Access Statistics for Pierre Perron

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT 0 0 0 0 0 4 21 278
A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend 1 2 10 96 4 8 60 295
A Modified Information Criterion for Cointegration Tests based on a VAR Approximation 0 6 41 105 3 15 94 229
A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change 1 2 14 47 5 13 53 118
A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change* 0 1 1 1 3 7 10 10
A Note on the Selection of Time Series Models 4 16 46 826 5 21 94 1,796
A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests 1 3 22 97 3 7 45 186
A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series 0 0 0 0 2 15 49 594
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 2 8 45 578
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 0 0 0 1 5 9 45 437
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 1 7 23 25 4 13 47 164
An Analysis of the Real Interest Rate Under Regime Shifts 1 4 28 645 5 17 103 2,593
An Analysis of the Real Interest rate Under Regime Shifts 1 4 9 11 1 6 36 207
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 6 12 47 484
An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility* 4 4 30 54 12 21 57 59
An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests 0 0 0 0 7 19 81 839
An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests 2 3 6 7 2 6 16 212
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 0 7 154
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 0 8 35
Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors 0 0 0 0 0 1 1 28
Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors 0 0 0 0 0 1 4 123
Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition 0 0 2 18 0 1 22 134
Computation and Analysis of Multiple Structural-Change Models 29 74 313 1,053 57 142 519 1,881
Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression 3 7 19 24 7 15 48 58
Dealing with Structural Breaks 10 23 135 348 15 52 260 572
Does Gnp Have a Unit Root? a Reevaluation 0 0 0 2 3 9 29 141
Estimating & Testing Linear Models with Multiple Structural Changes 0 0 0 0 4 5 41 801
Estimating Deterministic with an Integrated or Stationary Noise Component 0 0 15 41 13 23 46 52
Estimating Deterministric Trends with an Integrated or Stationary Noise Component 1 3 11 36 2 6 24 98
Estimating and Testing Linear Models with Multiple Structural Changes 0 0 0 10 15 37 170 1,026
Estimating and Testing Linear Models with Multiple Structural Changes 15 42 89 95 19 55 146 581
Estimating and testing structural changes in multivariate regressions 7 12 37 97 11 22 71 190
Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems 0 3 4 4 1 6 12 62
Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems 0 0 0 1 0 7 20 126
FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES 0 0 0 4 4 21 87 683
Further Evidence on Breaking Trend Functions in Macroeconomic Variables 5 14 34 36 7 23 77 277
Further Evidence on Breaking Trend Functions in Macroeconomic Variables 0 0 0 7 8 35 107 617
GLS Detrending, Efficient Unit Root Tests and Structural Change 6 15 62 241 14 35 121 509
Identifying the Age Profile of Patent Citations 0 0 2 2 3 11 34 34
Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power 8 30 138 1,135 26 96 345 3,454
Let’s Take a Break: Trends and Cycles in US Real GDP? 2 8 44 121 10 26 173 443
Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors 0 0 0 1 9 14 54 405
Methodology in Economics: the Logic of Appraisal 1 2 8 39 2 5 30 146
Moonlighting: Public Service and Private Practice 0 2 17 50 6 27 85 148
Nonstationary and Level Shifts With An Application To Purchasing Power Parity 0 0 0 6 7 18 75 636
PPP May not Hold After all: A Further Investigation 3 4 16 201 3 8 49 418
Pitfalls and Opportunities: What Macroeconomics should know about unit roots 0 0 0 3 8 43 168 944
Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots 11 43 204 1,874 15 75 324 3,830
Residual Based Tests for Cointegration with GLS Detrended Data 0 0 0 2 6 16 48 428
Sampling Interval and estimated Betas: Implications for the Presence of Transitory Components in Stock Prices 0 1 5 34 3 7 35 244
Seraching for Additive Outliers in Nonstationary Time Series 0 0 0 1 0 4 26 649
TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY 0 0 0 0 1 3 31 367
TESTING FOR A RANDOM WALK: A SIMULATION EXPERIMENT OF POWER WHEN THE SIMPLING INTERVAL IS VARIED 0 0 0 0 5 16 68 546
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN 0 0 0 12 4 19 96 760
THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS 0 0 0 0 1 2 5 125
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 1 2 12 192
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 2 5 31 279
THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS 0 0 0 6 13 49 211 1,670
THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS 0 0 0 0 0 2 20 155
Test Consistency with Varying Sampling Frequency 0 0 0 2 3 9 36 189
Testing for Shifts in Trend with an Integrated or Stationary Noise Component 5 11 48 81 13 25 85 105
Testing for Shifts in Trend with an Integrated or Stationary Noise Component 2 3 18 63 3 10 41 123
Testing for a Unit Root in Time Series Regression 24 95 329 975 33 142 550 1,900
Testing the Random Walk Hypothesis: Power Versus Frequency of Observation 10 32 135 563 22 67 416 2,141
