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User profiles for author:"Pierre Perron"

Pierre Perron

Department of Economics, Boston University
Verified email at bu.edu
Cited by 27975

The great crash, the oil price shock, and the unit root hypothesis

[PDF] from icesi.edu.co
P Perron - Econometrica: Journal of the Econometric Society, 1989 - JSTOR
We consider the null hypothesis that a time series has a unit root with possibly nonzero drift
against the alternative that the process is" trend-stationary." The interest is that we allow
under both the null and alternative hypotheses for the presence of a one-time change in ...
Cited by 4540 - Related articles - Get it from MIT Libraries - Library Search - All 29 versions

Estimating and testing linear models with multiple structural changes

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J Bai… - Econometrica, 1998 - JSTOR
This paper considers issues related to multiple structural changes, occurring at unknown
dates, in the linear regression model estimated by least squares. The main aspects are the
properties of the estimators, including the estimates of the break dates, and the ...
Cited by 1928 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 18 versions

[PDF] Pitfalls and opportunities: what macroeconomists should know about unit roots

[PDF] from nber.org
JY Campbell… - 1991 - nber.org
The field of macroeconomics has its share of econometric pitfalls for the unwary applied
researcher. During the last decade, macroeconomists have become aware of a new set of
econometric difficulties that arise when one or more variables of interest may have unit ...
Cited by 1644 - Related articles - View as HTML - Library Search - All 23 versions

Lag length selection and the construction of unit root tests with good size and power

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S Ng… - Econometrica, 2001 - Wiley Online Library
2. Abstract It is widely known that when there are errors with a moving-average root close
to− 1, a high order augmented autoregression is necessary for unit root tests to have good
size, but that information criteria such as the AIC and the BIC tend to select a truncation ...
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Computation and analysis of multiple structural change models

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J Bai… - Journal of Applied Econometrics, 2003 - Wiley Online Library
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting
distribution of estimators and test statistics in the linear model with multiple structural
changes. In this companion paper, we consider practical issues for the empirical ...
Cited by 1307 - Related articles - Library Search - BL Direct - All 24 versions

Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag

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S Ng… - Journal of the American Statistical Association, 1995 - JSTOR
We analyze the choice of the truncation lag in the context of the Said-Dickey test for the
presence of a unit root in a general autoregressive moving average model. It is shown that a
deterministic relationship between the truncation lag and the sample size is dominated by ...
Cited by 1164 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 17 versions

Further evidence on breaking trend functions in macroeconomic variables

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P Perron - Journal of econometrics, 1997 - Elsevier
This study first reexamines the findings of Perron (1989) regarding the claim that most
macroeconomic time series are best construed as stationary fluctuations around a
deterministic trend function if allowance is made for the possibility of a shift in the intercept ...
Cited by 1087 - Related articles - All 17 versions

Trends and random walks in macroeconomic time series:: Further evidence from a new approach

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P Perron - Journal of economic dynamics and control, 1988 - Elsevier
Abstract This paper presents a summary of recent work on a new methodology to test for the
presence of a unit root in univariate time series models. The stochastic framework is quite
general. While the Dickey-Fuller approach accounts for the autocorrelation of the first- ...
Cited by 886 - Related articles - All 5 versions

Testing for a unit root in a time series with a changing mean

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P Perron - Journal of Business & Economic Statistics, 1990 - JSTOR
This study considers testing for a unit root in a time series characterized by a structural
change in its mean level. My approach follows the" intervention analysis" of Box and Tiao
(1975) in the sense that I consider the change as being exogenous and as occurring at a ...
Cited by 820 - Related articles - Get it from MIT Libraries - All 13 versions

Nonstationarity and level shifts with an application to purchasing power parity

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P Perron… - Journal of Business & Economic Statistics, 1992 - JSTOR
This study considers testing for a unit root in a time series characterized by a structural
change in its mean. The analysis is in the spirit of Perron (1990a), who showed that the
existence of such a shift in a stationary time series biases the usual tests for a unit root ...
Cited by 731 - Related articles - Get it from MIT Libraries - Library Search - All 10 versions

An analysis of the real interest rate under regime shifts

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R Garcia… - The Review of Economics and Statistics, 1996 - JSTOR
We consider the time series behavior of the US real interest rate from 1961 to 1986, using
the methodology of Hamilton (1989), by allowing three possible regimes affecting both the
mean and variance. The results suggest that the ex-post real interest rate is essentially ...
Cited by 603 - Related articles - Get it from MIT Libraries - All 33 versions

