business cycles with structural breaks and outliers: Applications to international data, Research in Economics, Elsevier (2016) View citations (17) (2016)
28. Residuals-based Tests for Cointegration with GLS Detrended Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    Also in Working Papers, University of Ottawa, Department of Economics (2000) View citations (30)
29. 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 View citations (9)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2015) View citations (8)
    See also Journal Article Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2017) View citations (9) (2017)

2014

30. Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)

2013

31. 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
    See also Journal Article Forecasting return volatility: Level shifts with varying jump probability and mean reversion, International Journal of Forecasting, Elsevier (2014) View citations (32) (2014)
32. 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
33. 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
34. Single-equation tests for Cointegration with GLS Detrended Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
35. 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 View citations (53)

2012

36. 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 View citations (6)
    See also Journal Article Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis, Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú (2019) View citations (1) (2019)
37. 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
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011)
    See also Journal Article Estimating and testing multiple structural changes in linear models using band spectral regressions, Econometrics Journal, Royal Economic Society (2013) View citations (10) (2013)
38. Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends
    Working Papers, Brown University, Department of Economics View citations (5)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2010) View citations (5)
    See also Journal Article MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS, Econometric Theory, Cambridge University Press (2013) View citations (41) (2013)
39. 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 View citations (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2008) View citations (3)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests, Econometric Reviews, Taylor & Francis Journals (2016) View citations (11) (2016)
40. Residual test for cointegration with GLS detrended data
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
41. Statistical evidence about human influence on the climate system
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)

2011

42. 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 (4)
    See also Journal Article A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS, Econometric Theory, Cambridge University Press (2014) View citations (24) (2014)
43. 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 (14)
44. 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 (2)
    See also Journal Article Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run, Applied Economics, Taylor & Francis Journals (2013) View citations (6) (2013)
45. 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)
    See also Journal Article Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices, Journal of Empirical Finance, Elsevier (2013) View citations (5) (2013)
46. 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
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011)
    See also Journal Article Testing for Trend in the Presence of Autoregressive Error: A Comment, Journal of the American Statistical Association, Taylor & Francis Journals (2012) View citations (6) (2012)
47. 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 (12)
    See also Journal Article Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (27) (2015)

2010

48. 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 On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance, Journal of Time Series Econometrics, De Gruyter (2011) View citations (1) (2011)

2009

49. 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 (5)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (2009) View citations (10)
    See also Journal Article A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component, Journal of Time Series Analysis, Wiley Blackwell (2010) View citations (97) (2010)
50. 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 (55)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (10)
    See also Journal Article Let's take a break: Trends and cycles in US real GDP, Journal of Monetary Economics, Elsevier (2009) View citations (98) (2009)
51. Wald Tests for Detecting Multiple Structural Changes in Persistence
    Purdue University Economics Working Papers, Purdue University, Department of Economics View citations (1)
    See also Journal Article WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE, Econometric Theory, Cambridge University Press (2013) View citations (30) (2013)

2008

52. 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 (4)
53. 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 (8)
54. 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 Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (136) (2010)
55. 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 (3)
    See also Journal Article Modeling and forecasting stock return volatility using a random level shift model, Journal of Empirical Finance, Elsevier (2010) View citations (66) (2010)
56. 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 (6)
57. Testing for Multiple Structural Changes in Cointegrated Regression Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (68)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (40)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (2008) View citations (16)
    See also Journal Article Testing for Multiple Structural Changes in Cointegrated Regression Models, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (127) (2010)

2007

58. 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 (3)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (2)
    See also Journal Article A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change, Journal of Econometrics, Elsevier (2008) View citations (45) (2008)
59. 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 (49)
60. 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 View citations (1)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (4)
    See also Journal Article DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION, Econometric Theory, Cambridge University Press (2008) View citations (33) (2008)
61. Estimating Deterministic Trend with an Integrated or Stationary Noise Component
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
    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 (6)
    See also Journal Article Estimating deterministic trends with an integrated or stationary noise component, Journal of Econometrics, Elsevier (2009) View citations (115) (2009)
62. 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 (13)
63. 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 (9)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (15)
    See also Journal Article Testing for Shifts in Trend With an Integrated or Stationary Noise Component, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (217) (2009)

