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Pierre Perron

Personal Details

First Name:Pierre
Middle Name:
Last Name:Perron
Suffix:
RePEc Short-ID:ppe32
[This author has chosen not to make the email address public]
https://blogs.bu.edu/perron/
Department of Economics Boston University 270 Bay State Rd. Boston, MA, 02215 USA
Terminal Degree:1986 Economics Department; Yale University (from RePEc Genealogy)

Affiliation

Department of Economics
Boston University

Boston, Massachusetts (United States)
http://www.bu.edu/econ/
RePEc:edi:decbuus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Editorship

Working papers

  1. Alessandro Casini & Pierre Perron, 2021. "Change-Point Analysis of Time Series with Evolutionary Spectra," Papers 2106.02031, arXiv.org, revised Aug 2024.
  2. Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
  3. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
  4. Alessandro Casini & Pierre Perron, 2021. "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers 2103.02235, arXiv.org, revised Aug 2024.
  5. Pierre Perron & Yohei Yamamoto, 2020. "The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence," Boston University - Department of Economics - Working Papers Series WP2020-008, Boston University - Department of Economics.
  6. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
  7. Pierre Perron & Mototsugu Shintaniz & Tomoyoshi Yabu, 2020. "Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise," Boston University - Department of Economics - Working Papers Series WP2020-012, Boston University - Department of Economics.
  8. Mohitosh Kejriwal & Pierre Perron & Xuewen Yu, 2020. "A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2020-011, Boston University - Department of Economics.
  9. Perron, Pierre & Yamamoto, Yohei & 山本, 庸平, 2019. "Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model," Discussion Papers 2019-01, Graduate School of Economics, Hitotsubashi University.
  10. Pierre Perron & Yohei Yamamoto & Jing Zhou, 2019. "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 WP2020-010, Boston University - Department of Economics, revised Feb 2020.
  11. Dukpa Kim & Tatsushi Oka & Francisco Estrada & Pierre Perron, 2018. "Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures," Papers 1805.09937, arXiv.org.
  12. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
  13. Pierre Perron & Yohei Yamamoto, 2018. "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series WP2019-03, Boston University - Department of Economics, revised Dec 2018.
  14. Alessandro Casini & Pierre Perron, 2018. "Continuous Record Asymptotics for Change-Points Models," Papers 1803.10881, arXiv.org, revised Nov 2021.
  15. Alessandro Casini & Pierre Perron, 2018. "Generalized Laplace Inference in Multiple Change-Points Models," Papers 1803.10871, arXiv.org, revised Jan 2021.
  16. Alessandro Casini & Pierre Perron, 2018. "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models," Papers 1804.00232, arXiv.org, revised May 2020.
  17. Francisco Estrada & Luis Filipe Martins & Pierre Perron, 2017. "Characterizing and attributing the warming trend in sea and land surface temperatures," Boston University - Department of Economics - Working Papers Series WP2017-009, Boston University - Department of Economics.
  18. Francisco Estrada & Pierre Perron, 2016. "Extracting and analyzing the warming trend in global and hemispheric temperatures," Boston University - Department of Economics - Working Papers Series WP2017-008, Boston University - Department of Economics, revised Mar 2017.
  19. Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
  20. Pierre Perron & Mototsugu Shintani & Tomoyoshi Yabu, 2015. "Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series wp2015-018, Boston University - Department of Economics, revised Nov 2015.
  21. Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
  22. Luis Filipe Martins & Pierre Perron, 2014. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Boston University - Department of Economics - Working Papers Series 2014-003, Boston University - Department of Economics.
  23. Tatsuma Wada & Pierre Perron, 2014. "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series 2014-004, Boston University - Department of Economics.
  24. Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
  25. Seongyeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series 2013-023, Boston University - Department of Economics.
  26. Ye Li & Pierre Perron, 2013. "Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends," Boston University - Department of Economics - Working Papers Series 2013-010, Boston University - Department of Economics.
  27. Jiawen Xu & Pierre Perron, 2013. "Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion," Boston University - Department of Economics - Working Papers Series 2013-021, Boston University - Department of Economics.
