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Testing for shifts in trend with an integrated or stationary noise component

Perron, Pierre; Yabu, Tomoyoshi - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 3, pp. 369-396

Persistent link: https://www.econbiz.de/10003893884

Forecasting return volatility : level shifts with varying jump probability and mean reversion

Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463

Persistent link: https://www.econbiz.de/10010511565

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

A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339

Persistent link: https://www.econbiz.de/10010253639

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

Testing for shifts in trend with an integrated or stationary noise component

Perron, Pierre; Yabu, Tomoyoshi - 2006

Persistent link: https://www.econbiz.de/10003270089

The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence

Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218

Persistent link: https://www.econbiz.de/10012819527

Pitfalls of two step testing for changes in the error variance and coefficients of a linear regression model

Perron, Pierre; Yamamoto, Yohei - 2019

Persistent link: https://www.econbiz.de/10012418079

On the usefulness or lack thereof of optimality criteria for structural change tests

Perron, Pierre; Yamamoto, Yohei - In: Econometric reviews 35 (2016) 5/7, pp. 782-844

Persistent link: https://www.econbiz.de/10011589912

Pitfalls of two-step testing for changes in the error variance and coefficients of a linear regression model

Perron, Pierre; Yamamoto, Yohei - In: Econometrics : open access journal 7 (2019) 2/22, pp. 1-11

In empirical applications based on linear regression models, structural changes often occur in both the error variance and regression coefficients, possibly at different dates. A commonly applied method is to first test for changes in the coefficients (or in the error variance) and, conditional...

Persistent link: https://www.econbiz.de/10012025784