2006

64. 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 A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION, Econometric Theory, Cambridge University Press (2007) View citations (17) (2007)
65. 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 View citations (2)
    See also Journal Article A simple modification to improve the finite sample properties of Ng and Perron's unit root tests, Economics Letters, Elsevier (2007) View citations (137) (2007)
66. 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 (7)
67. 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 Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope, Journal of Econometrics, Elsevier (2009) View citations (35) (2009)
68. 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 (20)
69. 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 (4)
    See also Journal Article THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS, Econometric Theory, Cambridge University Press (2008) View citations (40) (2008)
70. 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 View citations (1)
    See also Journal Article The limit distribution of the estimates in cointegrated regression models with multiple structural changes, Journal of Econometrics, Elsevier (2008) View citations (97) (2008)
71. 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 (7)
    See also Journal Article 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, Elsevier (2009) View citations (256) (2009)

2005

72. 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 A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend, Econometrics Journal, Royal Economic Society (2006) View citations (17) (2006)
73. 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 (5)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (4)
74. Dealing with Structural Breaks
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (72)
75. Estimating and testing structural changes in multivariate regressions
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (7)
    See also Journal Article Estimating and Testing Structural Changes in Multivariate Regressions, Econometrica, Econometric Society (2007) View citations (313) (2007)
76. 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 (4)
77. Trend and Cycles: A New Approach and Explanations of Some Old Puzzles
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (9)

2002

78. PPP May not Hold Afterall: A Further Investigation
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (15)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (9)
    See also Journal Article PPP May not Hold Afterall: A Further Investigation, Annals of Economics and Finance, Society for AEF (2002) View citations (11) (2002)

2001

79. A Note on the Selection of Time Series Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
    See also Journal Article A Note on the Selection of Time Series Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (42) (2005)

2000

80. 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 (45)
    See also Journal Article LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica, Econometric Society (2001) View citations (2504) (2001)
81. Seraching for Additive Outliers in Nonstationary Time Series
    Working Papers, University of Ottawa, Department of Economics View citations (1)
    See also Journal Article SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (54) (2003)

1998

82. Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article Asymptotic approximations in the near-integrated model with a non-zero initial condition, Econometrics Journal, Royal Economic Society (2001) View citations (2) (2001)
83. Computation and Analysis of Multiple Structural-Change Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (61)
    See also Journal Article Computation and analysis of multiple structural change models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (2950) (2003)
84. GLS Detrending, Efficient Unit Root Tests and Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (8)
    See also Journal Article GLS detrending, efficient unit root tests and structural change, Journal of Econometrics, Elsevier (2003) View citations (108) (2003)
85. 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

86. An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (7)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (7)
    See also Journal Article AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS, Econometric Theory, Cambridge University Press (1998) View citations (40) (1998)

1995

87. An Analysis of the Real Interest Rate Under Regime Shifts
    CIRANO Working Papers, CIRANO View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (2)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (4)
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (16)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (4)
    See also Journal Article An Analysis of the Real Interest Rate under Regime Shifts, The Review of Economics and Statistics, MIT Press (1996) View citations (457) (1996)
88. Estimating & Testing Linear Models with Multiple Structural Changes
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (10)
89. Estimating and Testing Linear Models with Multiple Structural Changes
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (16)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (48)
    See also Journal Article Estimating and Testing Linear Models with Multiple Structural Changes, Econometrica, Econometric Society (1998) View citations (3457) (1998)
90. Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (5)
    See also Journal Article Estimation and inference in nearly unbalanced nearly cointegrated systems, Journal of Econometrics, Elsevier (1997) View citations (43) (1997)
91. The Exact Error in Estimating the Special Density at the Origin
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
    See also Journal Article THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN, Journal of Time Series Analysis, Wiley Blackwell (1996) View citations (9) (1996)
92. 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 (2)