Testing the Random Walk Hypothesis: Power versus Frequency of Observation 3 11 38 429 10 43 141 2,013
Tests of Joint Hypotheses for Time Series Regression with a Unit Root 0 2 10 21 0 4 24 90
The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors 0 0 0 0 1 1 3 85
The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors 0 0 1 1 0 0 2 21
The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model 0 0 0 0 0 2 11 62
The Effect of Linear Filters on Dynamic Time series with Structural Change 2 2 5 5 2 6 13 70
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 4 5 23 200
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 1 3 15 54
The Exact Error in Estimating the Special Density at the Origin 0 0 2 2 0 1 10 31
The Exact Error in Estimating the Special Density at the Origin 0 0 0 0 0 2 13 117
The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation 0 2 3 22 1 7 26 146
The Great Crash, the Oil Prices and the Unit Root Hypothesis 0 0 0 1 5 15 52 224
The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions* 3 4 27 60 6 18 94 200
Trend and Cycles: A New Approach and Explanations of Some Old Puzzles 6 12 44 163 9 31 129 445
Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach 0 0 0 3 20 61 315 865
Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag 0 0 0 1 1 12 70 416
Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag 1 7 27 29 1 17 79 184
Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data 0 1 3 3 0 1 14 41
Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties 2 6 11 11 4 10 20 94
Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties 0 0 0 1 1 2 20 201
Total Working Papers 175 523 2,086 9,858 514 1,639 6,845 43,117
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept 0 1 6 72 0 3 18 414
A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION 3 6 18 18 7 18 79 88
A Note on Johansen's Cointegration Procedure When Trends Are Present 0 0 0 0 21 88 301 1,975
A Note on the Selection of Time Series Models 1 7 19 115 2 12 49 260
A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend 1 1 6 12 4 11 56 90
A look at the quality of the approximation of the functional central limit theorem 0 0 0 5 0 0 1 23
A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change 3 5 7 7 5 29 46 46
A simple modification to improve the finite sample properties of Ng and Perron's unit root tests 2 2 8 32 3 5 24 87
AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS 4 7 26 41 6 13 47 97
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 0 0 0 1 10 22 84 467
An Analysis of the Real Interest Rate under Regime Shifts 1 5 25 290 3 20 77 760
Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors 0 1 1 1 0 3 10 10
Asymptotic approximations in the near-integrated model with a non-zero initial condition 0 0 0 7 1 3 12 194
Computation and analysis of multiple structural change models 19 42 176 872 31 74 328 1,786
Critical values for multiple structural change tests 4 11 63 212 8 24 116 468
Does GNP have a unit root?: A re-evaluation 1 2 7 18 4 8 20 41
Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis] 2 8 21 85 5 17 47 192
Estimating and Testing Linear Models with Multiple Structural Changes 0 0 0 9 52 111 335 1,883
Estimating and Testing Structural Changes in Multivariate Regressions 11 20 66 80 20 46 140 174
Estimating restricted structural change models 1 4 19 51 3 7 39 99
Estimation and inference in nearly unbalanced nearly cointegrated systems 0 3 4 32 0 5 13 88
Further evidence on breaking trend functions in macroeconomic variables 8 25 85 384 16 38 130 650
GLS detrending, efficient unit root tests and structural change 1 5 10 65 3 12 30 173
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 10 33 122 440 26 77 262 1,101
Local asymptotic distribution related to the AR(1) model with dependent errors 1 3 5 24 2 10 27 116
Nonstationarity and Level Shifts with an Application to Purchasing Power Parity 0 0 0 0 9 21 87 597
SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* 0 4 12 83 2 7 30 216
Structural breaks with deterministic and stochastic trends 5 12 33 71 5 14 47 122
THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK 2 4 21 31 7 14 55 106
Testing for a Unit Root in a Time Series with a Changing Mean 0 0 0 0 4 16 107 592
Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions 0 0 0 0 5 13 41 339
Testing the random walk hypothesis: Power versus frequency of observation 3 7 23 48 7 18 64 130
Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework 1 1 5 27 1 1 12 83
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 27 70 280 1,502 45 129 525 4,641
The HUMP-Shaped Behavior of Macroeconomic Fluctuations 0 0 0 0 0 1 8 115
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors 0 0 1 7 0 0 4 26
The effect of linear filters on dynamic time series with structural change 1 2 6 26 2 5 16 93
The effect of seasonal adjustment filters on tests for a unit root 0 0 15 61 0 3 32 142
Trends and random walks in macroeconomic time series: Further evidence from a new approach 3 13 88 166 3 20 127 235
Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data 0 2 10 146 2 7 31 541
Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties 2 4 24 99 9 20 78 280
Total Journal Articles 117 310 1,212 5,140 333 945 3,555 19,540

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Statistics updated 2008-10-02