Testing the random walk hypothesis* 1:: Power versus frequency of observation

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RJ Shiller… - Economics Letters, 1985 - Elsevier
Economics Letters 18 (1985) 381386 381 NorthHolland TESTING THE RANDOM WALK HYPOTHESIS
Power versus Frequency of Observation Robert J. SHILLER and Pierre PERRON Yale
University, New Haven, CT 06520, USA Received 12 December 1984 Power functions of ...
Cited by 479 - Related articles - Library Search - All 14 versions

Useful modifications to some unit root tests with dependent errors and their local asymptotic properties

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P Perron… - The Review of Economic Studies, 1996 - restud.oxfordjournals.org
Abstract Many unit root tests have distorted sizes when the root of the error process is close
to the unit circle. This paper analyses the properties of the Phillips-Perron tests and some of
their variants in the problematic parameter space. We use local asymptotic analyses to ...
Cited by 373 - Related articles - Library Search - BL Direct - All 12 versions

Additional tests for a unit root allowing for a break in the trend function at an unknown time

[PDF] from umontreal.ca
TJ Vogelsang… - International Economic Review, 1998 - JSTOR
We consider unit root tests that allow a shift in trend at an unknown time. We focus on the
additive outlier approach, but also give results for the innovational outlier approach. Various
methods of choosing the break date are considered. New limiting distributions are derived ...
Cited by 280 - Related articles - Get it from MIT Libraries - BL Direct - All 10 versions

[CITATION] Trend, unit root and structural change in macroeconomic time series

P Perron - Cointegration for the applied economist, 1994 - New York: St. Martin's Press
Cited by 266 - Related articles

[PDF] Dealing with structural breaks

[PDF] from palgrave.com
P Perron - Palgrave handbook of econometrics, 2006 - palgrave.com
Abstract This chapter is concerned with methodological issues related to estimation, testing
and computation in the context of structural changes in the linear model. A central theme of
the review is the interplay between structural change and unit roots and on methods to ...
Cited by 223 - Related articles - View as HTML - All 25 versions

Critical values for multiple structural change tests

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J Bai… - The Econometrics Journal, 2003 - Wiley Online Library
Summary. Bai and Perron (1998) considered theoretical issues related to the limiting
distribution of estimators and test statistics in the linear model with multiple structural
changes. The asymptotic distributions of the tests depend on a trimming parameter ε and ...
Cited by 197 - Related articles - BL Direct - All 20 versions

The effect of seasonal adjustment filters on tests for a unit root

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E Ghysels… - Journal of Econometrics, 1993 - Elsevier
Abstract We consider the effect of seasonal adjustment filters in univariate dynamic models.
We concentrate our analysis on the behavior of the least-squares estimator of the sum of the
autoregressive coefficients in a regression. We show the existence of a limiting upward ...
Cited by 179 - Related articles - Library Search - All 12 versions

Multiple structural change models: a simulation analysis

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J Bai… - Econometric theory and practice: Frontiers of …, 2006 - books.google.com
Both the statistics and econometrics literature contain a vast amount of work on issues
related to structural change, most of it specifically designed for the case of a single change.
The problem of multiple structural changes, however, has received considerably less ...
Cited by 172 - Related articles - All 8 versions

Testing for a unit root in a time series with a changing mean: corrections and extensions

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P Perron… - Journal of Business & Economic Statistics, 1992 - JSTOR
Tests for a unit root allowing for the possible presence of a one-time change in the mean of
the series were proposed by Perron (1990)(henceforth referred to as P90). He considered
two general classes of models,(1) the additive outlier model, appropriate when the change ...
Cited by 173 - Related articles - BL Direct - All 6 versions

Estimating and testing structural changes in multivariate regressions

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Z Qu… - Econometrica, 2007 - Wiley Online Library
This paper considers issues related to estimation, inference, and computation with multiple
structural changes that occur at unknown dates in a system of equations. Changes can
occur in the regression coefficients and/or the covariance matrix of the errors. We also ...
Cited by 137 - Related articles - BL Direct - All 35 versions