1994

93. 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 (19)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (15)
    See also Journal Article Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (333) (1998)
94. 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) View citations (1)
95. Further Evidence on Breaking Trend Functions in Macroeconomic Variables
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (12)
    Also in Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (14)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (22)
    See also Journal Article Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics, Elsevier (1997) View citations (1123) (1997)
96. 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) View citations (2)
    See also Journal Article The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors, Journal of Econometrics, Elsevier (1996) View citations (8) (1996)
97. The Effect of Linear Filters on Dynamic Time series with Structural Change
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (2)
    See also Journal Article The effect of linear filters on dynamic time series with structural change, Journal of Econometrics, Elsevier (1996) View citations (24) (1996)
98. 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 (118)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (13)
99. 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 (8)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (17)
    See also Journal Article Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties, The Review of Economic Studies, Review of Economic Studies Ltd (1996) View citations (406) (1996)

1991

100. 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 (15)
101. 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 Local asymptotic distribution related to the AR(1) model with dependent errors, Journal of Econometrics, Elsevier (1994) View citations (32) (1994)
102. 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 Nonstationarity and Level Shifts with an Application to Purchasing Power Parity, Journal of Business & Economic Statistics, American Statistical Association (1992) View citations (681) (1992)
103. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
     Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (339)
     Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) View citations (1049)
     Scholarly Articles, Harvard University Department of Economics (1991) View citations (1078)
     See also Chapter Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots, NBER Chapters, National Bureau of Economic Research, Inc (1991) View citations (1045) (1991)

1990

104. 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)
105. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT
     Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations (8)
     Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (6)
     See also Journal Article The effect of seasonal adjustment filters on tests for a unit root, Journal of Econometrics, Elsevier (1993) View citations (95) (1993)
106. 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

107. 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 (2)
     See also Journal Article Test Consistency with Varying Sampling Frequency, Econometric Theory, Cambridge University Press (1991) View citations (47) (1991)
108. TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN
     Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (34)
     See also Journal Article Testing for a Unit Root in a Time Series with a Changing Mean, Journal of Business & Economic Statistics, American Statistical Association (1990) View citations (621) (1990)

1988

109. 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 A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept, Econometrica, Econometric Society (1991) View citations (35) (1991)
110. 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 (8)
111. THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS
     Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (165)
     See also Journal Article The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, Econometric Society (1989) View citations (4040) (1989)

1987

112. Testing for a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (442)
113. 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 The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model, Econometric Theory, Cambridge University Press (1989) View citations (23) (1989)
114. The Great Crash, the Oil Prices and the Unit Root Hypothesis
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (17)

1986

115. 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 Does GNP have a unit root?: A re-evaluation, Economics Letters, Elsevier (1987) View citations (51) (1987)
116. Tests of Joint Hypotheses for Time Series Regression with a Unit Root
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
117. 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 Trends and random walks in macroeconomic time series: Further evidence from a new approach, Journal of Economic Dynamics and Control, Elsevier (1988) View citations (424) (1988)

1985

118. Methodology in Economics: the Logic of Appraisal
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
119. Testing the Random Walk Hypothesis: Power versus Frequency of Observation
     NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (304)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1984) View citations (30)
     See also Journal Article Testing the random walk hypothesis: Power versus frequency of observation, Economics Letters, Elsevier (1985) View citations (310) (1985)

Undated

120. Detection and attribution of climate change through econometric methods
     Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (13)
121. Level Shifts and Purchasing Power Parity
     Instructional Stata datasets for econometrics, Boston College Department of Economics View citations (519)

Journal Articles

2024

1. Change-point analysis of time series with evolutionary spectra
   Journal of Econometrics, 2024, 242, (2)
   See also Working Paper Change-Point Analysis of Time Series with Evolutionary Spectra, Papers (2024) View citations (1) (2024)
2. Estimation in the Presence of Heteroskedasticity of Unknown Form: A Lasso-based Approach
   Journal of Econometric Methods, 2024, 13, (1), 29-48 View citations (1)
3. Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits
   The Review of Economics and Statistics, 2024, 106, (2), 521-541 View citations (2)
4. Prewhitened long-run variance estimation robust to nonstationarity
   Journal of Econometrics, 2024, 242, (1)
   See also Working Paper Prewhitened Long-Run Variance Estimation Robust to Nonstationarity, Papers (2024) View citations (5) (2024)

