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Testing for Common Breaks in a Multiple Equations System
Oka, Tatsushi - 2018
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null hypothesis is that breaks in different parameters occur...
Persistent link: https://www.econbiz.de/10012930627
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Testing for common breaks in a multiple equations system
Oka, Tatsushi; Perron, Pierre - In: Journal of econometrics 204 (2018) 1, pp. 66-85
Persistent link: https://www.econbiz.de/10011974716
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Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data
Cati, Regina Celia; Garcia, Márcio Gomes Pinto; … - In: Journal of applied econometrics 14 (1999) 1, pp. 27-56
Persistent link: https://www.econbiz.de/10001356107
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Continuous record Laplace-based inference about the break date in structural change models
Casini, Alessandro; Perron, Pierre - In: Journal of econometrics 224 (2021) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10013275376
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Annals issue: PI Day
Ng, Serena (ed.); Qu, Zhongjun (ed.);  … - Pi-Day Econometrics Conference <2019, Boston, Mass.> - 2021
Persistent link: https://www.econbiz.de/10013275410
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Pitfalls and opportunities : what macroeconomists should know about unit roots
Campbell, John Y. - 1991
Persistent link: https://www.econbiz.de/10013452193
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Inference on conditional quantile processes in partially linear models with applications to the impact of unemployment benefits
Qu, Zhongjun; Yoon, Jungmo; Perron, Pierre - In: The review of economics and statistics 106 (2024) 2, pp. 521-541
Persistent link: https://www.econbiz.de/10014536847
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Forecasting in the presence of in-sample and out-of-sample breaks
Xu, Jiawen; Perron, Pierre - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3001-3035
Persistent link: https://www.econbiz.de/10014329022
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Prewhitened long-run variance estimation robust to nonstationarity
Casini, Alessandro; Perron, Pierre - In: Journal of econometrics 242 (2024) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10015075216
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Change-point analysis of time series with evolutionary spectra
Casini, Alessandro; Perron, Pierre - In: Journal of econometrics 242 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015075220