Does GNP have a unit root?:: A re-evaluation

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P Perron… - Economics Letters, 1987 - Elsevier
Abstract Stock and Watson (1986) test the hypothesis that real per capita GNP has a unit
root by using a test statistic due to Phillips (1985) which incorporates a non-parametric
correction for the serial correlation induced by system and error dynamics. The version of ...
Cited by 109 - Related articles - All 4 versions

Test consistency with varying sampling frequency

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P Perron - Econometric Theory, 1991 - Cambridge Univ Press
Abstract This paper considers the consistency property of some test statistics based on a
time series of data. While the usual consistency criterion is based on keeping the sampling
interval fixed, we let the sampling interval take any equispaced path as the sample size ...
Cited by 109 - Related articles - Library Search - All 7 versions

GLS detrending, efficient unit root tests and structural change

Full text - MIT Libraries
P Perron… - Journal of Econometrics, 2003 - Elsevier
We extend the class of M-tests for a unit root analyzed by Perron and Ng (Rev. Econ. Studies
63 (1996) 435) and Ng and Perron (Econometrica 69 (2001) 1519) to the case where a
change in the trend function is allowed to occur at an unknown time. These tests (MGLS) ...
Cited by 90 - Related articles - All 8 versions

[PDF] Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data

[PDF] from puc-rio.br
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RC Cati, MGP Garcia… - Journal of applied Econometrics, 1999 - econ.puc-rio.br
SUMMARY This paper considers econometric issues related to time-series data that have
been subject to abrupt governmental interventions. The motivating example for this study is
the Brazilian monthly inflation rate (1974: 1±1993: 6) which we use throughout for ...
Cited by 87 - Related articles - View as HTML - BL Direct - All 10 versions

[CITATION] Testing for and estimation of multiple structural changes

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J Bai… - Econometrica, 1998
Cited by 77 - Related articles

Structural breaks with deterministic and stochastic trends

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P Perron… - Journal of Econometrics, 2005 - Elsevier
This paper analyzes the consistency, rate of convergence and limiting distributions of
parameter estimates in models where the trend function exhibits a slope change at some
unknown date and the errors can be either stationary or have a unit root. These estimates ...
Cited by 74 - Related articles - All 13 versions

Estimation and inference in nearly unbalanced nearly cointegrated systems

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S Ng… - Journal of Econometrics, 1997 - Elsevier
This paper considers the role of normalization in least-squares estimation of cointegrating
vectors. It is shown, using an empirical example and Monte-Carlo simulations of bivariate
models, that the least-squares estimates can have very poor finite sample properties when ...
Cited by 72 - Related articles - Library Search - All 15 versions

[CITATION] Erratum [The great crash, the oil price shock and the unit root hypothesis]

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P Perron - Econometrica, 1993 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

[PDF] from 128.197.153.21
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D Kim… - Journal of Econometrics, 2009 - Elsevier
Perron [Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis.
Econometrica 57, 1361–1401] introduced a variety of unit root tests that are valid when a
break in the trend function of a time series is present. The motivation was to devise testing ...
Cited by 62 - Related articles - All 11 versions

A note on Johansen's cointegration procedure when trends are present

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P Perron… - Empirical Economics, 1993 - Springer
This note discusses some issues that arise when Johansen's (1991) framework is used to
analyze cointegrating relationships among variables with deterministic linear time trends.
We cistinguish “stochastic” and “deterministic” cointegration, arguing that stochastic ...
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A simple modification to improve the finite sample properties of Ng and Perron's unit root tests

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P Perron… - Economics Letters, 2007 - Elsevier
The tests introduced by Ng and Perron [Ng, S., Perron, P., 20011.“Lag Length Selection and
the Construction of Unit Root Tests with Good Size and Power,” Econometrica 69, 1519–
1554] have the drawback that for non-local alternatives the power can be very small. The ...
Cited by 56 - Related articles - All 13 versions

Estimating restricted structural change models

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P Perron… - Journal of Econometrics, 2006 - Elsevier
This paper considers issues related to multiple structural changes, occurring at unknown
dates, in the linear regression model when restrictions are imposed on the parameters. This
includes, for example, the important special case where different nonadjacent regimes are ...
Cited by 54 - Related articles - All 14 versions

[PDF] Testing for shifts in trend with an integrated or stationary noise component

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P Perron… - Journal of Business and Economic Statistics, 2009 - ASA
We consider testing for structural changes in the trend function of a time series without any
prior knowledge of whether the noise component is stationary or integrated. Following
Perron and Yabu (2009), we consider a quasi-feasible generalized least squares ...
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An autoregressive spectral density estimator at frequency zero for nonstationarity tests