2023

5. Forecasting in the presence of in-sample and out-of-sample breaks
   Empirical Economics, 2023, 64, (6), 3001-3035 View citations (1)
   See also Chapter Forecasting in the presence of in-sample and out-of-sample breaks, Advanced Studies in Theoretical and Applied Econometrics, 2024, 545-579 (2024) (2024)
6. Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
   Econometric Reviews, 2023, 42, (3), 281-306 View citations (1)
   See also Working Paper Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings, Papers (2021) (2021)

2022

7. A two‐step procedure for testing partial parameter stability in cointegrated regression models
   Journal of Time Series Analysis, 2022, 43, (2), 219-237
   See also Working Paper A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models, Boston University - Department of Economics - Working Papers Series (2020) (2020)
8. GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
   Econometric Theory, 2022, 38, (1), 35-65 View citations (2)
   See also Working Paper Generalized Laplace Inference in Multiple Change-Points Models, Papers (2021) View citations (5) (2021)
9. Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
   Journal of Time Series Analysis, 2022, 43, (3), 389-411
10. The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence
    Empirical Economics, 2022, 62, (3), 1193-1218 View citations (3)
    See also Working Paper The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence, Boston University - Department of Economics - Working Papers Series (2020) View citations (1) (2020)

2021

11. Continuous record Laplace-based inference about the break date in structural change models
    Journal of Econometrics, 2021, 224, (1), 3-21 View citations (8)
    See also Working Paper Continuous Record Laplace-based Inference about the Break Date in Structural Change Models, Boston University - Department of Economics - Working Papers Series (2020) (2020)
12. Testing for Changes in Forecasting Performance
    Journal of Business & Economic Statistics, 2021, 39, (1), 148-165 View citations (8)
    See also Working Paper Testing for Changes in Forecasting Performance, Boston University - Department of Economics - Working Papers Series (2019) View citations (1) (2019)

2020

13. Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
    Journal of Time Series Analysis, 2020, 41, (5), 676-690 View citations (3)
    See also Working Paper Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series, Boston University - Department of Economics - Working Papers Series (2020) View citations (3) (2020)
14. Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
    Journal of Econometrics, 2020, 214, (1), 130-152 View citations (6)
    See also Working Paper Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures, Boston University - Department of Economics - Working Papers Series (2018) View citations (5) (2018)
15. L'estimation de modèles avec changements structurels multiples
    L'Actualité Economique, 2020, 96, (4), 789-837
    Also in L'Actualité Economique, 1997, 73, (1), 457-505 (1997) View citations (9)
16. Temporal Aggregation and Long Memory for Asset Price Volatility
    JRFM, 2020, 13, (8), 1-18 View citations (2)
17. Testing jointly for structural changes in the error variance and coefficients of a linear regression model
    Quantitative Economics, 2020, 11, (3), 1019-1057 View citations (18)
    See also Working Paper Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model, Discussion paper series (2019) View citations (3) (2019)

2019

18. Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis
    Revista Economía, 2019, 42, (83), 1-31 View citations (1)
    See also Working Paper Breaks, trends and the attribution of climate change: a time-series analysis, Boston University - Department of Economics - Working Papers Series (2012) View citations (6) (2012)
19. Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model
    Econometrics, 2019, 7, (2), 1-11 View citations (7)
    See also Working Paper Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model, Discussion Papers (2019) View citations (7) (2019)

2018

20. A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
    Econometric Reviews, 2018, 37, (6), 577-601 View citations (16)
    See also Working Paper 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 (2015) View citations (15) (2015)
21. Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
    Quantitative Finance, 2018, 18, (3), 371-393 View citations (14)
    See also Working Paper Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns, Boston University - Department of Economics - Working Papers Series (2017) (2017)
22. Testing for common breaks in a multiple equations system
    Journal of Econometrics, 2018, 204, (1), 66-85 View citations (10)
    See also Working Paper Testing for Common Breaks in a Multiple Equations System, Papers (2018) View citations (10) (2018)