  28. Jiawen Xu & Pierre Perron, 2013. "Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations," Boston University - Department of Economics - Working Papers Series 2013-006, Boston University - Department of Economics.
  29. Francisco Estrada & Pierre Perron & Benjamin Martinez-Lopez, 2013. "Statistically-derived contributions of diverse human influences to 20th century temperature changes," Boston University - Department of Economics - Working Papers Series 2013-017, Boston University - Department of Economics.
  30. Seongyeon Chang & Pierre Perron, 2013. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series 2013-020, Boston University - Department of Economics.
  31. Gabriel Rodriguez & Pierre Perron, 2013. "Single-equation tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series 2013-016, Boston University - Department of Economics.
  32. Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo / Working Papers 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.
  33. Pierre Perron & Francisco Estrada, 2012. "Breaks, trends and the attribution of climate change: a time-series analysis," Boston University - Department of Economics - Working Papers Series WP2012-013, Boston University - Department of Economics.
  34. Pierre Perron & Francisco Estrada & Benjamín Martínez-López, 2012. "Statistical evidence about human influence on the climate system," Boston University - Department of Economics - Working Papers Series WP2012-012, Boston University - Department of Economics.
  35. Ye Li & Pierre Perron, 2012. "Inference on Locally Ordered Breaks in Multiple Regressions," Boston University - Department of Economics - Working Papers Series wp2015-013, Boston University - Department of Economics, revised 02 Feb 2015.
  36. Pierre Perron & Francisco Estrada & Carlos Gay-García & Benjamín Martínez-López, 2011. "A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4," Boston University - Department of Economics - Working Papers Series WP2011-051, Boston University - Department of Economics.
  37. Pierre Perron & Yohei Yamamoto, 2011. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Boston University - Department of Economics - Working Papers Series WP2011-049, Boston University - Department of Economics.
  38. Pierre Perron & Tomoyoshi Yabu, 2011. "Testing for Trend in the Presence of Autoregressive Error: A Comment," Boston University - Department of Economics - Working Papers Series WP2011-052, Boston University - Department of Economics.
  39. Pierre Perron & Sungju Chun, 2011. "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 WP2011-056, Boston University - Department of Economics.
  40. Pierre Perron & Sungju Chun & Cosme Vodounou, 2011. "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series WP2011-055, Boston University - Department of Economics.
  41. Pierre Perron & Yohei Yamamoto, 2011. "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 WP2011-054, Boston University - Department of Economics.
  42. Pierre Perron & Yohei Yamamoto, 2011. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series WP2011-053, Boston University - Department of Economics.
  43. Rasmus Tangsgaard Varneskov & Pierre Perron, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," CREATES Research Papers 2011-26, Department of Economics and Business Economics, Aarhus University.
  44. Pierre Perron & Linxia Ren, 2010. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Boston University - Department of Economics - Working Papers Series WP2010-049, Boston University - Department of Economics.
  45. Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
  46. Mohitosh Kejriwal & Pierre Perron, 2009. "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 wp2009-005, Boston University - Department of Economics.
  47. Mohitosh Kejriwal & Pierre Perron & Jing Zhou, 2009. "Wald Tests for Detecting Multiple Structural Changes in Persistence," Purdue University Economics Working Papers 1223, Purdue University, Department of Economics.
  48. Pierre Perron & Yohei Yamamoto, 2008. "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series wp2008-017, Boston University - Department of Economics.
  49. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
  50. Jing Zhou & Pierre Perron, 2008. "Testing for Breaks in Coefficients and Error Variance: Simulations and Applications," Boston University - Department of Economics - Working Papers Series wp2008-010, Boston University - Department of Economics.
  51. Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.
  52. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
  53. Zhongjun Qu & Pierre Perron, 2008. "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 wp2008-007, Boston University - Department of Economics.