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P Perron… - Econometric Theory, 1998 - Cambridge Univ Press
Many unit root and cointegration tests require an estimate of the spectral density function at
frequency zero of some process+ Commonly used are kernel estimators based on weighted
sums of autocovariances constructed using estimated residuals from an AR~ 1! ...
Cited by 53 - Related articles - Library Search - BL Direct - All 15 versions

A continuous time approximation to the unstable first-order autoregressive process: the case without an intercept

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P Perron - Econometrica: Journal of the Econometric Society, 1991 - JSTOR
Consider the first-order autoregressive process y_t=αy_t-1+e_t, y 0 a fixed constant, et∼ iid
(0, σ 2), and let α̂ be the least-squares estimator of α based on a sample of size (T+ 1)
sampled at frequency h. Consider also the continuous time Ornstein-Uhlenbeck process ...
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A note on the selection of time series models

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S Ng… - Oxford Bulletin of Economics and Statistics, 2005 - Wiley Online Library
We consider issues related to the order of an autoregression selected using information
criteria. We study the sensitivity of the estimated order to (i) whether the effective number of
observations is held fixed when estimating models of different order,(ii) whether the ...
Cited by 46 - Related articles - All 14 versions

The calculation of the limiting distribution of the least-squares estimator in a near-integrated model

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P Perron - Econometric Theory, 1989 - Cambridge Univ Press
Abstract We tabulate the limiting cumulative distribution and probability density functions of
the least-squares estimator in a first-order autoregressive regression when the true model is
near-integrated in the sense of Phillips. The results are obtained using an exact numerical ...
Cited by 45 - Related articles - Library Search - All 8 versions

Let's take a break: Trends and cycles in US real GDP

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P Perron… - Journal of Monetary Economics, 2009 - Elsevier
Trend–cycle decompositions for US real GDP such as the unobserved components models,
the Beveridge–Nelson decomposition, the Hodrick–Prescott filter and others yield very
different cycles which bear little resemblance to the NBER chronology, ascribes much ...
Cited by 38 - Related articles - All 7 versions

[PDF] Testing for multiple structural changes in cointegrated regression models

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M Kejriwal… - Journal of Business and Economic Statistics, 2010 - ASA
We consider testing for multiple structural changes in cointegrated systems and derive the
limiting distribution of the sup-Wald test under mild conditions on the errors and regressors
for a variety of testing problems. We show that even if the coefficients of the integrated ...
Cited by 35 - Related articles - View as HTML - All 22 versions

[PDF] An analytical evaluation of the log-periodogram estimate in the presence of level shifts and its implications for stock returns volatility

[PDF] from bu.edu
P Perron… - Manuscript, Department of Economics, Boston …, 2004 - sws.bu.edu
Abstract Recently, there has been an upsurge of interest on the possibility of confusing long
memory and structural changes in level. Many studies have shown that when a stationary
short memory process is contaminated by level shifts the estimate of the fractional ...
Cited by 35 - Related articles - View as HTML - All 22 versions

[PDF] PPP may not hold afterall: a further investigation

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S Ng… - Annals of Economics and Finance, 2002 - columbia.edu
In a recent paper, Engel, C.(1999) presents monte-carlo evidence to suggest that unit root
tests cannot detect a non-stationary component in the real exchange rate even when this
component accounts for almost half of its longhorizon forecast error variance. This hidden ...
Cited by 34 - Related articles - View as HTML - All 12 versions

The effect of linear filters on dynamic time series with structural change

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E Ghysels… - Journal of Econometrics, 1996 - Elsevier
Quite often, when parametric models are tested for structural change, they are fitted to
filtered series instead of raw data. Many filters, like those associated with the X-11 seasonal
adjustment program, have smoothing properties. Hence, they have a tendency to disguise ...
Cited by 32 - Related articles - All 8 versions

Local asymptotic distribution related to the AR (1) model with dependent errors

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S Nabeya… - Journal of Econometrics, 1994 - Elsevier
Abstract We consider the normalized least squares estimator of the parameter in a nearly
integrated first-order autoregressive model with dependent errors. The dependence in the
errors is modeled as either an MA (1) or an AR (1) process. As discussed in Perron ( ...
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[BOOK] Residual based tests for cointegration with GLS detrended data

