Narrow search
Showing 1 - 10 of 21
Cover Image
Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
Liu, Hui; Rodriguez, Gabriel - 2006
Persistent link: https://www.econbiz.de/10003327825
Cover Image
Finite sample behaviour of the level shift model using quasi-differenced data
Rodriguez, Gabriel - 2006
Persistent link: https://www.econbiz.de/10003327850
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Testing for shifts in trend with an integrated or stationary noise component
Perron, Pierre; Yabu, Tomoyoshi - 2006
Persistent link: https://www.econbiz.de/10003270089
Cover Image
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
Cover Image
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