2017

23. Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures
    Journal of Time Series Analysis, 2017, 38, (5), 711-732 View citations (11)
    See also Working Paper Extracting and analyzing the warming trend in global and hemispheric temperatures, Boston University - Department of Economics - Working Papers Series (2017) View citations (25) (2017)
24. Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses
    Econometrics, 2017, 5, (1), 1-26 View citations (8)
25. Inference on locally ordered breaks in multiple regressions
    Econometric Reviews, 2017, 36, (1-3), 289-353 View citations (8)
    See also Working Paper Inference on Locally Ordered Breaks in Multiple Regressions, Boston University - Department of Economics - Working Papers Series (2015) (2015)
26. Modelling exchange rate volatility with random level shifts
    Applied Economics, 2017, 49, (26), 2579-2589 View citations (7)
27. Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component
    Oxford Bulletin of Economics and Statistics, 2017, 79, (5), 822-850 View citations (9)
    See also Working Paper Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component, Boston University - Department of Economics - Working Papers Series (2015) View citations (9) (2015)
28. Time Series Methods Applied to Climate Change
    Journal of Time Series Analysis, 2017, 38, (5), 639-639
29. Unit Roots and Structural Breaks
    Econometrics, 2017, 5, (2), 1-3 View citations (5)

2016

30. Improved Tests for Forecast Comparisons in the Presence of Instabilities
    Journal of Time Series Analysis, 2016, 37, (5), 650-659 View citations (17)
    See also Working Paper Improved Tests for Forecast Comparisons in the Presence of Instabilities, Boston University - Department of Economics - Working Papers Series (2015) View citations (2) (2015)
31. Inference on a Structural Break in Trend with Fractionally Integrated Errors
    Journal of Time Series Analysis, 2016, 37, (4), 555-574 View citations (9)
    See also Working Paper Inference on a Structural Break in Trend with Fractionally Integrated Errors, Boston University - Department of Economics - Working Papers Series (2015) (2015)
32. Measuring business cycles with structural breaks and outliers: Applications to international data
    Research in Economics, 2016, 70, (2), 281-303 View citations (17)
    See also Working Paper Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data, Boston University - Department of Economics - Working Papers Series (2015) View citations (2) (2015)
33. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
    Econometric Reviews, 2016, 35, (5), 782-844 View citations (11)
    See also Working Paper On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests, Global COE Hi-Stat Discussion Paper Series (2012) View citations (4) (2012)
34. Residuals‐based tests for cointegration with generalized least‐squares detrended data
    Econometrics Journal, 2016, 19, (1), 84-111 View citations (5)

2015

35. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
    Journal of Applied Econometrics, 2015, 30, (1), 119-144 View citations (27)
    See also Working Paper Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors, Boston University - Department of Economics - Working Papers Series (2011) View citations (12) (2011)

2014

36. A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
    Econometric Theory, 2014, 30, (2), 491-507 View citations (24)
    See also Working Paper 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 (2011) View citations (4) (2011)
37. Forecasting return volatility: Level shifts with varying jump probability and mean reversion
    International Journal of Forecasting, 2014, 30, (3), 449-463 View citations (32)
    See also Working Paper Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion, Boston University - Department of Economics - Working Papers Series (2013) (2013)
38. 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 View citations (38)

2013

39. A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report
    PLOS ONE, 2013, 8, (3), 1-10 View citations (9)
40. 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 View citations (33)
41. 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 View citations (6)
    See also Working Paper 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 (2011) View citations (2) (2011)
42. Estimating and testing multiple structural changes in linear models using band spectral regressions
    Econometrics Journal, 2013, 16, (3), 400-429 View citations (10)
    See also Working Paper Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions, Global COE Hi-Stat Discussion Paper Series (2012) (2012)
43. MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
    Econometric Theory, 2013, 29, (6), 1196-1237 View citations (41)
    See also Working Paper Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends, Working Papers (2012) View citations (5) (2012)
44. Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
    Journal of Empirical Finance, 2013, 20, (C), 42-62 View citations (5)
    See also Working Paper Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices, Boston University - Department of Economics - Working Papers Series (2011) (2011)
45. WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
    Econometric Theory, 2013, 29, (2), 289-323 View citations (30)
    See also Working Paper Wald Tests for Detecting Multiple Structural Changes in Persistence, Purdue University Economics Working Papers (2009) View citations (1) (2009)