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P Perron, G Rodríguez… - 2000 - bu.edu
Abstract We propose residual based tests for cointegration using local GLS detrending
(Elliott, Rothemberg and Stock, 1996, ERS) applied separately to each variable of the
system. We consider two cases, one where only a constant is included and one where a ...
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[CITATION] Tests of joint hypotheses in time series regression with a unit root

P Perron - Advances in econometrics, 1990
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Estimating deterministic trends with an integrated or stationary noise component

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P Perron… - Journal of Econometrics, 2009 - Elsevier
We propose a test for the slope of a trend function when it is a priori unknown whether the
series is trend-stationary or contains an autoregressive unit root. The procedure is based on
a Feasible Quasi Generalized Least Squares method from an AR (1) specification with ...
Cited by 27 - Related articles - Library Search - All 24 versions

The limit distribution of the estimates in cointegrated regression models with multiple structural changes

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M Kejriwal… - Journal of Econometrics, 2008 - Elsevier
We study estimation and inference in cointegrated regression models with multiple structural
changes allowing both stationary and integrated regressors. Both pure and partial structural
change models are analyzed. We derive the consistency, rate of convergence and the ...
Cited by 25 - Related articles - All 15 versions

The Hump-shaped behavior of macroeconomic fluctuations

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P Perron - Empirical Economics, 1993 - Springer
We analyze the nature of persistence in macroeconomic fluctuations. The current view is that
shocks to macroeconomic variables (in particular realGNP) have effects that endure over an
indefinite horizon. This conclusion is drawn from the presence of a unit root in the ...
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GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses

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D Kim… - Econometric Theory, 2009 - Cambridge Univ Press
Professor Paul Newbold has made important contributions in econometrics, in particular in
the area of the analysis of nonstationary time series. I (Perron) have been honored and
privileged to have him participate in a research agenda that I put forward in Perron (1989). ...
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A note on the asymptotic distributions of unit root tests in the additive outlier model with breaks

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P Perron… - Brazilian Review of Econometrics, 1993 - bibliotecadigital.fgv.br
Abstract This note discusses tests for a unit root allowing the possibility of a onetime change
in the intercept and/or the slope of the trend function in the additive outlier model considered
in Perron (1989). We discuss and correct an error in the stated asymptotic distributions of ...
Cited by 20 - Related articles - All 2 versions

The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

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P Perron - Journal of econometrics, 1996 - Elsevier
We consider the normalized least squares estimator of the parameter in a nearly integrated
first-order autoregressive model with dependent errors. In a first step we consider its
asymptotic distribution as well as asymptotic expansion up to order Op (T− 1). We derive a ...
Cited by 18 - Related articles - All 8 versions

A continuous time approximation to the stationary first-order autoregressive model

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P Perron - Econometric Theory, 1991 - Cambridge Univ Press
Abstract We consider the least-squares estimator in a strictly stationary first-order
autoregression without an estimated intercept. We study its continuous time asymptotic
distribution based on an asymptotic framework where the sampling interval converges to ...
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The limit distribution of the CUSUM of squares test under general mixing conditions

[PDF] from bu.edu
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A Deng… - Econometric Theory, 2008 - Cambridge Univ Press
Abstract We consider the cumulative sum (CUSUM) of squares test in a linear regression
model with general mixing assumptions on the regressors and the errors. We derive its limit
distribution and show how it depends on the nature of the error process. We suggest a ...
Cited by 17 - Related articles - BL Direct - All 24 versions

[PDF] An analytical evaluation of the log-periodogram estimate in the presence of level shifts

[PDF] from bu.edu
P Perron… - Unpublished Manuscript, Department of Economics, …, 2007 - bu.edu
Abstract Recently, there has been an upsurge of interest on the possibility of confusing long
memory and structural changes in level. Many studies have shown that when a stationary
short memory process is contaminated by level shifts the estimate of the fractional ...
Cited by 17 - Related articles - View as HTML - All 7 versions

Tests of joint hypotheses for time series regression with a unit root

P Perron - Cahiers de recherche, 1986 - ideas.repec.org
This Paper Studies Tests of Joint Hypotheses in Time Series Regression with a Unit Root in
Which Weakly Dependent and Heterogeneously Distributed Innovations Are Allowed. We
Consider Two Types of Regression: One with a Constant and Lagged Dependent ...
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[PDF] Long-memory and level shifts in the volatility of stock market return indices

