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 2023-05-08. Update your information in the RePEc Author Service.

Short-id: ppe32

---

Jump to Journal Articles Chapters Editor

Working Papers

2021

1. Change-Point Analysis of Time Series with Evolutionary Spectra
   Papers, arXiv.org
2. Continuous Record Asymptotics for Change-Points Models
   Papers, arXiv.org View citations (9)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2020)
3. 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 (4)
   See also Journal Article in Econometric Theory (2022)
4. Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
   Papers, arXiv.org View citations (3)
5. Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings
   Papers, arXiv.org
   See also Journal Article in Econometric Reviews (2023)
6. Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference
   Papers, arXiv.org View citations (7)

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 in Journal of Time Series Analysis (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 in Journal of Time Series Analysis (2020)
9. Continuous Record Laplace-based Inference about the Break Date in Structural Change Models
   Papers, arXiv.org View citations (7)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2020)
   See also Journal Article in Journal of Econometrics (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 (15)
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 in Empirical Economics (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 in Econometrics (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 in Quantitative Economics (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 in Journal of Business & Economic Statistics (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 in Journal of Econometrics (2020)
18. Structural Breaks in Time Series
    Papers, arXiv.org View citations (28)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2018) View citations (11)
19. Testing for Common Breaks in a Multiple Equations System
    Papers, arXiv.org View citations (9)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) View citations (9)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011) View citations (10)
    See also Journal Article in Journal of Econometrics (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 in Quantitative Finance (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 (20)
    See also Journal Article in Journal of Time Series Analysis (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 in Econometric Reviews (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 in Journal of Time Series Analysis (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 in Econometric Reviews (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 in Journal of Time Series Analysis (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 in Research in Economics (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 in Oxford Bulletin of Economics and Statistics (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 in International Journal of Forecasting (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 (46)

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)
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 in Econometrics Journal (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 in Econometric Theory (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
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2008) View citations (3)
    See also Journal Article in Econometric Reviews (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 in Econometric Theory (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 in Applied Economics (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 in Journal of Empirical Finance (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 in Journal of the American Statistical Association (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 in Journal of Applied Econometrics (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 in Journal of Time Series Econometrics (2011)

2009

49. A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component
    Purdue University Economics Working Papers, Purdue University, Department of Economics View citations (10)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2009) View citations (5)
    See also Journal Article in Journal of Time Series Analysis (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 (53)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (10)
    See also Journal Article in Journal of Monetary Economics (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 in Econometric Theory (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 (7)
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 in Journal of Business & Economic Statistics (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 in Journal of Empirical Finance (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 (67)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (35)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (2008) View citations (15)
    See also Journal Article in Journal of Business & Economic Statistics (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 in Journal of Econometrics (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 in Econometric Theory (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 (2006) View citations (6)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (2)
    See also Journal Article in Journal of Econometrics (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 in Journal of Business & Economic Statistics (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 in Econometric Theory (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 in Economics Letters (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 in Journal of Econometrics (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 (16)
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 in Econometric Theory (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 in Journal of Econometrics (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 in Journal of Econometrics (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 in Econometrics Journal (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 (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (5)
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 in Econometrica (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 in Annals of Economics and Finance (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 in Oxford Bulletin of Economics and Statistics (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 in Econometrica (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 in Journal of Time Series Analysis (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 in Econometrics Journal (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 in Journal of Applied Econometrics (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 in Journal of Econometrics (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, Universite de Montreal, Departement de sciences economiques View citations (7)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (7)
    See also Journal Article in Econometric Theory (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, Universite de Montreal, Departement de sciences economiques (1991) View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (4)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (16)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (2)
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (1)
    See also Journal Article in The Review of Economics and Statistics (1996)
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, Universite de Montreal, Departement de sciences economiques View citations (48)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (16)
    See also Journal Article in Econometrica (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 in Journal of Econometrics (1997)
91. The Exact Error in Estimating the Special Density at the Origin
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (1)
    See also Journal Article in Journal of Time Series Analysis (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 in International Economic Review (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 (13)
    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 in Journal of Econometrics (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 in Journal of Econometrics (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 in Journal of Econometrics (1996)
98. Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (13)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (118)
99. Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (18)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (8)
    See also Journal Article in Review of Economic Studies (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 in Journal of Econometrics (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 in Journal of Business & Economic Statistics (1992)
103. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
     Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (338)
     Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) View citations (1032)
     Scholarly Articles, Harvard University Department of Economics (1991) View citations (1066)
     See also Chapter (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 (1)
     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 in Journal of Econometrics (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 in Econometric Theory (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 in Journal of Business & Economic Statistics (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 in Econometrica (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 (166)
     See also Journal Article in Econometrica (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 (444)
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 in Econometric Theory (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 in Economics Letters (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 in Journal of Economic Dynamics and Control (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 (300)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1984) View citations (30)
     See also Journal Article in Economics Letters (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 (520)

Journal Articles

2023

1. Forecasting in the presence of in-sample and out-of-sample breaks
   Empirical Economics, 2023, 64, (6), 3001-3035
2. Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
   Econometric Reviews, 2023, 42, (3), 281-306
   See also Working Paper (2021)