2012

46. A note on estimating a structural change in persistence
    Economics Letters, 2012, 117, (3), 932-935 View citations (4)
47. GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural
    Revista Economía, 2012, 35, (69), 174-203 View citations (1)
48. Testing for Trend in the Presence of Autoregressive Error: A Comment
    Journal of the American Statistical Association, 2012, 107, (498), 844-844 View citations (6)
    See also Working Paper Testing for Trend in the Presence of Autoregressive Error: A Comment, Keio/Kyoto Joint Global COE Discussion Paper Series (2011) (2011)

2011

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

2010

51. 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 View citations (97)
    See also Working Paper 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 (2009) View citations (5) (2009)
52. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
    Journal of Business & Economic Statistics, 2010, 28, (2), 275-290 View citations (136)
    See also Working Paper Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices, Boston University - Department of Economics - Working Papers Series (2008) View citations (4) (2008)
53. Modeling and forecasting stock return volatility using a random level shift model
    Journal of Empirical Finance, 2010, 17, (1), 138-156 View citations (66)
    See also Working Paper Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model, Boston University - Department of Economics - Working Papers Series (2008) View citations (3) (2008)
54. Testing for Multiple Structural Changes in Cointegrated Regression Models
    Journal of Business & Economic Statistics, 2010, 28, (4), 503-522 View citations (127)
    See also Working Paper Testing for Multiple Structural Changes in Cointegrated Regression Models, Boston University - Department of Economics - Working Papers Series (2008) View citations (68) (2008)

2009

55. 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 View citations (35)
    See also Working Paper 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 (2006) (2006)
56. Estimating deterministic trends with an integrated or stationary noise component
    Journal of Econometrics, 2009, 151, (1), 56-69 View citations (115)
    See also Working Paper Estimating Deterministic Trend with an Integrated or Stationary Noise Component, Boston University - Department of Economics - Working Papers Series (2007) View citations (2) (2007)
57. GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
    Econometric Theory, 2009, 25, (6), 1754-1792 View citations (250)
58. Let's take a break: Trends and cycles in US real GDP
    Journal of Monetary Economics, 2009, 56, (6), 749-765 View citations (98)
    See also Working Paper Let’s Take a Break: Trends and Cycles in US Real GDP, Boston University - Department of Economics - Working Papers Series (2009) View citations (55) (2009)
59. Testing for Shifts in Trend With an Integrated or Stationary Noise Component
    Journal of Business & Economic Statistics, 2009, 27, (3), 369-396 View citations (217)
    See also Working Paper Testing for Shifts in Trend with an Integrated or Stationary Noise Component, Boston University - Department of Economics - Working Papers Series (2007) View citations (9) (2007)
60. 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 (256)
    See also Working Paper 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 (2006) View citations (7) (2006)

2008

61. 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 (45)
    See also Working Paper 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 (2007) View citations (3) (2007)
62. DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
    Econometric Theory, 2008, 24, (5), 1425-1441 View citations (33)
    See also Working Paper 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 (2007) View citations (1) (2007)
63. THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
    Econometric Theory, 2008, 24, (3), 809-822 View citations (40)
    See also Working Paper The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions, Boston University - Department of Economics - Working Papers Series (2006) View citations (4) (2006)
64. The limit distribution of the estimates in cointegrated regression models with multiple structural changes
    Journal of Econometrics, 2008, 146, (1), 59-73 View citations (97)
    See also Working Paper The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes, Boston University - Department of Economics - Working Papers Series (2006) View citations (1) (2006)

2007

65. A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
    Econometric Theory, 2007, 23, (4), 638-685 View citations (17)
    See also Working Paper A Modified Information Criterion for Cointegration Tests based on a VAR Approximation, Boston University - Department of Economics - Working Papers Series (2006) (2006)
66. 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 (137)
    See also Working Paper 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 (2006) View citations (2) (2006)
67. Estimating and Testing Structural Changes in Multivariate Regressions
    Econometrica, 2007, 75, (2), 459-502 View citations (313)
    See also Working Paper Estimating and testing structural changes in multivariate regressions, Boston University - Department of Economics - Working Papers Series (2005) View citations (7) (2005)