  54. Pierre Perron & Jing Zhou, 2008. "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Boston University - Department of Economics - Working Papers Series wp2008-011, Boston University - Department of Economics.
  55. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
  56. Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007. "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 wp2008-019, Boston University - Department of Economics.
  57. Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics.
  58. Pierre Perron & Zhongjun Qu, 2006. "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 WP2006-016, Boston University - Department of Economics.
  59. Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics.
  60. Ai Deng & Pierre Perron, 2006. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions," Boston University - Department of Economics - Working Papers Series wp2006-004, Boston University - Department of Economics.
  61. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
  62. Dukpa Kim & Pierre Perron, 2006. "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 WP2006-063, Boston University - Department of Economics.
  63. Mohitosh Kejriwal & Pierre Perron, 2006. "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 WP2006-052, Boston University - Department of Economics.
  64. Mohitosh Kejriwal & Pierre Perron, 2006. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series WP2006-064, Boston University - Department of Economics.
  65. Mohitosh Kejriwal & Pierre Perron, 2006. "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 WP2006-035, Boston University - Department of Economics.
  66. Pierre Perron & Zhongjun Qu, 2006. "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 WP2006-010, Boston University - Department of Economics.
  67. Tatsuma Wada & Pierre Perron, 2005. "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 WP2005-43, Boston University - Department of Economics.
  68. Zhongjun Qu & Pierre Perron, 2005. "Estimating and testing structural changes in multivariate regressions," Boston University - Department of Economics - Working Papers Series WP2005-012, Boston University - Department of Economics.
  69. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005 252, Society for Computational Economics.
  70. Ai Deng & Pierre Perron, 2005. "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," Boston University - Department of Economics - Working Papers Series WP2005-030, Boston University - Department of Economics.
  71. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics.
  72. Ai Deng & Pierre Perron, 2005. "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 WP2005-047, Boston University - Department of Economics.
  73. Pierre Perron & Tomoyoshi Yabu, 2005. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2005-026, Boston University - Department of Economics.
  74. Pierre Perron & Tomoyoshi Yabu, 2005. "Estimating Deterministric Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2005-037, Boston University - Department of Economics.
  75. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics.
  76. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
  77. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers 83, China Economics and Management Academy, Central University of Finance and Economics.
  78. Serena Ng & Pierre Perron, 2001. "A Note on the Selection of Time Series Models," Boston College Working Papers in Economics 500, Boston College Department of Economics.
  79. Perron, P. & Rodriguez, G., 2000. "Seraching for Additive Outliers in Nonstationary Time Series," Working Papers 0005e, University of Ottawa, Department of Economics.
  80. PERRON, Pierre & VODOUNOU, Cosme, 1998. "Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition," Cahiers de recherche 9815, Universite de Montreal, Departement de sciences economiques.
  81. PERRON, Pierre & RODRIGUEZ, Gabriel, 1998. "GLS Detrending, Efficient Unit Root Tests and Structural Change," Cahiers de recherche 9809, Universite de Montreal, Departement de sciences economiques.
  82. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  83. PERRON, Pierre & MALLET, Sylvie, 1998. "The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation," Cahiers de recherche 9817, Universite de Montreal, Departement de sciences economiques.
  84. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  85. Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Universite de Montreal, Departement de sciences economiques.
  86. Jushan Bai & Pierre Perron, 1995. "Estimating & Testing Linear Models with Multiple Structural Changes," Working papers 95-17, Massachusetts Institute of Technology (MIT), Department of Economics.
  87. Pierre Perron & Regina Cati & Marcio Gomes Pinto Garcia, 1995. "Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data," Textos para discussão 349, Department of Economics PUC-Rio (Brazil).
