Pierre Perron - Publications

Affiliations: 
1986-1988 Economics Université de Montréal, Montréal, Canada 
 1988-1992 Economics Princeton University, Princeton, NJ 
 1992-1997 Economics Université de Montréal, Montréal, Canada 
 1997- Economics Boston University, Boston, MA, United States 

78 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Perron P, Yamamoto Y, Zhou J. Testing jointly for structural changes in the error variance and coefficients of a linear regression model Quantitative Economics. 11: 1019-1057. DOI: 10.3982/Qe1332  1
2020 Kejriwal M, Yu X, Perron P. Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series Journal of Time Series Analysis. 41: 676-690. DOI: 10.1111/Jtsa.12528  1
2019 Perron P, Yamamoto Y. Testing for Changes in Forecasting Performance Journal of Business & Economic Statistics. 1-18. DOI: 10.1080/07350015.2019.1641410  1
2018 Estrada F, Perron P. Causality from long-lived radiative forcings to the climate trend. Annals of the New York Academy of Sciences. PMID 30044510 DOI: 10.1111/Nyas.13923  0.6
2017 Estrada F, Martins LF, Perron P. Characterizing and attributing the warming trend in sea and land surface temperatures Atmosfera. 30: 163-187. DOI: 10.20937/Atm.2017.30.02.06  0.6
2017 Li Y, Perron P. Inference on locally ordered breaks in multiple regressions Econometric Reviews. 36: 289-353. DOI: 10.1080/07474938.2015.1114552  1
2016 Martins LF, Perron P. Improved Tests for Forecast Comparisons in the Presence of Instabilities Journal of Time Series Analysis. DOI: 10.1111/Jtsa.12179  1
2016 Chang SY, Perron P. A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models Econometric Reviews. 1-25. DOI: 10.1080/07474938.2015.1122142  1
2016 Perron P, Yamamoto Y. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests Econometric Reviews. 35: 782-844. DOI: 10.1080/07474938.2014.977621  1
2015 Chang SY, Perron P. Inference on a Structural Break in Trend with Fractionally Integrated Errors Journal of Time Series Analysis. DOI: 10.1111/Jtsa.12176  1
2015 Perron P, Wada T. Measuring business cycles with structural breaks and outliers: Applications to international data Research in Economics. DOI: 10.1016/J.Rie.2015.12.001  1
2015 Perron P, Yamamoto Y. Using OLS to estimate and test for structural changes in models with endogenous regressors Journal of Applied Econometrics. 30: 119-144. DOI: 10.1002/Jae.2320  1
2014 Perron P, Yamamoto Y. A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS Econometric Theory. 30: 491-507. DOI: 10.1017/S0266466613000388  1
2014 Hou J, Perron P. Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations Journal of Econometrics. 182: 309-328. DOI: 10.1016/J.Jeconom.2014.05.004  1
2014 Xu J, Perron P. Forecasting return volatility: Level shifts with varying jump probability and mean reversion International Journal of Forecasting. 30: 449-463. DOI: 10.1016/J.Ijforecast.2013.12.012  1
2013 Estrada F, Perron P, Gay-García C, Martínez-López B. A time-series analysis of the 20th century climate simulations produced for the IPCC's Fourth Assessment Report. Plos One. 8: e60017. PMID 23555866 DOI: 10.1371/Journal.Pone.0060017  1
2013 McCloskey A, Perron P. Memory parameter estimation in the presence of level shifts and deterministic trends Econometric Theory. 29: 1196-1237. DOI: 10.2139/Ssrn.2171907  1
2013 Qu Z, Perron P. A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices Econometrics Journal. 16: 309-339. DOI: 10.1111/J.1368-423X.2012.00394.X  1
2013 Yamamoto Y, Perron P. Estimating and testing multiple structural changes in linear models using band spectral regressions Econometrics Journal. 16: 400-429. DOI: 10.1111/Ectj.12010  1
2013 Estrada F, Perron P, Martínez-López B. Statistically derived contributions of diverse human influences to twentieth-century temperature changes Nature Geoscience. 6: 1050-1055. DOI: 10.1038/Ngeo1999  1
2013 Kejriwal M, Perron P, Zhou J. Wald tests for detecting multiple structural changes in persistence Econometric Theory. 29: 289-323. DOI: 10.1017/S0266466612000357  1
2013 Perron P, Chun S, Vodounou C. Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices Journal of Empirical Finance. 20: 42-62. DOI: 10.1016/J.Jempfin.2012.10.002  1
2012 Perron P, Yabu T. Testing for trend in the presence of autoregressive error: A comment Journal of the American Statistical Association. 107: 844. DOI: 10.1080/01621459.2012.668638  1
2012 Kejriwal M, Perron P. A note on estimating a structural change in persistence Economics Letters. 117: 932-935. DOI: 10.1016/J.Econlet.2012.07.020  1