2006

68. A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
    Econometrics Journal, 2006, 9, (3), 423-447 View citations (17)
    See also Working Paper A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend, Boston University - Department of Economics - Working Papers Series (2005) (2005)
69. Estimating restricted structural change models
    Journal of Econometrics, 2006, 134, (2), 373-399 View citations (76)

2005

70. A Note on the Selection of Time Series Models
    Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 115-134 View citations (42)
    See also Working Paper A Note on the Selection of Time Series Models, Boston College Working Papers in Economics (2001) View citations (6) (2001)
71. Structural breaks with deterministic and stochastic trends
    Journal of Econometrics, 2005, 129, (1-2), 65-119 View citations (138)
72. THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
    Econometric Theory, 2005, 21, (3), 562-592 View citations (9)

2004

73. 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 View citations (1)

2003

74. 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 View citations (1)
75. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 View citations (2950)
    See also Working Paper Computation and Analysis of Multiple Structural-Change Models, Cahiers de recherche (1998) View citations (61) (1998)
76. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations (408)
77. GLS detrending, efficient unit root tests and structural change
    Journal of Econometrics, 2003, 115, (1), 1-27 View citations (108)
    See also Working Paper GLS Detrending, Efficient Unit Root Tests and Structural Change, Cahiers de recherche (1998) View citations (8) (1998)
78. SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES
    Journal of Time Series Analysis, 2003, 24, (2), 193-220 View citations (54)
    See also Working Paper Seraching for Additive Outliers in Nonstationary Time Series, Working Papers (2000) View citations (1) (2000)

2002

79. PPP May not Hold Afterall: A Further Investigation
    Annals of Economics and Finance, 2002, 3, (1), 43-64 View citations (11)
    See also Working Paper PPP May not Hold Afterall: A Further Investigation, CEMA Working Papers (2002) View citations (15) (2002)

2001

80. Asymptotic approximations in the near-integrated model with a non-zero initial condition
    Econometrics Journal, 2001, 4, (1), 42 View citations (2)
    See also Working Paper Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition, Cahiers de recherche (1998) (1998)
81. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Econometrica, 2001, 69, (6), 1519-1554 View citations (2504)
    See also Working Paper Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Boston College Working Papers in Economics (2000) View citations (45) (2000)

2000

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

1999

83. 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 (61)

1998

84. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (5), 560-603 View citations (40)
    See also Working Paper An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests, Cahiers de recherche (1996) View citations (7) (1996)
85. 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 (333)
    See also Working Paper Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time, Cahiers de recherche (1994) View citations (19) (1994)
86. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (3457)
    See also Working Paper Estimating and Testing Linear Models with Multiple Structural Changes, Cahiers de recherche (1995) View citations (16) (1995)

1997

87. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 View citations (43)
    See also Working Paper Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems, Cahiers de recherche (1995) View citations (6) (1995)
88. Further evidence on breaking trend functions in macroeconomic variables
    Journal of Econometrics, 1997, 80, (2), 355-385 View citations (1123)
    See also Working Paper Further Evidence on Breaking Trend Functions in Macroeconomic Variables, Cahiers de recherche (1994) View citations (12) (1994)

1996

89. An Analysis of the Real Interest Rate under Regime Shifts
    The Review of Economics and Statistics, 1996, 78, (1), 111-25 View citations (457)
    See also Working Paper An Analysis of the Real Interest Rate Under Regime Shifts, CIRANO Working Papers (1995) View citations (4) (1995)
90. THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
    Journal of Time Series Analysis, 1996, 17, (4), 379-408 View citations (9)
    See also Working Paper The Exact Error in Estimating the Special Density at the Origin, Cahiers de recherche (1995) View citations (1) (1995)
91. The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
    Journal of Econometrics, 1996, 70, (2), 317-350 View citations (8)
    See also Working Paper The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors, Cahiers de recherche (1994) (1994)
92. The effect of linear filters on dynamic time series with structural change
    Journal of Econometrics, 1996, 70, (1), 69-97 View citations (24)
    See also Working Paper The Effect of Linear Filters on Dynamic Time series with Structural Change, Cahiers de recherche (1994) View citations (2) (1994)
93. Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
    The Review of Economic Studies, 1996, 63, (3), 435-463 View citations (406)
    See also Working Paper Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties, Cahiers de recherche (1994) View citations (8) (1994)