  88. Ng, S. & Perron, P., 1995. "The Exact Error in Estimating the Special Density at the Origin," Cahiers de recherche 9535, Universite de Montreal, Departement de sciences economiques.
  89. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
  90. René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO.
  91. Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche 9534, Universite de Montreal, Departement de sciences economiques.
  92. Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Universite de Montreal, Departement de sciences economiques.
  93. Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche 9422, Universite de Montreal, Departement de sciences economiques.
  94. Nabeya, S. & Perron, P., 1994. "Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors," Cahiers de recherche 9420, Universite de Montreal, Departement de sciences economiques.
  95. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques.
  96. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Universite de Montreal, Departement de sciences economiques.
  97. Perron, P., 1994. "The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors," Cahiers de recherche 9424, Universite de Montreal, Departement de sciences economiques.
  98. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
  99. Perron, P., 1991. "A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series," Papers 363, Princeton, Department of Economics - Econometric Research Program.
  100. Nabeya, S. & Perron, P., 1991. "Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors," Papers 362, Princeton, Department of Economics - Econometric Research Program.
  101. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  102. Perron, P., 1990. "The Limiting Distribution Of The Least Squares Estimator In Nearly Integrated Seasonal Models," Papers 354, Princeton, Department of Economics - Econometric Research Program.
  103. Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Tests For A Unit Root," Papers 355, Princeton, Department of Economics - Econometric Research Program.
  104. Perron, P., 1990. "The Adequacy Of Limiting Distributions In The Ar(1) Model With Dependent Errors," Papers 349, Princeton, Department of Economics - Econometric Research Program.
  105. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
  106. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
  107. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
  108. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  109. Perron,P., 1988. "Testing For A Random Walk: A Simulation Experiment Of Power When The Simpling Interval Is Varied," Papers 336, Princeton, Department of Economics - Econometric Research Program.
  110. Perron,P., 1988. "A Continuous Time Approximation To The Unstable First- Order Autoregressive Process: The Case Without An Intercept," Papers 337, Princeton, Department of Economics - Econometric Research Program.
  111. Perron, P., 1987. "The Great Crash, the Oil Prices and the Unit Root Hypothesis," Cahiers de recherche 8749, Universite de Montreal, Departement de sciences economiques.
  112. Perron, P., 1987. "The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model," Cahiers de recherche 8748, Universite de Montreal, Departement de sciences economiques.
  113. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  114. Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche 8650, Universite de Montreal, Departement de sciences economiques.
  115. Perron, P. & Phillips, P.C.B., 1986. "Does Gnp Have a Unit Root? a Reevaluation," Cahiers de recherche 8640, Universite de Montreal, Departement de sciences economiques.
  116. Perron, P., 1986. "Tests of Joint Hypotheses for Time Series Regression with a Unit Root," Cahiers de recherche 8632, Universite de Montreal, Departement de sciences economiques.
  117. Perron, P., 1985. "Methodology in Economics: the Logic of Appraisal," Cahiers de recherche 8557, Universite de Montreal, Departement de sciences economiques.
  118. Pierre Perron & Robert J. Shiller, 1984. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Cowles Foundation Discussion Papers 732, Cowles Foundation for Research in Economics, Yale University.
  119. Perron, Pierre & Vogelsang, Timothy J., "undated". "Level Shifts and Purchasing Power Parity," Instructional Stata datasets for econometrics levshift, Boston College Department of Economics.
  120. Pierre Perron & Gabriel Rodríguez, "undated". "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series wp2015-017, Boston University - Department of Economics, revised 19 Oct 2015.
  121. Francisco Estrada & Pierre Perron, "undated". "Detection and attribution of climate change through econometric methods," Boston University - Department of Economics - Working Papers Series 2013-015, Boston University - Department of Economics.

