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A modified information criterion for cointegration tests based on a VAR approximation

Qu, Zhongjun; Perron, Pierre - In: Econometric theory 23 (2007) 4, pp. 638-685

Persistent link: https://www.econbiz.de/10003549586

Modeling and forecasting stock return volatility using a random level shift model

Lu, Yang K.; Perron, Pierre - In: Journal of empirical finance 17 (2010) 1, pp. 138-156

Persistent link: https://www.econbiz.de/10003943961

Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

Kim, Dukpa; Perron, Pierre - In: Journal of econometrics 148 (2009) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10003813076

Editorial: Royal Economic Society Annual Conference 2009 : special issue on factor models ; theoretical and applied perspectives

Perron, Pierre; Smith, Richard J. - In: The econometrics journal 14 (2011) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10009007084

Combining long memory and level shifts in modeling and forecasting of persistent time series

Varneskov, Rasmus Tangsgaard; Perron, Pierre - 2011

Persistent link: https://www.econbiz.de/10009228960

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

Using OLS to estimate and test for structural changes in models with endogenous regressors

Perron, Pierre; Yamamoto, Yohei - In: Journal of applied econometrics 30 (2015) 1, pp. 119-144

Persistent link: https://www.econbiz.de/10011327644

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

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

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