Pierre Perron

Boston University - Department of Economics

Professor

270 Bay State Road

Boston, MA 02215

United States

SCHOLARLY PAPERS

21

DOWNLOADS

852

SSRN CITATIONS
Rank 5,131

SSRN RANKINGS

Top 5,131

in Total Papers Citations

36

CROSSREF CITATIONS

224

Scholarly Papers (21)

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 2022
Robert J. Shiller and Pierre Perron
Yale University - Cowles Foundation and Boston University - Department of Economics
Downloads 160 (253,825)
Citation 1

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 140 (282,419)
Citation 2

Abstract:

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

3.

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 114 (328,725)

Abstract:

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4.

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: 11 Apr 2022
John Y. Campbell and Pierre Perron
Harvard University - Department of Economics and Boston University - Department of Economics
Downloads 108 (341,131)
Citation 1

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 101 (356,813)
Citation 11

Abstract:

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

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 57 (498,186)
Citation 1

Abstract:

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

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

Journal of Time Series Analysis, Vol. 31, Issue 5, pp. 305-328, September 2010
Number of pages: 24 Posted: 17 Aug 2010
Mohitosh Kejriwal and Pierre Perron
Krannert School of Management, Purdue University and Boston University - Department of Economics
Downloads 2 (898,697)
Citation 1

Abstract:

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7.

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 41 (562,186)
Citation 4

Abstract:

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

8.

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 38 (577,422)
Citation 17

Abstract:

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

9.

Testing for Common Breaks in a Multiple Equations System

Number of pages: 44 Posted: 18 Jan 2018
Tatsushi Oka and Pierre Perron
Monash University - Department of Econometrics and Business Statistics and Boston University - Department of Economics
Downloads 35 (594,030)
Citation 1

Abstract:

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

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, Monash University - Department of Econometrics and Business Statistics, National Autonomous University of Mexico (UNAM) and Boston University - Department of Economics
Downloads 34 (599,444)
Citation 2

Abstract:

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

11.

A Note on the Selection of Time Series Models

Number of pages: 20 Posted: 11 Jan 2005
Serena Ng and Pierre Perron
Columbia University - Columbia Business School, Economics and Boston University - Department of Economics
Downloads 16 (725,995)
Citation 2

Abstract:

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12.

Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series

Journal of Time Series Analysis, Vol. 41, Issue 5, pp. 676-690, 2020
Number of pages: 15 Posted: 30 Sep 2020
Mohitosh Kejriwal, Xuewen Yu and Pierre Perron
Krannert School of Management, Purdue University, Purdue University and Boston University - Department of Economics
Downloads 4 (838,287)

Abstract:

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heteroskedasticity, multiple structural changes, sequential procedure, unit root, Wald tests, wild bootstrap

13.

Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component

Oxford Bulletin of Economics and Statistics, Vol. 79, Issue 5, pp. 822-850, 2017
Number of pages: 29 Posted: 06 Sep 2017
Pierre Perron, Mototsugu Shintani and Tomoyoshi Yabu
Boston University - Department of Economics, Vanderbilt University - College of Arts and Science - Department of Economics and Keio University - Faculty of Business and Commerce
Downloads 1 (875,868)
Citation 1

Abstract:

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14.

Improved Tests for Forecast Comparisons in the Presence of Instabilities

Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 650-659, 2016
Number of pages: 10 Posted: 27 Jul 2016
Luis Filipe Martins and Pierre Perron
University Institute of Lisbon (IUL) - School of Business and Boston University - Department of Economics
Downloads 1 (875,868)
Citation 1

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Non‐monotonic power, structural change, forecasts, long‐run variance, JEL. C22, C53

15.

Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures

Journal of Time Series Analysis, Vol. 38, Issue 5, pp. 711-732, 2017
Number of pages: 22 Posted: 21 Aug 2017
Pierre Perron
Boston University - Department of Economics
Downloads 0 (893,040)

Abstract:

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Climate change, warming hiatus, structural break, co‐trending, principal component analysis

16.

Inference on a Structural Break in Trend with Fractionally Integrated Errors

Journal of Time Series Analysis, Vol. 37, Issue 4, pp. 555-574, 2016
Number of pages: 20 Posted: 09 Jun 2016
Seong Yeon Chang and Pierre Perron
Xiamen University and Boston University - Department of Economics
Downloads 0 (893,040)
Citation 1

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Fractionally integrated process, linear trend, segmented trend, spurious break, structural change.JEL. C13

17.

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
Charles River AssociatesJohns Hopkins University and Boston University - Department of Economics

Abstract:

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

18.

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
Charles River AssociatesJohns Hopkins University and Boston University - Department of Economics

Abstract:

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

19.

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
Charles River AssociatesJohns Hopkins University and Boston University - Department of Economics

Abstract:

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20.

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

21.

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

Abstract:

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