Articles

  1. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
  2. Casini, Alessandro & Perron, Pierre, 2024. "Change-point analysis of time series with evolutionary spectra," Journal of Econometrics, Elsevier, vol. 242(2).
  3. González-Coya Emilio & Perron Pierre, 2024. "Estimation in the Presence of Heteroskedasticity of Unknown Form: A Lasso-based Approach," Journal of Econometric Methods, De Gruyter, vol. 13(1), pages 29-48, January.
  4. Zhongjun Qu & Jungmo Yoon & Pierre Perron, 2024. "Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits," The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 521-541, March.
  5. Jiawen Xu & Pierre Perron, 2023. "Forecasting in the presence of in-sample and out-of-sample breaks," Empirical Economics, Springer, vol. 64(6), pages 3001-3035, June.
  6. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023. "Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings," Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
  7. Mohitosh Kejriwal & Pierre Perron & Xuewen Yu, 2022. "A two‐step procedure for testing partial parameter stability in cointegrated regression models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 219-237, March.
  8. Casini, Alessandro & Perron, Pierre, 2022. "Generalized Laplace Inference In Multiple Change-Points Models," Econometric Theory, Cambridge University Press, vol. 38(1), pages 35-65, February.
  9. Pierre Perron & Yohei Yamamoto, 2022. "The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence," Empirical Economics, Springer, vol. 62(3), pages 1193-1218, March.
  10. Pierre Perron & Yohei Yamamoto, 2022. "Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 389-411, May.
  11. Pierre Perron & Yohei Yamamoto, 2021. "Testing for Changes in Forecasting Performance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 148-165, January.
  12. Casini, Alessandro & Perron, Pierre, 2021. "Continuous record Laplace-based inference about the break date in structural change models," Journal of Econometrics, Elsevier, vol. 224(1), pages 3-21.
  13. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
  14. Pierre Perron & Wendong Shi, 2020. "Temporal Aggregation and Long Memory for Asset Price Volatility," JRFM, MDPI, vol. 13(8), pages 1-18, August.
  15. Pierre Perron & Yohei Yamamoto & Jing Zhou, 2020. "Testing jointly for structural changes in the error variance and coefficients of a linear regression model," Quantitative Economics, Econometric Society, vol. 11(3), pages 1019-1057, July.
  16. Kim, Dukpa & Oka, Tatsushi & Estrada, Francisco & Perron, Pierre, 2020. "Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures," Journal of Econometrics, Elsevier, vol. 214(1), pages 130-152.
  17. Perron, Pierre, 2020. "L'estimation de modèles avec changements structurels multiples," L'Actualité Economique, Société Canadienne de Science Economique, vol. 96(4), pages 789-837, Décembre.
  18. Francisco Estrada & Pierre Perron, 2019. "Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 1-31.
  19. Pierre Perron & Yohei Yamamoto, 2019. "Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model," Econometrics, MDPI, vol. 7(2), pages 1-11, May.
  20. Rasmus T. Varneskov & Pierre Perron, 2018. "Combining long memory and level shifts in modelling and forecasting the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 371-393, March.
  21. Oka, Tatsushi & Perron, Pierre, 2018. "Testing for common breaks in a multiple equations system," Journal of Econometrics, Elsevier, vol. 204(1), pages 66-85.
  22. Seong Yeon Chang & Pierre Perron, 2018. "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, vol. 37(6), pages 577-601, July.
  23. Pierre Perron & Eduardo Zorita & Pierre Perron & Eduardo Zorita, 2017. "Time Series Methods Applied to Climate Change," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 639-639, September.
  24. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, vol. 5(1), pages 1-26, January.
  25. Pierre Perron, 2017. "Unit Roots and Structural Breaks," Econometrics, MDPI, vol. 5(2), pages 1-3, May.
  26. Pierre Perron & Mototsugu Shintani & Tomoyoshi Yabu, 2017. "Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(5), pages 822-850, October.
  27. Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron, 2017. "Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 711-732, September.
  28. Ye Li & Pierre Perron & Jiawen Xu, 2017. "Modelling exchange rate volatility with random level shifts," Applied Economics, Taylor & Francis Journals, vol. 49(26), pages 2579-2589, June.
  29. Ye Li & Pierre Perron, 2017. "Inference on locally ordered breaks in multiple regressions," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 289-353, March.
  30. Luis Filipe Martins & Pierre Perron, 2016. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 650-659, September.
  31. Pierre Perron & Yohei Yamamoto, 2016. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
  32. Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
