Access Statistics for Pierre Perron

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A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT 0 0 0 0 3 3 11 382
A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend 0 0 0 129 1 1 6 417
A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models 0 0 1 3 1 4 10 38
A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models 0 0 1 2 1 3 13 30
A Modified Information Criterion for Cointegration Tests based on a VAR Approximation 0 0 0 205 1 3 9 558
A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change 0 0 0 72 1 2 3 225
A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change* 0 0 0 36 1 2 4 162
A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS 0 0 0 12 1 3 6 80
A Note on the Selection of Time Series Models 0 0 3 1,095 2 4 18 2,316
A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component 0 0 1 265 3 4 16 678
A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component 0 0 0 75 1 2 4 166
A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests 0 0 0 168 1 2 3 443
A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices 0 0 0 102 1 1 5 174
A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series 0 0 0 0 3 8 16 764
A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models 0 2 23 23 3 9 29 29
A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4 0 0 0 12 2 4 12 104
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 3 5 16 801
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 0 0 4 194 3 4 14 457
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 0 0 0 1 3 7 21 609
An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data 0 0 0 247 1 6 13 781
An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data 0 0 0 29 3 6 8 137
An Analysis of the Real Interest Rate Under Regime Shifts 0 0 2 847 2 9 17 3,399
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 102 3 4 14 458
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 2 4 11 922
An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts 0 0 0 27 1 1 3 118
An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility* 0 0 0 94 3 3 8 213
An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests 0 0 0 0 1 2 9 1,238
An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests 0 0 0 76 2 2 3 359
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 1 3 12 90
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 4 5 13 211
Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors 1 1 1 15 2 2 12 76
Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors 0 0 0 0 2 3 6 156
Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope 0 0 0 28 1 6 9 118
Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition 0 0 0 28 1 1 5 211
Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series 0 1 18 18 1 4 19 19
Breaks, trends and the attribution of climate change: a time-series analysis 1 1 3 137 2 3 8 328
Characterizing and attributing the warming trend in sea and land surface temperatures 1 1 3 24 3 5 13 52
Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns 0 0 0 0 2 4 17 36
Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns 0 0 1 67 1 2 6 53
Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns 0 1 1 85 2 4 7 201
Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns 0 0 0 10 1 2 6 93
Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run 0 0 0 14 1 2 7 95
Computation and Analysis of Multiple Structural-Change Models 0 4 12 2,495 4 16 54 5,199
Continuous Record Asymptotics for Change-Point Models 1 1 18 18 2 2 14 14
Continuous Record Asymptotics for Structural Change Models 0 0 2 25 1 1 7 43
Continuous Record Laplace-based Inference about the Break Date in Structural Change Models 0 0 0 12 1 2 9 32
Continuous Record Laplace-based Inference about the Break Date in Structural Change Models 0 0 0 0 1 4 8 8
Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression 0 0 0 77 4 9 14 257
Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression* 0 0 0 103 2 2 9 246
Dealing with Structural Breaks 0 0 0 723 11 26 89 1,824
Detection and attribution of climate change through econometric methods 1 1 2 23 3 4 9 34
Does Gnp Have a Unit Root? a Reevaluation 0 0 0 2 1 2 10 310
Estimating & Testing Linear Models with Multiple Structural Changes 0 0 0 0 1 4 11 1,045
Estimating Deterministic Trend with an Integrated or Stationary Noise Component 0 0 0 77 2 4 9 199
Estimating Deterministic Trends with an Integrated or Stationary Noise Component 0 0 0 12 1 2 5 102
Estimating Deterministric Trends with an Integrated or Stationary Noise Component 0 0 0 68 1 3 8 280
Estimating and Testing Linear Models with Multiple Structural Changes 3 8 22 715 13 29 94 1,811
