Perron, Pierre
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Incoming Resources
- Contributor of11
- Computation and analysis of multiple structural-change models
- Estimating and testing linear models with multiple structural changes
- Approximations to some exact distrivutions in the first order autoregressive model with dependent errors
- The effect of linear filters on dynamic time series with structural change
- The exact error in estimating the spectral density at the origin
- Estimating and testing linear models with multiple atructural changes
- Pitfalls and opportunities, what macroeconomists should know about unit roots
- An analysis of the real interest rate under regime shifts
- Unit root tests in arma models with data dependent methods for the selection of the truncation lag
- Estimation and inference in nearly cointegrated systems
- Additional tests for a unit root allowing for a break in the trend function at an unknown time
- Creator of9
- The FCLT with dependent errors, an helicopter tour of the quality of the approximation
- An autoregressive spectral density estimator at frequency zero for nonstationarity tests
- The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
- Asymptotic approximations in the near-integrated model with a non-zero initial condition
- GLS detrending, efficient unit root tests and structural change
- Sampling interval and estimated betas, implications for the presence of transitory components in stock prices
- Hypothesis testing in time series regression with a unit root
- Further evidence on breaking trend functions in macroeconomic variables
- Useful modifications to some unit root tests with dependent errors and their local asymptotic properties