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A test for changes in a polynominal trend function for a dynamic time series
Perron, Pierre - 1991
Persistent link: https://www.econbiz.de/10000831361
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The limiting distribution of the least squares estimator in nearly integrated seasonal models
Perron, Pierre - 1990
Persistent link: https://www.econbiz.de/10000809706
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Memory parameter estimation in the presence of level shifts and deterministic trends
McCloskey, Adam; Perron, Pierre - 2012 - This version: July 30, 2012
We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ...
Persistent link: https://www.econbiz.de/10009660476
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Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run
Chun, Sungju; Perron, Pierre - In: Applied economics 45 (2013) 22/24, pp. 3412-3528
Persistent link: https://www.econbiz.de/10010345346
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Estimating and testing multiple structural changes in linear models using band spectral regressions
Yamamoto, Yohei; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 400-429
Persistent link: https://www.econbiz.de/10010253633
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Residuals-based tests for cointegration with generalized least-squares detrended data
Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111
Persistent link: https://www.econbiz.de/10011487613
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Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
Hou, Jie; Perron, Pierre - In: Journal of econometrics 182 (2014) 2, pp. 309-328
Persistent link: https://www.econbiz.de/10010497755
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Residual base tests for cointegration with GLS detrented data
Perron, Pierre; Rodriguez, Gabriel - 2012
Persistent link: https://www.econbiz.de/10009615277
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A note on estimating a structural change in persistence
Kejriwal, Mohitosh; Perron, Pierre - In: Economics letters 117 (2012) 3, pp. 932-935
Persistent link: https://www.econbiz.de/10009683385
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The exact error in estimating the spectral density at the origin
Ng, Serena; Perron, Pierre - 1995
Persistent link: https://www.econbiz.de/10001512725