  33. Pierre Perron & Gabriel Rodríguez, 2016. "Residuals‐based tests for cointegration with generalized least‐squares detrended data," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 84-111, February.
  34. Seong Yeon Chang & Pierre Perron, 2016. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 555-574, July.
  35. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.
  36. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
  37. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
  38. Perron, Pierre & Yamamoto, Yohei, 2014. "A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls," Econometric Theory, Cambridge University Press, vol. 30(2), pages 491-507, April.
  39. Francisco Estrada & Pierre Perron & Carlos Gay-García & Benjamín Martínez-López, 2013. "A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report," PLOS ONE, Public Library of Science, vol. 8(3), pages 1-10, March.
  40. Sungju Chun & Pierre Perron, 2013. "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, vol. 45(24), pages 3512-3528, August.
  41. Zhongjun Qu & Pierre Perron, 2013. "A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 309-339, October.
  42. Kejriwal, Mohitosh & Perron, Pierre & Zhou, Jing, 2013. "Wald Tests For Detecting Multiple Structural Changes In Persistence," Econometric Theory, Cambridge University Press, vol. 29(2), pages 289-323, April.
  43. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
  44. Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
  45. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
  46. Pierre Perron & Gabriel Rodríguez, 2012. "GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 35(69), pages 174-203.
  47. Kejriwal, Mohitosh & Perron, Pierre, 2012. "A note on estimating a structural change in persistence," Economics Letters, Elsevier, vol. 117(3), pages 932-935.
  48. Pierre Perron & Tomoyoshi Yabu, 2012. "Testing for Trend in the Presence of Autoregressive Error: A Comment," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 844-844, June.
  49. Perron Pierre & Ren Linxia, 2011. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-34, October.
  50. Pierre Perron & Richard J. Smith, 2011. "Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives," Econometrics Journal, Royal Economic Society, vol. 14, pages 1-1, February.
  51. Kejriwal, Mohitosh & Perron, Pierre, 2010. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 503-522.
  52. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
  53. Mohitosh Kejriwal & Pierre Perron, 2010. "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, vol. 31(5), pages 305-328, September.
  54. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
  55. Kim, Dukpa & Perron, Pierre, 2009. "Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope," Journal of Econometrics, Elsevier, vol. 149(1), pages 26-51, April.
  56. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Testing for Shifts in Trend With an Integrated or Stationary Noise Component," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 369-396.
  57. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
  58. Kim, Dukpa & Perron, Pierre, 2009. "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, vol. 148(1), pages 1-13, January.
  59. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
  60. Carrion-i-Silvestre, Josep Lluís & Kim, Dukpa & Perron, Pierre, 2009. "Gls-Based Unit Root Tests With Multiple Structural Breaks Under Both The Null And The Alternative Hypotheses," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1754-1792, December.
  61. Kejriwal, Mohitosh & Perron, Pierre, 2008. "Data Dependent Rules For Selection Of The Number Of Leads And Lags In The Dynamic Ols Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1425-1441, October.
  62. Deng, Ai & Perron, Pierre, 2008. "The Limit Distribution Of The Cusum Of Squares Test Under General Mixing Conditions," Econometric Theory, Cambridge University Press, vol. 24(3), pages 809-822, June.
  63. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
  64. Kejriwal, Mohitosh & Perron, Pierre, 2008. "The limit distribution of the estimates in cointegrated regression models with multiple structural changes," Journal of Econometrics, Elsevier, vol. 146(1), pages 59-73, September.
  65. Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, vol. 23(4), pages 638-685, August.
  66. Perron, Pierre & Qu, Zhongjun, 2007. "A simple modification to improve the finite sample properties of Ng and Perron's unit root tests," Economics Letters, Elsevier, vol. 94(1), pages 12-19, January.
  67. Zhongjun Qu & Pierre Perron, 2007. "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, Econometric Society, vol. 75(2), pages 459-502, March.
  68. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
  69. Ai Deng & Pierre Perron, 2006. "A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 423-447, November.
  70. Perron, Pierre & Vodounou, Cosme, 2005. "The Variance Ratio Test: An Analysis Of Size And Power Based On A Continuous-Time Asymptotic Framework," Econometric Theory, Cambridge University Press, vol. 21(3), pages 562-592, June.