1994

94. Local asymptotic distribution related to the AR(1) model with dependent errors
    Journal of Econometrics, 1994, 62, (2), 229-264 View citations (32)
    See also Working Paper Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors, Working Papers (1991) (1991)

1993

95. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations (39)
96. A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks
    Brazilian Review of Econometrics, 1993, 13, (2) View citations (12)
97. Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]
    Econometrica, 1993, 61, (1), 248-49 View citations (58)
98. The HUMP-Shaped Behavior of Macroeconomic Fluctuations
    Empirical Economics, 1993, 18, (4), 707-27 View citations (10)
99. The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 57-98 View citations (95)
    See also Working Paper THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT, Cahiers de recherche (1990) View citations (6) (1990)

1992

100. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
     Journal of Business & Economic Statistics, 1992, 10, (3), 301-20 View citations (681)
     See also Working Paper Nonstationary and Level Shifts With An Application To Purchasing Power Parity, Working Papers (1991) View citations (22) (1991)
101. Racines unitaires en macroéconomie: le cas d’une variable
     L'Actualité Economique, 1992, 68, (1), 325-356 View citations (5)
102. Racines unitaires en macroéconomie: le cas multidimensionnel
     Annals of Economics and Statistics, 1992, (27), 1-50 View citations (7)
103. 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 (174)

1991

104. A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
     Econometric Theory, 1991, 7, (2), 236-252 View citations (7)
105. A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept
     Econometrica, 1991, 59, (1), 211-36 View citations (35)
     See also Working Paper A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT, Working Papers (1988) View citations (2) (1988)
106. Test Consistency with Varying Sampling Frequency
     Econometric Theory, 1991, 7, (3), 341-368 View citations (47)
     See also Working Paper TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY, Working Papers (1989) (1989)

1990

107. 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 (621)
     See also Working Paper TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN, Working Papers (1989) View citations (34) (1989)

1989

108. The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model
     Econometric Theory, 1989, 5, (2), 241-255 View citations (23)
     See also Working Paper The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model, Cahiers de recherche (1987) View citations (4) (1987)
109. The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
     Econometrica, 1989, 57, (6), 1361-1401 View citations (4040)
     See also Working Paper THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS, Working Papers (1988) View citations (165) (1988)

1988

110. 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 (424)
     See also Working Paper Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach, Cahiers de recherche (1986) View citations (5) (1986)

1987

111. Does GNP have a unit root?: A re-evaluation
     Economics Letters, 1987, 23, (2), 139-145 View citations (51)
     See also Working Paper Does Gnp Have a Unit Root? a Reevaluation, Cahiers de recherche (1986) View citations (5) (1986)

1985

112. Testing the random walk hypothesis: Power versus frequency of observation
     Economics Letters, 1985, 18, (4), 381-386 View citations (310)
     See also Working Paper Testing the Random Walk Hypothesis: Power versus Frequency of Observation, NBER Technical Working Papers (1985) View citations (304) (1985)

Chapters

2024

1. Forecasting in the presence of in-sample and out-of-sample breaks
   Springer
   See also Journal Article Forecasting in the presence of in-sample and out-of-sample breaks, Springer (2023) View citations (1) (2023)

1994

2. Trend, Unit Root and Structural Change in Macroeconomic Time Series
   Palgrave Macmillan View citations (109)

1991

3. 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 (1045)
   See also Working Paper Pitfalls and Opportunities: What Macroeconomics should know about unit roots, Princeton, Department of Economics - Econometric Research Program (1991) View citations (339) (1991)

Editor

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