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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

On the irrelevance of impossibility theorems : the case of the long-run variance

Perron, Pierre; Ren, Linxia - In: Journal of time series econometrics 3 (2011) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10009623567

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

Sampling interval and estimated betas : implications for the presence of transitory components in stock prices

Perron, Pierre; Chun, Sungju; Vodounou, Cosmé - In: Journal of empirical finance 20 (2013), pp. 42-62

Persistent link: https://www.econbiz.de/10009717878

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

Perron, Pierre; Yamamoto, Yohei - 2012

Persistent link: https://www.econbiz.de/10009666607

A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS

Perron, Pierre; Yamamoto, Yohei - In: Econometric theory 30 (2014) 2, pp. 491-507

Persistent link: https://www.econbiz.de/10010399749

Breaks, trends and the attribution of climate change: a time-series analysis

Estrada, Francisco; Perron, Pierre - 2012

Persistent link: https://www.econbiz.de/10010400917

Memory parameter estimation in the presence of level shifts and deterministic trends

McCloskey, Adam; Perron, Pierre - In: Econometric theory 29 (2013) 6, pp. 1196-1237

Persistent link: https://www.econbiz.de/10010343727

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

Long-memory and level shifts in the volatility of stock market return indices

Perron, Pierre; Qu, Zhongjun - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 275-290

Persistent link: https://www.econbiz.de/10008736221