2011 Perron P, Smith RJ. Royal Economic Society Annual Conference 2009, Special Issue on Factor Models: Theoretical and Applied Perspectives Econometrics Journal. 14: Ci-Ciii. DOI: 10.1111/J.1368-423X.2010.00339.X  1
2010 Kejriwal M, Perron P. Testing for multiple structural changes in cointegrated regression models Journal of Business and Economic Statistics. 28: 503-522. DOI: 10.1198/Jbes.2009.07220  1
2010 Perron P, Qu Z. Long-memory and level shifts in the volatility of stock market return indices Journal of Business and Economic Statistics. 28: 275-290. DOI: 10.1198/Jbes.2009.06171  1
2010 Kejriwal M, Perron P. A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component Journal of Time Series Analysis. 31: 305-328. DOI: 10.1111/J.1467-9892.2010.00666.X  1
2010 Lu YK, Perron P. Modeling and forecasting stock return volatility using a random level shift model Journal of Empirical Finance. 17: 138-156. DOI: 10.1016/J.Jempfin.2009.10.001  1
2009 Perron P, Yabu T. Testing for shifts in trend with an integrated or stationary noise component Journal of Business and Economic Statistics. 27: 369-396. DOI: 10.1198/Jbes.2009.07268  1
2009 Carrion-I-Silvestre JL, Kim D, Perron P. GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses Econometric Theory. 25: 1754-1792. DOI: 10.1017/S0266466609990326  1
2009 Perron P, Wada T. Let's take a break: Trends and cycles in US real GDP Journal of Monetary Economics. 56: 749-765. DOI: 10.1016/J.Jmoneco.2009.08.001  1
2009 Perron P, Yabu T. Estimating deterministic trends with an integrated or stationary noise component Journal of Econometrics. 151: 56-69. DOI: 10.1016/J.Jeconom.2009.03.011  1
2009 Kim D, Perron P. Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope Journal of Econometrics. 149: 26-51. DOI: 10.1016/J.Jeconom.2008.10.010  1
2009 Kim D, Perron P. 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. 148: 1-13. DOI: 10.1016/J.Jeconom.2008.08.019  1
2008 Kejriwal M, Perron P. Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression Econometric Theory. 24: 1425-1441. DOI: 10.1017/S0266466608080560  1
2008 Deng A, Perron P. The limit distribution of the cusum of squares test under general mixing conditions Econometric Theory. 24: 809-822. DOI: 10.1017/S026646660808033X  1
2008 Kejriwal M, Perron P. The limit distribution of the estimates in cointegrated regression models with multiple structural changes Journal of Econometrics. 146: 59-73. DOI: 10.1016/J.Jeconom.2008.07.001  1
2008 Deng A, Perron P. A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change Journal of Econometrics. 142: 212-240. DOI: 10.1016/J.Jeconom.2007.04.002  1
2007 Qu Z, Perron P. Estimating and testing structural changes in multivariate regressions Econometrica. 75: 459-502. DOI: 10.1111/J.1468-0262.2006.00754.X  1
2007 Qu Z, Perron P. A modified information criterion for cointegration tests based on a var approximation Econometric Theory. 23: 638-685. DOI: 10.1017/S0266466607070284  1
2007 Perron P, Qu Z. A simple modification to improve the finite sample properties of Ng and Perron's unit root tests Economics Letters. 94: 12-19. DOI: 10.1016/J.Econlet.2006.06.009  1
2006 Deng A, Perron P. A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend Econometrics Journal. 9: 423-447. DOI: 10.1111/J.1368-423X.2006.00192.X  1
2006 Bai J, Perron P. Multiple structural change models: A simulation analysis Econometric Theory and Practice: Frontiers of Analysis and Applied Research. 212-238. DOI: 10.1017/CBO9781139164863.010  1
2006 Perron P, Qu Z. Estimating restricted structural change models Journal of Econometrics. 134: 373-399. DOI: 10.1016/J.Jeconom.2005.06.030  1
2005 Ng S, Perron P. A note on the selection of time series models Oxford Bulletin of Economics and Statistics. 67: 115-134. DOI: 10.1111/J.1468-0084.2005.00113.X  1
2005 Perron P, Vodounou C. The variance ratio test: An analysis of size and power based on a continuous-time asymptotic framework Econometric Theory. 21: 562-592. DOI: 10.1017/S0266466605050322  1
2005 Perron P, Zhu X. Structural breaks with deterministic and stochastic trends Journal of Econometrics. 129: 65-119. DOI: 10.1016/J.Jeconom.2004.09.004  1
2004 Perron P, Vodounou C. Tests of return predictability: An analysis of their properties based on a continuous time asymptotic framework Journal of Empirical Finance. 11: 203-230. DOI: 10.1016/J.Jempfin.2003.04.001  1
2003 Perron P, Rodríguez G. Searching for additive outliers in nonstationary time series Journal of Time Series Analysis. 24: 193-220. DOI: 10.1111/1467-9892.00303  1
2003 Perron P. Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1) Econometric Reviews. 22: 239-245. DOI: 10.1081/Etc-120023900  1
