Pierre Perron

Boston University - Department of Economics

Professor

270 Bay State Road

Boston, MA 02215

United States

SCHOLARLY PAPERS

25

DOWNLOADS

776

SSRN CITATIONS
Rank 3,473

SSRN RANKINGS

Top 3,473

in Total Papers Citations

55

CROSSREF CITATIONS

296

Scholarly Papers (25)

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 127 (243,547)
Citation 2

Abstract:

Loading...

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

2.

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: 18 Aug 2010
Robert J. Shiller and Pierre Perron
Yale University - Cowles Foundation and Boston University - Department of Economics
Downloads 118 (257,468)
Citation 5

Abstract:

Loading...

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 110 (270,540)

Abstract:

Loading...

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 102 (285,092)
Citation 1

Abstract:

Loading...

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 97 (294,623)
Citation 10

Abstract:

Loading...

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 49 (433,217)
Citation 1

Abstract:

Loading...

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 (742,427)
Citation 1
  • Add to Cart

Abstract:

Loading...

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 (457,174)
Citation 3

Abstract:

Loading...

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

8.

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 33 (492,993)
Citation 1

Abstract:

Loading...

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

9.

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 32 (497,925)
Citation 2

Abstract:

Loading...

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

10.

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 23 (548,269)
Citation 14

Abstract:

Loading...

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

11.

A Note on the Selection of Time Series Models

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 (592,950)
  • Add to Cart

Abstract:

Loading...

12.

Critical Values for Multiple Structural Change Tests

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 (592,950)
Citation 17
  • Add to Cart

Abstract:

Loading...

13.

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 (634,111)
Citation 1
  • Add to Cart

Abstract:

Loading...

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 (708,149)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

15.

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 0 (726,247)
  • Add to Cart

Abstract:

Loading...

16.

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 (726,247)
  • Add to Cart

Abstract:

Loading...

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

17.

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 (726,247)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

18.

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 del Perú
Downloads 0 (726,247)
  • Add to Cart

Abstract:

Loading...

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

19.

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
NERA Economic Consulting and Boston University - Department of Economics

Abstract:

Loading...

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

20.

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
NERA Economic Consulting and Boston University - Department of Economics

Abstract:

Loading...

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

21.

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
NERA Economic Consulting and Boston University - Department of Economics

Abstract:

Loading...

22.

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 and Boston University - Department of Economics
Downloads 0 (726,247)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

23.

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 (726,247)
Citation 2
  • Add to Cart

Abstract:

Loading...

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

24.

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)

Abstract:

Loading...

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

25.

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:

Loading...