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Pierre Perron

Boston University - Department of Economics

Professor

270 Bay State Road

Boston, MA 02215

United States

  • Boston University - Department of Economics

    • Email
    • Tel: 617-353-3026
SCHOLARLY PAPERS

20

DOWNLOADS

591

CITATIONS
Rank 2,269

SSRN RANKINGS

Top 2,269

in Total Papers Citations

248

Scholarly Papers (20)

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1.

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 98 (205,606)
Citation 1

Abstract:

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

2.

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 94 (223,135)
Citation 1

Abstract:

3.

Testing the Random Walk Hypothesis: Power Versus Frequency of Observation

NBER Working Paper No. t0045
Number of pages: 14 Posted: 04 Jul 2004
Robert J. Shiller and Pierre Perron
Yale University - Cowles Foundation and Boston University - Department of Economics
Downloads 92 (231,073)
Citation 40

Abstract:

4.

Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots

NBER Working Paper No. t0100
Number of pages: 69 Posted: 25 Jun 2004
John Y. Campbell and Pierre Perron
Harvard University - Department of Economics and Boston University - Department of Economics
Downloads 86 (226,282)
Citation 167

Abstract:

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 75 (244,802)

Abstract:

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

6.

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

Downloads 36 (366,996)
Citation 1

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 35 (378,950)
Citation 1

Abstract:

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 1 (564,280)
Citation 1

Abstract:

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
Brown University - Department of Economics and Boston University - Department of Economics
Downloads 28 (370,568)
Citation 2

Abstract:

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

8.

A Note on the Selection of Time Series Models

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 1, pp. 115-134, February 2005
Number of pages: 20 Posted: 11 Jan 2005
Serena Ng and Pierre Perron
Columbia Business School - Economics Department and Boston University - Department of Economics
Downloads 16 (458,766)
Citation 7

Abstract:

9.

Critical Values for Multiple Structural Change Tests

Econometrics Journal, Vol. 6, pp. 72-78, June 2003
Number of pages: 7 Posted: 22 Sep 2003
Jushan Bai and Pierre Perron
New York University (NYU) - Department of Economics and Boston University - Department of Economics
Downloads 16 (458,766)
Citation 28

Abstract:

10.

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

Econometrics Journal, Vol. 9, No. 3, pp. 423-447, November 2006
Number of pages: 25 Posted: 01 Nov 2006
Ai Deng and Pierre Perron
Boston University - Department of Economics and Boston University - Department of Economics
Downloads 10 (489,513)

Abstract:

11.

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 0 (536,249)

Abstract:

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

12.

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 (548,619)

Abstract:

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

13.

Residuals‐Based Tests for Cointegration with Generalized Least‐Squares Detrended Data

The Econometrics Journal, Vol. 19, Issue 1, pp. 84-111, 2016
Number of pages: 28 Posted: 10 May 2016
Pierre Perron and Gabriel Rodríguez
Boston University - Department of Economics and Pontificia Universidad Católica of Peru
Downloads 0 (548,619)

Abstract:

Cointegration, Hypothesis testing, OLS and GLS detrended data, Residuals‐based unit root tests

14.

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
Bates White Economic Consulting and Boston University - Department of Economics

Abstract:

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

15.

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
Bates White Economic Consulting and Boston University - Department of Economics

Abstract:

16.

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
Bates White Economic Consulting and Boston University - Department of Economics

Abstract:

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

17.

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

The Econometrics Journal, Vol. 16, Issue 3, pp. 309-339, 2013
Number of pages: 31 Posted: 23 Nov 2013
Zhongjun Qu and Pierre Perron
Boston University and Boston University - Department of Economics
Downloads 0 (548,619)
Citation 1

Abstract:

Long‐memory, Low‐frequency volatility, State‐space models, Structural change

18.

Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions

The Econometrics Journal, Vol. 16, Issue 3, pp. 400-429, 2013
Number of pages: 30 Posted: 23 Nov 2013
Yohei Yamamoto and Pierre Perron
Hitotsubashi University - Faculty of Economics and Boston University - Department of Economics
Downloads 0 (548,619)

Abstract:

Business‐cycle, Band spectral regression, Hours‐productivity, Low‐frequency contaminations, Multiple structural changes

19.

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

Econometrics Journal, Vol. 4, pp. 143-169, 2001
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)

Abstract:

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

20.

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

Posted: 30 Jan 1997
Pierre Perron, Regina Celia Cati and Marcio G. P. Garcia
Boston University - Department of Economics, Boston University - Department of Economics and Pontifical Catholic University - Department of Economics

Abstract:

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