Pierre Perron

Boston University - Department of Economics

Professor

270 Bay State Road

Boston, MA 02215

United States

SCHOLARLY PAPERS

16

DOWNLOADS

1,248

TOTAL CITATIONS
Rank 8,029

SSRN RANKINGS

Top 8,029

in Total Papers Citations

51

Scholarly Papers (16)

1.

Testing the Random Walk Hypothesis: Power Versus Frequency of Observation

NBER Working Paper No. t0045
Number of pages: 14 Posted: 04 Jul 2004 Last Revised: 16 Feb 2023
Robert J. Shiller and Pierre Perron
Yale University - Cowles Foundation and Boston University - Department of Economics
Downloads 204 (320,628)

Abstract:

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2.

A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices

Number of pages: 51 Posted: 25 Jun 2008
Zhongjun Qu and Pierre Perron
Boston University and Boston University - Department of Economics
Downloads 189 (344,062)
Citation 2

Abstract:

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Bayesian estimation, Structural change, Forecasting, Long-memory, State-space models, Latent process

3.

Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots

NBER Working Paper No. t0100
Number of pages: 69 Posted: 25 Jun 2004 Last Revised: 12 Apr 2023
John Y. Campbell and Pierre Perron
Harvard University - Department of Economics and Boston University - Department of Economics
Downloads 154 (411,842)
Citation 1

Abstract:

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4.

A Modified Information Criterion for Cointegration Tests Based on a VAR Approximation

Econometric Theory, Forthcoming
Number of pages: 54 Posted: 20 Oct 2006
Zhongjun Qu and Pierre Perron
Boston University and Boston University - Department of Economics
Downloads 138 (450,093)

Abstract:

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5.

Testing for Multiple Structural Changes in Cointegrated Regression Models

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 41 Posted: 12 Mar 2009
Mohitosh Kejriwal and Pierre Perron
Krannert School of Management, Purdue University and Boston University - Department of Economics
Downloads 127 (481,175)
Citation 16

Abstract:

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Change-point, Sequential procedure, Wald tests, Unit Roots, Cointegration

6.

Testing for Shifts in Trend with an Integrated or Stationary Noise Component

Number of pages: 57 Posted: 28 Aug 2018
Pierre Perron and Tomoyoshi Yabu
Boston University - Department of Economics and Keio University - Faculty of Business and Commerce
Downloads 95 (595,335)
Citation 22

Abstract:

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Structural Change, Unit Root, Median-Unbiased Estimates, GLS Procedure, Super Efficient Estimates

7.

A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component

Number of pages: 25 Posted: 12 Mar 2009 Last Revised: 13 Mar 2009
Pierre Perron and Mohitosh Kejriwal
Boston University - Department of Economics and Krannert School of Management, Purdue University
Downloads 87 (628,827)
Citation 1

Abstract:

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Structural Change, Sequential Procedure, Feasible GLS, Unit Root, Structural Breaks

8.

Testing for Common Breaks in a Multiple Equations System

Number of pages: 44 Posted: 18 Jan 2018
Tatsushi Oka and Pierre Perron
Keio University and Boston University - Department of Economics
Downloads 80 (660,854)
Citation 2

Abstract:

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change-point, segmented regressions, break dates, hypothesis testing, multiple equations systems

9.

Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends

Number of pages: 40 Posted: 06 Nov 2012
Adam McCloskey and Pierre Perron
University of Colorado at Boulder - Department of Economics and Boston University - Department of Economics
Downloads 73 (695,997)
Citation 5

Abstract:

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long-memory processes, semiparametric estimators, level shifts, structural

10.

Inference Related to Common Breaks in a Multivariate System With Joined Segmented Trends With Applications to Global and Hemispheric Temperatures

Number of pages: 42 Posted: 11 Jun 2018
Korea University - Department of Economics, Keio University, National Autonomous University of Mexico (UNAM) and Boston University - Department of Economics
Downloads 71 (706,770)
Citation 2

Abstract:

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Multiple Breaks, Common Breaks, Multivariate Regressions, Joined Segmented Trend

11.

Gls-Iv for Time Series Regressions with Application To the "New Keynesian Phillips Curve"

Number of pages: 62 Posted: 25 Sep 2024
Marco Olivari and Pierre Perron
Boston University and Boston University - Department of Economics
Downloads 30 (1,033,481)

Abstract:

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Feasible Generalized Least-Squares, GMM, Phillips Curve, Autoregressive Filtering, Instrumental Variables.

12.

A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend

The Econometrics Journal, Volume 9, Issue 3, pages 423-447, November 2006
Posted: 08 Jan 2016
Ai Deng and Pierre Perron
Berkeley Research Group, LLC and Boston University - Department of Economics

Abstract:

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Change-point, Confidence intervals, Shrinking shifts, Bounded trend, Level shift

13.

A Non-Local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change

Journal of Econometrics, Vol. 142, No. 1, 2008
Posted: 30 Dec 2015
Ai Deng and Pierre Perron
Berkeley Research Group, LLC and Boston University - Department of Economics

Abstract:

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Change point; Mean shift; Local asymptotic power; Recursive residuals; Dynamic models

14.

The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions

Econometric Theory, Vol. 24, No. 3, 2008
Posted: 30 Dec 2015
Ai Deng and Pierre Perron
Berkeley Research Group, LLC and Boston University - Department of Economics

Abstract:

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15.

Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition

Posted: 12 Sep 2001
Pierre Perron and Cosme Vodounou
Boston University - Department of Economics and Institut National de la Statistique et de l'Analyse Economique (INSAE)

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Edgeworth expansion, Continuous-time asymptotics, Stochastic expansion, Distribution function, Autoregressive model

16.

Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data

Posted: 30 Jan 1997
Boston University - Department of Economics, Boston University - Department of Economics and Pontifical Catholic University - Department of Economics

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