Estimating and Testing Linear Models with Multiple Structural Changes 0 0 0 10 4 9 48 1,891
Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions 0 0 0 19 2 4 10 154
Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions 1 1 2 42 3 5 10 148
Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors 0 0 0 115 2 4 7 328
Estimating and testing structural changes in multivariate regressions 0 0 0 231 4 9 22 560
Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems 0 0 0 1 1 1 5 225
Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems 0 0 0 40 2 3 10 147
Extracting and analyzing the warming trend in global and hemispheric temperatures 0 0 1 19 2 3 8 36
FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES 0 0 0 4 3 5 25 1,063
Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion 0 0 0 3 1 2 7 26
Forecasting in the presence of in and out of sample breaks 0 0 1 60 1 4 9 44
Forecasting in the presence of in and out of sample breaks 0 0 1 1 2 7 14 27
Further Evidence on Breaking Trend Functions in Macroeconomic Variables 0 0 1 242 2 7 35 701
Further Evidence on Breaking Trend Functions in Macroeconomic Variables 0 0 0 7 3 4 27 1,172
GLS Detrending, Efficient Unit Root Tests and Structural Change 0 0 3 607 1 5 20 1,337
GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses 0 0 0 141 2 10 21 457
Generalized Laplace Inference in Multiple Change-Points Models 0 0 0 0 1 5 12 12
Generalized Laplace Inference in Multiple Change-Points Models 0 0 1 28 3 4 16 66
Improved Tests for Forecast Comparisons in the Presence of Instabilities 0 0 0 3 1 2 5 30
Improved Tests for Forecast Comparisons in the Presence of Instabilities 0 0 0 42 1 2 4 31
Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures 0 0 5 15 1 4 12 29
Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures 0 0 0 2 0 5 12 27
Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends 0 0 0 1 1 1 3 16
Inference on Locally Ordered Breaks in Multiple Regressions 0 0 1 2 1 3 11 37
Inference on a Structural Break in Trend with Fractionally Integrated Errors 1 1 3 4 2 3 10 31
Inference on a Structural Break in Trend with Fractionally Integrated Errors 0 0 1 3 2 4 6 23
Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power 0 0 1 1,949 2 7 47 5,969
Let’s Take a Break: Trends and Cycles in US Real GDP 0 0 0 87 1 4 23 391
Let’s Take a Break: Trends and Cycles in US Real GDP? 0 0 0 222 3 4 17 888
Level Shifts and Purchasing Power Parity 0 0 2 321 1 2 14 893
Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors 0 0 0 1 2 3 6 482
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices 0 0 0 115 1 1 7 276
Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data 0 2 3 11 2 6 13 42
Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data 0 0 0 63 2 5 11 40
Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends 0 0 0 7 1 2 8 68
Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends 0 0 0 58 1 3 7 75
Methodology in Economics: the Logic of Appraisal 0 0 0 66 2 2 5 244
Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model 0 0 0 78 2 6 10 195
Nonstationary and Level Shifts With An Application To Purchasing Power Parity 0 0 0 6 4 6 13 1,043
On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance 0 0 0 3 2 4 17 53
On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests 0 0 0 14 1 4 7 83
On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests 0 0 0 4 1 3 8 20
On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests 0 0 0 42 1 3 6 133
PPP May not Hold After all: A Further Investigation 0 0 0 278 3 6 21 911
PPP May not Hold Afterall: A Further Investigation 0 0 0 17 1 4 8 263
Pitfalls and Opportunities: What Macroeconomics should know about unit roots 0 0 0 3 5 13 34 1,565
Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots 1 5 11 2,896 4 11 44 6,050
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots 0 3 6 32 4 10 40 230
Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model 0 0 1 26 1 5 18 40
Residual Based Tests for Cointegration with GLS Detrended Data 0 0 0 2 2 4 11 753
Residual test for cointegration with GLS detrended data 0 2 4 177 1 7 18 420
Residuals-based Tests for Cointegration with GLS Detrended Data 0 0 1 32 2 4 9 60
Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations 0 0 1 6 2 3 9 33
Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices 0 0 0 7 1 2 6 70
Sampling Interval and estimated Betas: Implications for the Presence of Transitory Components in Stock Prices 0 0 0 55 2 3 7 374
Seraching for Additive Outliers in Nonstationary Time Series 0 0 0 1 0 3 13 932
Single-equation tests for Cointegration with GLS Detrended Data 0 0 1 10 1 2 6 41