2003 Perron P, Rodríguez G. GLS detrending, efficient unit root tests and structural change Journal of Econometrics. 115: 1-27. DOI: 10.1016/S0304-4076(03)00090-3  1
2003 Bai J, Perron P. Computation and analysis of multiple structural change models Journal of Applied Econometrics. 18: 1-22. DOI: 10.1002/Jae.659  1
2001 Ng S, Perron P. Lag length selection and the construction of unit root tests with good size and power Econometrica. 69: 1519-1554. DOI: 10.1111/1468-0262.00256  1
2000 Perron P, Mallet S. A look at the quality of the approximation of the functional central limit theorem Economics Letters. 68: 225-234. DOI: 10.1016/S0165-1765(00)00253-6  1
1999 Cati RC, Garcia MGP, Perron P. Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data Journal of Applied Econometrics. 14: 27-56. DOI: 10.1002/(Sici)1099-1255(199901/02)14:1<27::Aid-Jae490>3.0.Co;2-G  1
1998 Bai J, Perron P. Estimating and testing linear models with multiple structural changes Econometrica. 66: 47-78. DOI: 10.2307/2998540  1
1998 Vogelsang TJ, Perron P. Additional tests for a unit root allowing for a break in the trend function at an unknown time International Economic Review. 39: 1073-1100. DOI: 10.2307/2527353  1
1998 Perron P, Ng S. An autoregressive spectral density estimator at frequency zero for nonstationarity tests Econometric Theory. 14: 560-603. DOI: 10.1017/S0266466698145024  1
1997 Perron P. Further evidence on breaking trend functions in macroeconomic variables Journal of Econometrics. 80: 355-385. DOI: 10.1016/S0304-4076(97)00049-3  1
1997 Ng S, Perron P. Estimation and inference in nearly unbalanced nearly cointegrated systems Journal of Econometrics. 79: 53-81. DOI: 10.1016/S0304-4076(97)00007-9  1
1996 Perron P, Serena NG. Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties Review of Economic Studies. 63: 435-463. DOI: 10.2307/2297890  1
1996 Garcia R, Perron P. An analysis of the real interest rate under regime shifts Review of Economics and Statistics. 78: 111-124. DOI: 10.2307/2109851  1
1996 Ng S, Perron P. The exact error in estimating the spectral density at the origin Journal of Time Series Analysis. 17: 379-408. DOI: 10.1111/J.1467-9892.1996.Tb00284.X  1
1996 Ghysels E, Perron P. The effect of linear filters on dynamic time series with structural change Journal of Econometrics. 70: 69-97. DOI: 10.1016/0304-4076(94)01684-4  1
1996 Perron P. The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors Journal of Econometrics. 70: 317-350. DOI: 10.1016/0304-4076(94)01657-7  1
1995 Nabeya S, Perron P. Approximations to some exact distributions in the first order autoregressive model with dependent errors Econometric Reviews. 14: 421-457. DOI: 10.1080/07474939508800330  1
1995 Ng S, Perron P. Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag Journal of the American Statistical Association. 90: 268-281. DOI: 10.1080/01621459.1995.10476510  1
1994 Nabeya S, Perron P. Local asymptotic distribution related to the AR(1) model with dependent errors Journal of Econometrics. 62: 229-264. DOI: 10.1016/0304-4076(94)90023-X  1
1993 Ghysels E, Perron P. The effect of seasonal adjustment filters on tests for a unit root Journal of Econometrics. 55: 57-98. DOI: 10.1016/0304-4076(93)90004-O  1
1993 Perron P, Campbell JY. A note on Johansen's cointegration procedure when trends are present Empirical Economics. 18: 777-789. DOI: 10.1007/Bf01205421  1
1993 Perron P. The HUMP-shaped behavior of macroeconomic fluctuations Empirical Economics. 18: 707-727. DOI: 10.1007/978-3-642-48742-2_7  1
1992 Perron P, Vogelsang TJ. Testing for a unit root in a time series with a changing mean: Corrections and extensions Journal of Business and Economic Statistics. 10: 467-470. DOI: 10.1080/07350015.1992.10509923  1
1992 Perron P, Vogelsang TJ. Nonstationarity and level shifts with an application to purchasing power parity Journal of Business and Economic Statistics. 10: 301-320. DOI: 10.1080/07350015.1992.10509907  1
1988 Phillips PCB, Perron P. Testing for a unit root in time series regression Biometrika. 75: 335-346. DOI: 10.1093/Biomet/75.2.335  1
1988 Perron P. Trends and random walks in macroeconomic time series. Further evidence from a new approach Journal of Economic Dynamics and Control. 12: 297-332. DOI: 10.1016/0165-1889(88)90043-7  1
1987 Perron P, Phillips PCB. Does GNP have a unit root?. A re-evaluation Economics Letters. 23: 139-145. DOI: 10.1016/0165-1765(87)90027-9  1
1985 Shiller RJ, Perron P. Testing the random walk hypothesis. Power versus frequency of observation Economics Letters. 18: 381-386. DOI: 10.1016/0165-1765(85)90058-8  1
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