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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 
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105 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
2023 Estrada F, Perron P, Yamamoto Y. On the persistence of near-surface temperature dynamics in a warming world. Annals of the New York Academy of Sciences. PMID 38051498 DOI: 10.1111/nyas.15088  0.464
2023 Estrada F, Perron P, Yamamoto Y. Anthropogenic influence on extremes and risk hotspots. Scientific Reports. 13: 35. PMID 36593354 DOI: 10.1038/s41598-022-27220-9  0.366
2021 Estrada F, Kim D, Perron P. Spatial variations in the warming trend and the transition to more severe weather in midlatitudes. Scientific Reports. 11: 145. PMID 33420406 DOI: 10.1038/s41598-020-80701-7  0.546
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  0.632
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  0.772
2020 Casini A, Perron P. Continuous record Laplace-based inference about the break date in structural change models Journal of Econometrics. DOI: 10.1016/J.Jeconom.2020.05.020  0.49
2020 Kim D, Oka T, Estrada F, Perron P. Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures Journal of Econometrics. 214: 130-152. DOI: 10.1016/J.Jeconom.2019.05.008  0.621
2019 Perron P, Yamamoto Y. Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model Econometrics. 7: 22. DOI: 10.3390/Econometrics7020022  0.628
2019 Estrada F, Perrón P. Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis EconomíA. 42: 1-31. DOI: 10.18800/Economia.201901.001  0.343
2019 Perron P, Yamamoto Y. Testing for Changes in Forecasting Performance Journal of Business & Economic Statistics. 1-18. DOI: 10.1080/07350015.2019.1641410  0.529
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  0.314
2018 Oka T, Perron P. Testing for common breaks in a multiple equations system Journal of Econometrics. 204: 66-85. DOI: 10.1016/J.Jeconom.2018.01.003  0.472
2017 Perron P. Unit Roots and Structural Breaks Econometrics. 5: 22. DOI: 10.3390/Econometrics5020022  0.301
2017 Chang S, Perron P. Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses Econometrics. 5: 5. DOI: 10.3390/Econometrics5010005  0.675
2017 Perron P, Shintani M, Yabu T. Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component Oxford Bulletin of Economics and Statistics. 79: 822-850. DOI: 10.1111/Obes.12169  0.777
2017 Perron P, Zorita E. Time Series Methods Applied to Climate Change Journal of Time Series Analysis. 38: 639-639. DOI: 10.1111/Jtsa.12248  0.317
2017 Varneskov RT, Perron P. Combining long memory and level shifts in modelling and forecasting the volatility of asset returns Quantitative Finance. 18: 371-393. DOI: 10.1080/14697688.2017.1329591  0.398
2017 Li Y, Perron P. Inference on locally ordered breaks in multiple regressions Econometric Reviews. 36: 289-353. DOI: 10.1080/07474938.2015.1114552  0.373
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  0.501
2016 Perron P, Rodríguez G. Residuals‐based tests for cointegration with generalized least‐squares detrended data The Econometrics Journal. 19: 84-111. DOI: 10.1111/Ectj.12056  0.48
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  0.664
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  0.618
2016 Li Y, Perron P, Xu J. Modelling exchange rate volatility with random level shifts Applied Economics. 49: 2579-2589. DOI: 10.1080/00036846.2016.1243214  0.523
2016 Perron P, Xu J. Comments on “In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models” International Journal of Forecasting. 32: 891-892. DOI: 10.1016/J.Ijforecast.2016.04.002  0.463
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  0.625
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  0.552
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  0.654
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  0.637
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  0.541
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  0.415
2014 Estrada F, Perron P. Detection and attribution of climate change through econometric methods BoletíN De La Sociedad MatemáTica Mexicana. 20: 107-136. DOI: 10.1007/S40590-014-0009-7  0.326
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  0.342
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  0.735
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  0.546
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  0.577
2013 Chun S, Perron P. Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run Applied Economics. 45: 3512-3528. DOI: 10.1080/00036846.2012.724160  0.696
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  0.785
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  0.597
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  0.69
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  0.758
2011 Perron P, Ren L. On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance Journal of Time Series Econometrics. 3. DOI: 10.2202/1941-1928.1062  0.644
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  0.792
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  0.558
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  0.777
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  0.426
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  0.704
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  0.72
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  0.357
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  0.639
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  0.703
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  0.717
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  0.758
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  0.673
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  0.785
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  0.675
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  0.664
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  0.639
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  0.604
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  0.668
2006 Perron P, Qu Z. Estimating restricted structural change models Journal of Econometrics. 134: 373-399. DOI: 10.1016/J.Jeconom.2005.06.030  0.646
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  0.635
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  0.386
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  0.524
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  0.503
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  0.454
2003 Bai J, Perron P. Critical values for multiple structural change tests The Econometrics Journal. 6: 72-78. DOI: 10.1111/1368-423X.00102  0.377
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  0.436
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  0.531
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  0.49
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  0.687
2001 Perron P, Vodounou C. Asymptotic approximations in the near‐integrated model with a non‐zero initial condition The Econometrics Journal. 4: 143-169. DOI: 10.1111/1368-423X.00060  0.419
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  0.383
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  0.42
1998 Bai J, Perron P. Estimating and testing linear models with multiple structural changes Econometrica. 66: 47-78. DOI: 10.2307/2998540  0.538
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  0.673
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  0.649
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  0.469
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  0.673
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  0.509
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  0.356
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  0.639
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  0.351
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  0.473
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  0.412
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  0.655
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  0.432
1993 Perron P, Vogelsang TJ. A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks Brazilian Review of Econometrics. 13: 8. DOI: 10.12660/Bre.V13N21993.2981  0.512
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  0.433
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  0.456
1993 Perron P. The HUMP-shaped behavior of macroeconomic fluctuations Empirical Economics. 18: 707-727. DOI: 10.1007/978-3-642-48742-2_7  0.356
1992 Perron P. The limiting distribution of the least-squares estimator in nearly integrated seasonal models Canadian Journal of Statistics. 20: 121-134. DOI: 10.2307/3315463  0.361
1992 Perron P, Campbell JY. Racines unitaires en macroéconomie: le cas multidimensionnel Annals of Economics and Statistics. 1-50. DOI: 10.2307/20075873  0.52
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  0.693
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  0.716
1991 Campbell JY, Perron P. Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots Nber Macroeconomics Annual. 6: 141-220. DOI: 10.2307/3585053  0.516
1991 Perron P. A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept Econometrica. 59: 211. DOI: 10.2307/2938247  0.455
1991 Perron P. Test Consistency with Varying Sampling Frequency Econometric Theory. 7: 341-368. DOI: 10.1017/S0266466600004503  0.484
1991 Perron P. A Continuous Time Approximation to the Stationary First-Order Autoregressive Model Econometric Theory. 7: 236-252. DOI: 10.1017/S0266466600004436  0.506
1990 Perron P. Testing for a Unit Root in a Time Series With a Changing Mean Journal of Business & Economic Statistics. 8: 153-162. DOI: 10.1080/07350015.1990.10509786  0.513
1989 Perron P. The Great Crash, The Oil Price Shock And The Unit Root Hypothesis Econometrica. 57: 1361-1401. DOI: 10.2307/1913712  0.416
1989 Perron P. The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model Econometric Theory. 5: 241-255. DOI: 10.1017/S026646660001241X  0.432
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  0.52
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  0.436
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  0.497
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  0.407
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