2022

3. 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 (2020)
4. GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
   Econometric Theory, 2022, 38, (1), 35-65 View citations (1)
   See also Working Paper (2021)
5. Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
   Journal of Time Series Analysis, 2022, 43, (3), 389-411
6. 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 (2)
   See also Working Paper (2020)

2021

7. Continuous record Laplace-based inference about the break date in structural change models
   Journal of Econometrics, 2021, 224, (1), 3-21 View citations (3)
   See also Working Paper (2020)
8. Testing for Changes in Forecasting Performance
   Journal of Business & Economic Statistics, 2021, 39, (1), 148-165 View citations (4)
   See also Working Paper (2019)

2020

9. 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 (2020)
10. 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 (5)
    See also Working Paper (2018)
11. 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 (8)
12. Temporal Aggregation and Long Memory for Asset Price Volatility
    JRFM, 2020, 13, (8), 1-18 View citations (1)
13. 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 (13)
    See also Working Paper (2019)

2019

14. 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 (2019)
15. Saltos, tendencias y la atribución del cambio climático: un análisis de series de tiempo
    Revista Economía, 2019, 42, (83), 1-31

2018

16. 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 (15)
    See also Working Paper (2015)
17. Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
    Quantitative Finance, 2018, 18, (3), 371-393 View citations (13)
    See also Working Paper (2017)
18. Testing for common breaks in a multiple equations system
    Journal of Econometrics, 2018, 204, (1), 66-85 View citations (9)
    See also Working Paper (2018)

2017

19. Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures
    Journal of Time Series Analysis, 2017, 38, (5), 711-732 View citations (6)
    See also Working Paper (2017)
20. 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 (7)
21. Inference on locally ordered breaks in multiple regressions
    Econometric Reviews, 2017, 36, (1-3), 289-353 View citations (8)
    See also Working Paper (2015)
22. Modelling exchange rate volatility with random level shifts
    Applied Economics, 2017, 49, (26), 2579-2589 View citations (6)
23. 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 (8)
    See also Working Paper (2015)
24. Time Series Methods Applied to Climate Change
    Journal of Time Series Analysis, 2017, 38, (5), 639-639
25. Unit Roots and Structural Breaks
    Econometrics, 2017, 5, (2), 1-3 View citations (4)

2016

26. Improved Tests for Forecast Comparisons in the Presence of Instabilities
    Journal of Time Series Analysis, 2016, 37, (5), 650-659 View citations (15)
    See also Working Paper (2015)
27. 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 (2015)
28. Measuring business cycles with structural breaks and outliers: Applications to international data
    Research in Economics, 2016, 70, (2), 281-303 View citations (15)
    See also Working Paper (2015)
29. 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 (2012)
30. Residuals‐based tests for cointegration with generalized least‐squares detrended data
    Econometrics Journal, 2016, 19, (1), 84-111 View citations (4)

2015

31. 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 (26)
    See also Working Paper (2011)

2014

32. 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 (2011)
33. Forecasting return volatility: Level shifts with varying jump probability and mean reversion
    International Journal of Forecasting, 2014, 30, (3), 449-463 View citations (31)
    See also Working Paper (2013)
34. 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 (35)

2013

35. 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)
36. 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 (31)
37. 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 (2011)
38. 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 (2012)
39. MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
    Econometric Theory, 2013, 29, (6), 1196-1237 View citations (40)
    See also Working Paper (2012)
40. 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 (4)
    See also Working Paper (2011)
41. WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
    Econometric Theory, 2013, 29, (2), 289-323 View citations (29)
    See also Working Paper (2009)

2012

42. A note on estimating a structural change in persistence
    Economics Letters, 2012, 117, (3), 932-935 View citations (4)
43. GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural
    Revista Economía, 2012, 35, (69), 174-203 View citations (1)
44. 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 (2011)

2011

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

2010

47. 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 (90)
    See also Working Paper (2009)
48. 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 (130)
    See also Working Paper (2008)
49. Modeling and forecasting stock return volatility using a random level shift model
    Journal of Empirical Finance, 2010, 17, (1), 138-156 View citations (65)
    See also Working Paper (2008)
50. Testing for Multiple Structural Changes in Cointegrated Regression Models
    Journal of Business & Economic Statistics, 2010, 28, (4), 503-522 View citations (119)
    See also Working Paper (2008)

2009

51. 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 (32)
    See also Working Paper (2006)
52. Estimating deterministic trends with an integrated or stationary noise component
    Journal of Econometrics, 2009, 151, (1), 56-69 View citations (109)
    See also Working Paper (2007)
53. 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 (235)
54. Let's take a break: Trends and cycles in US real GDP
    Journal of Monetary Economics, 2009, 56, (6), 749-765 View citations (96)
    See also Working Paper (2009)
55. Testing for Shifts in Trend With an Integrated or Stationary Noise Component
    Journal of Business & Economic Statistics, 2009, 27, (3), 369-396 View citations (207)
    See also Working Paper (2007)
56. 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 (228)
    See also Working Paper (2006)