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P Perron… - Journal of Business and Economic Statistics, 2010 - ASA
There has been interest in the possibility of confusing long memory and structural changes
in level, and studies showed that when a short-memory process is contaminated by level
shifts the estimate of the fractional differencing parameter is biased upward and the ...
Cited by 15 - Related articles - View as HTML - All 20 versions

Trends and random walks in macroeconomic time series: Further evidence from a new approach

P Perron - Cahiers de recherche, 1986 - ideas.repec.org
This Paper Presents a Summary of Recent Work on a New Methodology to Test for the
Presence of a Unit Root in Univariate Time Series Models. the Stochastic Framework Is
Quite General. While the Dickey-Fuller Approach Accounts for the Autocorrelation of the ...
Cited by 15 - Related articles - Cached - Library Search - All 4 versions

[CITATION] Estimating and testing for multiple structural changes in linear models

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J Bai… - Econometrica, 1998
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A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

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A Deng… - Journal of Econometrics, 2008 - Elsevier
We consider the power properties of the CUSUM and CUSUM of squares (CUSQ) tests in
the presence of a one-time change in the parameters of a linear regression model. A result
due to Ploberger and Krämer [1990. The local power of the cusum and cusum of squares ...
Cited by 11 - Related articles - All 18 versions

A modified information criterion for cointegration tests based on a VAR approximation

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Z Qu, P Perron, SK Ahn, GC Reinsel… - Econometric …, 2007 - Cambridge Univ Press
We consider the cointegration tests of Johansen~ 1988, Journal of Economic Dynamics and
Control 12, 231–254; 1991, Econometrica 59, 1551–1580! when a vector autoregressive~
VAR! process of order k is used to approximate a more general linear process with a ...
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[PDF] Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data

[PDF] from puc-rio.br
P Perron, RC Cati, MGP Garcia… - 1995 - econ.puc-rio.br
Abstract This paper considers econometric issues related to time series data that have been
subject to abrupt governmental interventions. The motivating example for this study is the
Brazilian monthly inflation and interest rate series (1974: 1-1996: 4) which we use ...
Cited by 10 - Related articles - Library Search - All 7 versions

[CITATION] Additional critical values for multiple structural changes tests

J Bai… - Unpublished Manuscript, Department of Economics, …, 2001
Cited by 10 - Related articles

[PDF] A note on the selection of time series models

[PDF] from library.sh.cn
S Ng… - Boston College Working Papers in Economics, 2001 - zsdh.library.sh.cn
Abstract We consider issues related to the order of an autoregression selected using
information criteria. We study the sensitivity of the estimated order to i) whether the effective
number of observations is held fixed when estimating models of different order, ii) whether ...
Cited by 10 - Related articles - View as HTML - All 22 versions

[PDF] Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors

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P Perron… - Boston University-Department of Economics- …, 2008 - ier.hit-u.ac.jp
Abstract We consider the problem of estimating and testing for multiple breaks in a single
equation framework with regressors that are endogenous, ie, correlated with the errors. First,
we show based on standard assumptions about the regressors, instruments and errors ...
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[CITATION] The Evolution of Poverty in Canada, 1970-1985

P Perron… - 1988 - Economic Council of Canada
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Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression

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M Kejriwal… - Econometric Theory, 2008 - Cambridge Univ Press
Saikkonen~ 1991, Econometric Theory 7, 1–21! developed an asymptotic optimality theory
for the estimation of cointegrated regressions+ He proposed the dynamic ordinary least
squares~ OLS! estimator obtained by augmenting the static cointegrating regression with ...
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GLS detrending, efficient unit root tests and structural change

[PDF] from umontreal.ca
P Perron… - 1998 - papyrus.bib.umontreal.ca
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and
Perron (1997) to the case where a change in the trend function is allowed to occur at an
unknown time. These tests M (GLS) adopt the GLS detrending approach of Dufour and ...
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[CITATION] Hypothesis testing in time series regression with a unit root

P Perron - 1986 - Yale University
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[CITATION] Nonstationarities and Nonlinearities in Canadian Inflation

P Perron - Economic Behaviour and Policy Choice Under Price …, 1994
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[CITATION] mUnit Root Tests in ARMA Models with Data $ Dependent Methods for the Selection of the Truncation Lag, nJournal of the American Statistical …

S Ng… - Vol, 1995
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[PDF] Trends and cycles: a new approach and explanations of some old puzzles