  71. Perron, Pierre & Zhu, Xiaokang, 2005. "Structural breaks with deterministic and stochastic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 65-119.
  72. Serena Ng & Pierre Perron, 2005. "A Note on the Selection of Time Series Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 115-134, February.
  73. Perron, Pierre & Vodounou, Cosme, 2004. "Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 203-230, March.
  74. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  75. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  76. Pierre Perron & Gabriel Rodríguez, 2003. "Searching For Additive Outliers In Nonstationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 193-220, March.
  77. Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, June.
  78. Pierre Perron, 2003. "Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1)," Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 239-245, January.
  79. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
  80. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  81. Pierre Perron & Cosme Vodounou, 2001. "Asymptotic approximations in the near-integrated model with a non-zero initial condition," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-42.
  82. Perron, Pierre & Mallet, Sylvie, 2000. "A look at the quality of the approximation of the functional central limit theorem," Economics Letters, Elsevier, vol. 68(3), pages 225-234, September.
  83. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb..
  84. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  85. Perron, Pierre & Ng, Serena, 1998. "An Autoregressive Spectral Density Estimator At Frequency Zero For Nonstationarity Tests," Econometric Theory, Cambridge University Press, vol. 14(5), pages 560-603, October.
  86. Vogelsang, Timothy J & Perron, Pierre, 1998. "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, vol. 39(4), pages 1073-1100, November.
  87. Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
  88. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
  89. Perron, Pierre, 1996. "The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors," Journal of Econometrics, Elsevier, vol. 70(2), pages 317-350, February.
  90. Pierre Perron & Serena Ng, 1996. "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, vol. 63(3), pages 435-463.
  91. Serena Ng & Pierre Perron, 1996. "The Exact Error In Estimating The Spectral Density At The Origin," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(4), pages 379-408, July.
  92. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-125, February.
  93. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
  94. Nabeya, Seiji & Perron, Pierre, 1994. "Local asymptotic distribution related to the AR(1) model with dependent errors," Journal of Econometrics, Elsevier, vol. 62(2), pages 229-264, June.
  95. Perron, Pierre & Campbell, John Y, 1993. "A Note on Johansen's Cointegration Procedure When Trends Are Present," Empirical Economics, Springer, vol. 18(4), pages 777-789.
  96. Perron, Pierre & Vogelsang, Timothy J., 1993. "A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 13(2), November.
  97. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
  98. Perron, Pierre, 1993. "The HUMP-Shaped Behavior of Macroeconomic Fluctuations," Empirical Economics, Springer, vol. 18(4), pages 707-727.
  99. Perron, P, 1993. "Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]," Econometrica, Econometric Society, vol. 61(1), pages 248-249, January.
  100. Pierre Perron & John Y. Campbell, 1992. "Racines unitaires en macroéconomie : le cas multidimensionnel," Annals of Economics and Statistics, GENES, issue 27, pages 1-50.
  101. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
  102. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
  103. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-470, October.
  104. Perron, Pierre, 1991. "Test Consistency with Varying Sampling Frequency," Econometric Theory, Cambridge University Press, vol. 7(3), pages 341-368, September.
  105. Perron, Pierre, 1991. "A Continuous Time Approximation to the Stationary First-Order Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 7(2), pages 236-252, June.
  106. Perron, Pierre, 1991. "A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept," Econometrica, Econometric Society, vol. 59(1), pages 211-236, January.
  107. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-162, April.
  108. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  109. Perron, Pierre, 1989. "The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model," Econometric Theory, Cambridge University Press, vol. 5(2), pages 241-255, August.
  110. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
  111. Perron, Pierre & Phillips, Peter C. B., 1987. "Does GNP have a unit root? : A re-evaluation," Economics Letters, Elsevier, vol. 23(2), pages 139-145.
  112. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386.