2008

57. 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 (44)
    See also Working Paper (2007)
58. 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 (2007)
59. THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
    Econometric Theory, 2008, 24, (3), 809-822 View citations (39)
    See also Working Paper (2006)
60. The limit distribution of the estimates in cointegrated regression models with multiple structural changes
    Journal of Econometrics, 2008, 146, (1), 59-73 View citations (93)
    See also Working Paper (2006)

2007

61. 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 (2006)
62. 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 (131)
    See also Working Paper (2006)
63. Estimating and Testing Structural Changes in Multivariate Regressions
    Econometrica, 2007, 75, (2), 459-502 View citations (292)
    See also Working Paper (2005)

2006

64. 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 (16)
    See also Working Paper (2005)
65. Estimating restricted structural change models
    Journal of Econometrics, 2006, 134, (2), 373-399 View citations (74)

2005

66. A Note on the Selection of Time Series Models
    Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 115-134 View citations (41)
    See also Working Paper (2001)
67. Structural breaks with deterministic and stochastic trends
    Journal of Econometrics, 2005, 129, (1-2), 65-119 View citations (135)
68. 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

69. 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

70. 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)
71. Computation and analysis of multiple structural change models
    Journal of Applied Econometrics, 2003, 18, (1), 1-22 View citations (2712)
    See also Working Paper (1998)
72. Critical values for multiple structural change tests
    Econometrics Journal, 2003, 6, (1), 72-78 View citations (367)
73. GLS detrending, efficient unit root tests and structural change
    Journal of Econometrics, 2003, 115, (1), 1-27 View citations (107)
    See also Working Paper (1998)
74. SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES
    Journal of Time Series Analysis, 2003, 24, (2), 193-220 View citations (53)
    See also Working Paper (2000)

2002

75. 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 (2002)

2001

76. 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 (1998)
77. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
    Econometrica, 2001, 69, (6), 1519-1554 View citations (2372)
    See also Working Paper (2000)

2000

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

1999

79. 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 (60)

1998

80. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
    Econometric Theory, 1998, 14, (5), 560-603 View citations (39)
    See also Working Paper (1996)
81. 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 (304)
    See also Working Paper (1994)
82. Estimating and Testing Linear Models with Multiple Structural Changes
    Econometrica, 1998, 66, (1), 47-78 View citations (3198)
    See also Working Paper (1995)

1997

83. Estimation and inference in nearly unbalanced nearly cointegrated systems
    Journal of Econometrics, 1997, 79, (1), 53-81 View citations (43)
    See also Working Paper (1995)
84. Further evidence on breaking trend functions in macroeconomic variables
    Journal of Econometrics, 1997, 80, (2), 355-385 View citations (1072)
    See also Working Paper (1994)

1996

85. An Analysis of the Real Interest Rate under Regime Shifts
    The Review of Economics and Statistics, 1996, 78, (1), 111-25 View citations (445)
    See also Working Paper (1995)
86. THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
    Journal of Time Series Analysis, 1996, 17, (4), 379-408 View citations (8)
    See also Working Paper (1995)
87. 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 (1994)
88. 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 (1994)
89. Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
    Review of Economic Studies, 1996, 63, (3), 435-463 View citations (385)
    See also Working Paper (1994)

1994

90. 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 (1991)

1993

91. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations (39)
92. 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 (9)
93. Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]
    Econometrica, 1993, 61, (1), 248-49 View citations (56)
94. The HUMP-Shaped Behavior of Macroeconomic Fluctuations
    Empirical Economics, 1993, 18, (4), 707-27 View citations (10)
95. The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 57-98 View citations (93)
    See also Working Paper (1990)

1992

96. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 1992, 10, (3), 301-20 View citations (628)
    See also Working Paper (1991)
97. Racines unitaires en macroéconomie: le cas d’une variable
    L'Actualité Economique, 1992, 68, (1), 325-356 View citations (5)
98. Racines unitaires en macroéconomie: le cas multidimensionnel
    Annals of Economics and Statistics, 1992, (27), 1-50 View citations (7)
99. 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 (159)

1991

100. A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
     Econometric Theory, 1991, 7, (2), 236-252 View citations (7)
101. A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept
     Econometrica, 1991, 59, (1), 211-36 View citations (31)
     See also Working Paper (1988)
102. Test Consistency with Varying Sampling Frequency
     Econometric Theory, 1991, 7, (3), 341-368 View citations (44)
     See also Working Paper (1989)

1990

103. 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 (607)
     See also Working Paper (1989)

1989

104. 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 (22)
     See also Working Paper (1987)
105. The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
     Econometrica, 1989, 57, (6), 1361-1401 View citations (3749)
     See also Working Paper (1988)

1988

106. 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 (414)
     See also Working Paper (1986)

1987

107. Does GNP have a unit root?: A re-evaluation
     Economics Letters, 1987, 23, (2), 139-145 View citations (44)
     See also Working Paper (1986)

1985

108. Testing the random walk hypothesis: Power versus frequency of observation
     Economics Letters, 1985, 18, (4), 381-386 View citations (306)
     See also Working Paper (1985)

Chapters

1994

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

1991

2. 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 (1027)
   See also Working Paper (1991)

Editor

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