[PDF] from repec.org
P Perron… - Manuscript, Department of Economics, Boston …, 2005 - repec.org
Abstract Recent work on trend-cycle decompositions for US real GDP yield the following
puzzling features: method based on Unobserved Components models, the Beveridge-
Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles ...
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The variance ratio test: an analysis of size and power based on a continuous time asymptotic framework

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P Perron… - Econometric Theory, 2005 - Cambridge Univ Press
We consider the statistical properties of the variance ratio statistic in the context of testing for
market efficiency defined by uncorrelated returns+ The statistic is then the ratio of the
variance of K-period returns to the variance of one-period returns scaled by K+ We use a ...
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A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend

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A Deng… - The Econometrics Journal, 2006 - Wiley Online Library
Summary This paper considers various asymptotic approximations to the finite sample
distribution of the estimate of the break date in a simple one-break model for a linear trend
function that exhibits a change in slope, with or without a concurrent change in intercept. ...
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The limiting distribution of the least‐squares estimator in nearly integrated seasonal models

[PDF] from princeton.edu
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P Perron - Canadian Journal of Statistics, 1992 - Wiley Online Library
Abstract We consider the least-squares estimator of the autoregressive parameter in a
nearly integrated seasonal model. Building on the study by Chan (1989), who obtained the
limiting distribution, we derive a closed-form expression for the appropriate limiting joint ...
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[BOOK] Traditional Songs of Singing Cultures: A World Sampler, Book & CD

PS Campbell, S Williamson… - 1996 - books.google.com
Along with cultural information and suggestions for the pedagogical use of these folk tunes,
the book and CD package contains maps and illustrations. The world regions covered
include Argentina, Barbados, Brazil, Canada, England, Eritrea, France, Hungary, Japan, ...
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[CITATION] Additional tests for a unit root allowing for a break in the trend function at an unknown time

P Perron… - 1994 - … de Montréal, Centre de recherche et …
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Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope

[PDF] from city.ac.uk
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D Kim… - Journal of Econometrics, 2009 - Elsevier
We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the
Wald, LM and LR tests for structural change analyzed by Andrews [Andrews, DWK, 1993.
Tests for parameter instability and structural change with unknown change point. ...
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Modeling and forecasting stock return volatility using a random level shift model

Full text - MIT Libraries
YK Lu… - Journal of Empirical Finance, 2010 - Elsevier
We consider the estimation of a random level shift model for which the series of interest is
the sum of a short-memory process and a jump or level shift component. For the latter
component, we specify the commonly used simple mixture model such that the component ...
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[PDF] A stochastic volatility model with random level shifts: theory and applications to S&P 500 and NASDAQ return indices

[PDF] from bu.edu
Z Qu… - Boston University-Department of Economics-Working …, 2008 - sws1.bu.edu
Abstract Empirical findings related to the time series properties of stock returns volatility
indicate autocorrelations that decay slowly at long lags. In light of this, several long%
memory models have been proposed. However, the possibility of level shifts has been ...
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[PDF] Memory parameter estimation in the presence of level shifts and deterministic trends

[PDF] from driver-support.eu
A McCloskey… - Unpublished Manuscript, Department of …, 2010 - driver-support.eu
Abstract We propose estimators of the memory parameter of a time series that are robust to a
wide variety of random level shift processes, deterministic level shifts and deterministic time
trends. The estimators are simple trimmed versions of the popular log-periodogram ...
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[PDF] Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model

[PDF] from bu.edu
P Perron… - … -Department of Economics-Working Papers Series, 2008 - sws1.bu.edu
Abstract We provide a comprehensive treatment of the problem of testing jointly for structural
change in both the regression coefficients and the variance of the errors in a single equation
regression involving stationary regressors. Our framework is quite general in that we allow ...
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[CITATION] Tests of joint hypotheses for time series with a unit root.'