Chapters

  1. Pierre Perron, 1994. "Trend, Unit Root and Structural Change in Macroeconomic Time Series," Palgrave Macmillan Books, in: B. Bhaskara Rao (ed.), Cointegration, chapter 4, pages 113-146, Palgrave Macmillan.
  2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.

Editorship

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

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 68 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (50) 2002-03-14 2005-11-19 2006-03-18 2006-03-18 2006-03-18 2006-05-06 2006-10-28 2007-08-14 2007-08-14 2007-08-14 2009-04-13 2009-04-18 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-07-17 2009-08-22 2012-01-03 2012-07-23 2012-11-17 2015-04-02 2016-08-28 2016-08-28 2016-08-28 2016-08-28 2016-08-28 2016-08-28 2018-02-05 2018-02-26 2018-04-16 2018-04-16 2018-04-23 2018-05-21 2019-02-18 2019-02-18 2019-05-20 2019-05-20 2019-09-23 2020-06-22 2020-06-22 2020-06-22 2020-06-22 2021-03-15 2021-03-15 2021-03-15 2021-06-21. Author is listed
  2. NEP-ECM: Econometrics (47) 2002-03-27 2006-03-18 2006-03-18 2006-04-22 2006-05-06 2006-10-28 2006-10-28 2006-10-28 2007-08-14 2007-08-14 2007-08-14 2009-04-13 2009-04-18 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-06-10 2009-07-17 2009-08-22 2012-01-03 2012-07-23 2012-11-17 2015-04-02 2016-08-28 2016-08-28 2016-08-28 2016-08-28 2016-08-28 2018-02-05 2018-04-16 2018-04-16 2018-04-23 2018-05-21 2018-06-11 2019-05-20 2019-05-20 2020-06-22 2020-06-22 2020-06-22 2020-06-22 2021-03-15 2021-03-15 2021-03-15 2021-06-21. Author is listed
  3. NEP-ORE: Operations Research (21) 2009-06-10 2009-06-10 2015-04-02 2016-08-28 2016-08-28 2016-08-28 2016-08-28 2016-08-28 2018-06-11 2019-02-18 2019-05-20 2019-05-20 2020-06-22 2020-06-22 2020-06-22 2020-06-22 2020-06-22 2020-06-22 2020-06-22 2020-06-22 2021-06-21. Author is listed
  4. NEP-FOR: Forecasting (7) 2009-06-10 2009-06-10 2016-08-28 2016-08-28 2016-08-28 2018-06-11 2019-02-18. Author is listed
  5. NEP-ENV: Environmental Economics (6) 2012-06-05 2012-06-05 2016-09-04 2017-07-09 2017-07-09 2018-06-11. Author is listed
  6. NEP-MAC: Macroeconomics (5) 2005-11-19 2006-03-18 2006-10-28 2006-10-28 2016-08-28. Author is listed
  7. NEP-AGR: Agricultural Economics (3) 2012-06-05 2017-07-09 2017-07-09
  8. NEP-BEC: Business Economics (3) 2007-08-14 2019-05-20 2019-05-20
  9. NEP-IFN: International Finance (3) 2001-12-19 2002-03-14 2006-03-18
  10. NEP-CBA: Central Banking (2) 2002-03-14 2006-05-06
  11. NEP-ENE: Energy Economics (2) 2012-06-05 2012-06-05
  12. NEP-FIN: Finance (2) 2006-03-18 2006-10-28
  13. NEP-FMK: Financial Markets (2) 2006-03-18 2009-06-10
  14. NEP-CFN: Corporate Finance (1) 2007-08-14
  15. NEP-COM: Industrial Competition (1) 2007-08-14
  16. NEP-CSE: Economics of Strategic Management (1) 2007-08-14
  17. NEP-HPE: History and Philosophy of Economics (1) 2006-03-18
  18. NEP-IND: Industrial Organization (1) 2007-08-14
  19. NEP-INT: International Trade (1) 2006-03-18
  20. NEP-OPM: Open Economy Macroeconomics (1) 2016-08-28
  21. NEP-RMG: Risk Management (1) 2018-06-11
  22. NEP-SEA: South East Asia (1) 2012-06-05
  23. NEP-UPT: Utility Models and Prospect Theory (1) 2006-03-18

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