State Space Model with Mixtures of Normals: Specifications and Applications to International Data 0 0 0 31 2 6 9 150
Statistical evidence about human influence on the climate system 0 0 0 106 2 3 7 353
Statistically-derived contributions of diverse human influences to 20th century temperature changes 0 0 3 4 4 5 13 27
Structural Breaks in Time Series 0 1 11 165 3 8 34 110
Structural Breaks in Time Series 3 6 31 87 10 28 98 161
TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY 0 0 0 0 1 1 5 501
TESTING FOR A RANDOM WALK: A SIMULATION EXPERIMENT OF POWER WHEN THE SIMPLING INTERVAL IS VARIED 0 0 0 0 2 4 12 703
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN 0 0 0 12 2 5 16 1,310
THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS 0 0 0 0 2 2 4 163
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 1 1 7 248
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 2 3 11 445
THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS 0 0 0 6 6 16 56 2,669
THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS 0 0 0 0 3 3 8 217
Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models 0 0 0 5 1 2 9 37
Test Consistency with Varying Sampling Frequency 0 0 0 2 2 2 9 325
Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model 0 0 1 67 1 4 18 218
Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model 2 2 5 39 4 8 22 46
Testing for Breaks in Coefficients and Error Variance: Simulations and Applications 0 0 0 64 1 2 13 181
Testing for Changes in Forecasting Performance 0 0 0 0 1 6 8 8
Testing for Changes in Forecasting Performance 0 0 0 36 1 6 11 35
Testing for Changes in Forecasting Performance 0 0 0 68 2 4 11 48
Testing for Common Breaks in a Multiple Equations System 0 0 0 19 1 1 15 33
Testing for Common Breaks in a Multiple Equations System 0 0 0 17 1 1 8 119
Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component 0 0 1 72 2 4 10 143
Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component 0 0 0 18 1 2 7 36
Testing for Multiple Structural Changes in Cointegrated Regression Models 0 0 0 31 1 2 9 136
Testing for Multiple Structural Changes in Cointegrated Regression Models 0 3 7 489 1 7 33 1,094
Testing for Multiple Structural Changes in Cointegrated Regression Models 0 0 0 54 1 2 7 173
Testing for Shifts in Trend with an Integrated or Stationary Noise Component 0 0 0 188 1 3 11 489
Testing for Shifts in Trend with an Integrated or Stationary Noise Component 0 0 0 114 2 3 6 367
Testing for Trend in the Presence of Autoregressive Error: A Comment 0 0 0 5 1 2 4 48
Testing for Trend in the Presence of Autoregressive Error: A Comment 0 0 1 61 2 3 6 141
Testing for a Unit Root in Time Series Regression 3 9 37 3,019 13 46 199 7,526
Testing for common breaks in a multiple equations system 0 0 0 14 1 1 11 40
Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model 0 0 0 0 2 2 19 19
Testing the Random Walk Hypothesis: Power Versus Frequency of Observation 0 0 10 992 2 4 23 3,381
Testing the Random Walk Hypothesis: Power versus Frequency of Observation 1 3 8 627 3 6 25 2,663
Tests of Joint Hypotheses for Time Series Regression with a Unit Root 0 1 2 65 2 6 18 270
The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors 0 0 0 0 1 1 2 121
The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors 0 0 0 14 1 1 2 49
The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model 0 0 0 0 2 2 5 149
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 1 2 9 302
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 1 2 4 149
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 1 1 6 100
The Exact Error in Estimating the Special Density at the Origin 0 0 0 0 1 1 8 331
The Exact Error in Estimating the Special Density at the Origin 0 0 0 22 1 1 6 82
The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation 0 0 0 32 2 2 7 213
The Great Crash, the Oil Prices and the Unit Root Hypothesis 0 0 0 1 3 3 13 429
The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence 0 1 5 27 1 6 23 35
The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence 0 0 0 0 2 4 10 10
The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions* 0 0 0 163 1 1 3 621
The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions 0 0 0 16 1 2 6 90
The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes 0 0 0 35 1 2 4 101
Trend and Cycles: A New Approach and Explanations of Some Old Puzzles 1 1 3 315 6 11 27 996
Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach 0 0 0 3 1 3 18 2,212
Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise 1 2 33 33 2 4 36 36
Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag 0 0 0 1 2 6 17 978
Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag 0 1 1 254 1 4 11 668
Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses 0 0 0 76 2 4 9 313
Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data 0 0 1 48 0 0 4 141
Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties 0 2 4 67 2 5 18 267
Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties 0 0 0 1 1 2 10 332
Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors 0 0 0 26 2 5 9 132
Wald Tests for Detecting Multiple Structural Changes in Persistence 0 0 4 205 2 3 15 418
Total Working Papers 22 67 337 24,680 362 813 2,698 94,364


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 Stationary First-Order Autoregressive Model 0 0 0 14 1 1 2 38
A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept 0 0 0 123 1 4 8 577
A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION 1 1 2 51 1 2 6 207
A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS 0 0 0 27 1 4 9 96
A Note on Johansen's Cointegration Procedure When Trends Are Present 0 0 0 0 2 6 12 2,549
A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks 0 0 5 14 1 5 19 40
A Note on the Selection of Time Series Models 0 0 2 245 1 2 14 611
A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report 0 0 0 0 2 2 3 3
A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend 0 0 0 32 1 3 14 387
A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models 0 0 2 4 3 5 13 23
A look at the quality of the approximation of the functional central limit theorem 0 0 1 8 1 1 5 61
A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change 0 0 1 60 1 3 9 223
A note on estimating a structural change in persistence 0 0 1 16 1 1 5 87
A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component 0 0 1 62 1 3 7 171
A simple modification to improve the finite sample properties of Ng and Perron's unit root tests 1 1 3 118 2 3 17 334
A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices 1 2 6 16 2 3 11 54
AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS 0 1 1 81 1 2 3 199
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 0 0 0 1 5 14 38 1,051
An Analysis of the Real Interest Rate under Regime Shifts 1 5 28 755 6 23 74 1,773
Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope 0 0 0 133 2 3 6 459
Asymptotic approximations in the near-integrated model with a non-zero initial condition 0 0 0 7 1 1 3 251
Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series 0 0 0 0 1 1 1 1
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns 0 0 2 7 2 4 8 22
Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1) 0 0 0 26 1 1 3 116
Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run 0 0 1 20 1 2 8 106
Computation and analysis of multiple structural change models 3 17 72 2,901 27 80 296 6,540
Critical values for multiple structural change tests 1 3 11 445 5 14 40 973
DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION 0 0 0 69 1 5 9 160
Does GNP have a unit root?: A re-evaluation 0 0 1 71 1 2 5 184
Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis] 0 6 16 323 4 20 39 671
Estimating and Testing Linear Models with Multiple Structural Changes 0 0 0 9 23 60 190 4,602
Estimating and Testing Structural Changes in Multivariate Regressions 1 3 6 405 6 14 27 905
Estimating and testing multiple structural changes in linear models using band spectral regressions 0 0 1 26 1 3 6 69
Estimating deterministic trends with an integrated or stationary noise component 1 1 4 129 2 9 30 430
Estimating restricted structural change models 2 3 25 248 4 9 57 506
Estimation and inference in nearly unbalanced nearly cointegrated systems 0 0 1 90 2 3 14 268
Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures 0 1 2 5 2 6 9 28
Forecasting return volatility: Level shifts with varying jump probability and mean reversion 0 0 3 18 1 3 13 85
Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses 0 0 0 4 2 4 15 44
Further evidence on breaking trend functions in macroeconomic variables 2 11 29 1,165 6 25 86 2,370
GLS detrending, efficient unit root tests and structural change 2 8 12 399 5 16 42 1,003
GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural 0 0 0 28 1 1 5 95
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES 2 5 21 385 9 23 67 782
Improved Tests for Forecast Comparisons in the Presence of Instabilities 0 0 1 4 2 3 6 25
Inference on a Structural Break in Trend with Fractionally Integrated Errors 0 0 1 1 2 3 6 24
Inference on locally ordered breaks in multiple regressions 0 0 1 2 1 3 10 29
Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures 0 0 2 2 1 8 13 13
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 0 0 3 1,132 2 12 61 3,070