P Perron - CRDE, University of Montreal, 1986
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[CITATION] Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. Boston College

S Ng… - 2000 - Department of Economics Working …
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Unit roots in the presence of abrupt governmental interventions with an application to brazilian data

P Perron, R Cati… - 1996 - papers.ssrn.com
Abstract: This paper considers econometric issues related to time series data that have been
subject to abrupt governmental interventions. The motivating example for this study is the
Brazilian monthly inflation and interest rate series (1974: 1-1994: 6) which we use ...
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Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework

[PDF] from bu.edu
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P Perron… - Journal of Empirical Finance, 2004 - Elsevier
We consider the statistical properties of tests for return predictability based on regressing
returns or multi-period returns on some variable such as the dividend/price ratio. We use a
continuous time asymptotic framework whereby we let the sample size increase to infinity ...
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[PDF] Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression

[PDF] from psu.edu
M Kejriwal… - … -Department of Economics-Working Papers Series, 2006 - Citeseer
Abstract Saikkonen (1991) developed an asymptotic optimality theory for the estimation of
cointegrated regressions. He proposed the dynamic OLS estimator obtained by augmenting
the static cointegrating regression with leads and lags of the first differences of the I (1) ...
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[CITATION] Unit Root Tests in ARMA Models with Data Development Methods for Selection of the Truncated Lag

P Perron… - manuscript-Univerite de Montreal
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[CITATION] The Great Crash, the oil shock and the unit root hypothesis: Corrections and extensions of some asymptotic results

P Perron… - Unpublished paper, Princeton University, 1991
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Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)

Full text - MIT Libraries
P Perron - Econometric Reviews, 2003 - Taylor & Francis
Andreou and Spanos (2002) provide a further analysis of the unit root versus trend
stationary debate using the Nelson–Plosser ([Nelson and Plosser, 1982] 16. Nelson, CR
and Plosser, CI 1982. Trend sand random walks in macroeconomics time series: some ...
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[CITATION] GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypothesis

Full text - MIT Libraries
JLC Silvestre, D Kim… - Econometric Theory, 2009
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[CITATION] Testing for a Unit Root in Time Series Regression: Cowles Foundation for Research in Economics

PCB Phillips… - Yale University, 1986
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[PDF] Testing for Breaks in Coefficients and Error Variance: Simulations and Applications

[PDF] from psu.edu
J Zhou… - Boston University-Department of Economics-Working …, 2008 - Citeseer
Abstract In a companion paper, Perron and Zhou (2008) provided a comprehensive
treatment of the problem of testing jointly for structural change in both the regression
coefficients and the variance of the errors in a single equation regression model involving ...
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[PDF] Wald tests for detecting multiple structural changes in persistence

[PDF] from msu.edu
M Kejriwal, P Perron… - Purdue University Economics …, 2009 - econ.msu.edu
Abstract This paper considers the problem of testing for multiple structural changes in the
persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis
that the process has an autoregressive unit root against the alternative hypothesis that the ...
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[PDF] Testing for common breaks in a multiple equations system

[PDF] from bu.edu
T Oka… - Manuscript, Department of Economics, Boston …, 2009 - people.bu.edu
Abstract The issue addressed in this paper is that of testing for common breaks across or
within equations. Our framework is very general and allows integrated regressors and trends
as well as stationary regressors. The null hypothesis is that some subsets of the ...
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[CITATION] Macroeconomics and the Canadian Income-security System: an Overview

Economic Council of Canada… - 1987 - Economic Council of Canada
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[CITATION] ''The Great Cash, the oil shock and the unit root process''

Full text - MIT Libraries
P Perron - Econometrica, 1989
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Asymptotic approximations in the near‐integrated model with a non‐zero initial condition

[PDF] from umontreal.ca
Full text - MIT Libraries
P Perron… - The Econometrics Journal, 2001 - Wiley Online Library
Summary This paper considers various asymptotic approximations in the near-integrated
first-order autoregressive model with a non-zero initial condition. We first extend the work of Knight
and Satchell (1993), who considered the random walk case with a zero initial con- dition, ...
Cited by 1 - Related articles - Library Search - All 14 versions

Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors

[PDF] from umontreal.ca
Full text - MIT Libraries
S Nabeya… - Econometric reviews, 1995 - Taylor & Francis
We consider the near-integrated autoregressive model where and the sequence of errors ut
is allowed to be an MA (l) process process or an AR (1) process. We study the distribution of
α the least-squares estimator of α. We suggest modifications to the local asymptotic ...
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[PDF] On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests

[PDF] from psu.edu
P Perron… - Boston University-Department of Economics- …, 2008 - Citeseer
Abstract Elliott and Müller (2006) considered the problem of testing for general types of
parameter variations, including infrequent breaks. They developed a framework that yields
optimal tests, in the sense that they attain (or nearly so) some local Gaussian power ...
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