Let's take a break: Trends and cycles in US real GDP 4 6 41 564 9 17 96 1,339
Local asymptotic distribution related to the AR(1) model with dependent errors 0 1 3 103 2 4 9 307
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices 0 0 7 150 1 3 18 334
L’estimation de modèles avec changements structurels multiples 0 0 1 30 1 1 4 120
MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS 0 0 1 13 1 3 5 52
Measuring business cycles with structural breaks and outliers: Applications to international data 0 0 3 26 2 7 28 131
Modeling and forecasting stock return volatility using a random level shift model 1 1 6 226 2 5 18 618
Modelling exchange rate volatility with random level shifts 0 0 0 1 1 2 5 9
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations 0 1 2 40 3 4 8 151
Nonstationarity and Level Shifts with an Application to Purchasing Power Parity 0 0 0 0 2 12 29 1,204
On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance 0 0 0 37 3 3 7 131
On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests 0 0 0 0 1 4 6 29
PPP May not Hold Afterall: A Further Investigation 0 0 1 41 3 4 10 272
Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model 0 0 0 3 1 5 13 29
Racines unitaires en macroéconomie: le cas d’une variable 0 0 0 12 1 2 6 101
Racines unitaires en macroéconomie: le cas multidimensionnel 0 0 1 3 1 1 6 24
Residuals‐based tests for cointegration with generalized least‐squares detrended data 0 3 3 28 82 87 90 132
Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives 1 2 2 3 3 4 5 20
SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES 0 1 1 213 1 2 7 495
Saltos, tendencias y la atribución del cambio climático: un análisis de series de tiempo 0 2 6 6 2 7 18 18
Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices 0 0 0 17 2 4 5 89
Structural breaks with deterministic and stochastic trends 0 4 10 230 2 7 20 496
THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN 0 0 1 1 1 1 4 7
THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS 0 0 0 40 1 2 7 151
THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK 0 0 0 46 1 3 4 355
Temporal Aggregation and Long Memory for Asset Price Volatility 1 1 1 1 3 7 10 10
Test Consistency with Varying Sampling Frequency 0 0 0 33 1 2 5 111
Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component 0 0 1 4 1 3 8 57
Testing for Multiple Structural Changes in Cointegrated Regression Models 0 1 6 153 2 8 31 363
Testing for Shifts in Trend With an Integrated or Stationary Noise Component 0 0 0 198 2 4 10 441
Testing for Trend in the Presence of Autoregressive Error: A Comment 0 0 0 9 1 2 5 56
Testing for a Unit Root in a Time Series with a Changing Mean 0 0 0 0 1 7 34 1,177
Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions 0 0 0 0 1 2 18 727
Testing for common breaks in a multiple equations system 0 0 0 1 1 2 10 47
Testing jointly for structural changes in the error variance and coefficients of a linear regression model 1 1 1 1 2 4 7 7
Testing the random walk hypothesis: Power versus frequency of observation 1 5 19 219 4 12 60 595
Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework 0 1 1 38 2 3 8 141
The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model 0 0 0 30 1 1 4 122
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 6 21 76 3,519 18 73 241 9,270
The HUMP-Shaped Behavior of Macroeconomic Fluctuations 0 0 0 0 1 1 4 186
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors 0 0 1 30 1 1 5 94
The effect of linear filters on dynamic time series with structural change 0 0 1 60 1 3 8 257
The effect of seasonal adjustment filters on tests for a unit root 0 0 3 171 1 3 12 399
The limit distribution of the estimates in cointegrated regression models with multiple structural changes 0 1 3 84 1 3 13 270
Time Series Methods Applied to Climate Change 0 0 3 20 2 2 7 57
Trends and random walks in macroeconomic time series: Further evidence from a new approach 0 2 11 721 2 10 30 1,302
Unit Roots and Structural Breaks 0 1 1 2 2 7 17 34
Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data 0 0 0 172 2 2 7 650
Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses 4 5 14 427 7 13 54 1,014
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties 1 4 18 326 6 16 53 920
Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors 0 1 3 28 2 5 12 101
WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE 1 1 3 39 3 5 9 109
Total Journal Articles 39 134 523 17,800 352 820 2,454 57,446


Chapter File Downloads Abstract Views
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Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots 0 15 47 391 10 41 138 940
Total Chapters 0 15 47 391 10 41 138 940


Statistics updated 2021-01-03