Belotti, Federico; Casini, Alessandro; Catania, Leopoldo; Grassi, Stefano; Perron, Pierre Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings. (English) Zbl 07716499 Econom. Rev. 42, No. 3, 281-306 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{F. Belotti} et al., Econom. Rev. 42, No. 3, 281--306 (2023; Zbl 07716499) Full Text: DOI arXiv
Chang, Seong Yeon; Perron, Pierre; Xu, Jiawen Robust testing of time trend and mean with unknown integration order errors. (English) Zbl 07632302 J. Stat. Comput. Simulation 92, No. 17, 3561-3582 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Y. Chang} et al., J. Stat. Comput. Simulation 92, No. 17, 3561--3582 (2022; Zbl 07632302) Full Text: DOI
Perron, Pierre; Yamamoto, Yohei Structural change tests under heteroskedasticity: Joint estimation versus two-steps methods. (English) Zbl 07569199 J. Time Ser. Anal. 43, No. 3, 389-411 (2022). MSC: 62Mxx 62H15 PDFBibTeX XMLCite \textit{P. Perron} and \textit{Y. Yamamoto}, J. Time Ser. Anal. 43, No. 3, 389--411 (2022; Zbl 07569199) Full Text: DOI
Casini, Alessandro; Perron, Pierre Generalized Laplace inference in multiple change-points models. (English) Zbl 1493.62598 Econom. Theory 38, No. 1, 35-65 (2022). MSC: 62P20 PDFBibTeX XMLCite \textit{A. Casini} and \textit{P. Perron}, Econom. Theory 38, No. 1, 35--65 (2022; Zbl 1493.62598) Full Text: DOI arXiv
Kejriwal, Mohitosh; Perron, Pierre; Yu, Xuewen A two-step procedure for testing partial parameter stability in cointegrated regression models. (English) Zbl 1493.62082 J. Time Ser. Anal. 43, No. 2, 219-237 (2022). MSC: 62F03 PDFBibTeX XMLCite \textit{M. Kejriwal} et al., J. Time Ser. Anal. 43, No. 2, 219--237 (2022; Zbl 1493.62082) Full Text: DOI
Kejriwal, Mohitosh; Yu, Xuewen; Perron, Pierre Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (English) Zbl 1452.91238 J. Time Ser. Anal. 41, No. 5, 676-690 (2020). MSC: 91B84 62F40 PDFBibTeX XMLCite \textit{M. Kejriwal} et al., J. Time Ser. Anal. 41, No. 5, 676--690 (2020; Zbl 1452.91238) Full Text: DOI
Kim, Dukpa; Oka, Tatsushi; Estrada, Francisco; Perron, Pierre Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures. (English) Zbl 1456.62291 J. Econom. 214, No. 1, 130-152 (2020). MSC: 62P20 62M07 62M10 62P12 86A08 PDFBibTeX XMLCite \textit{D. Kim} et al., J. Econom. 214, No. 1, 130--152 (2020; Zbl 1456.62291) Full Text: DOI arXiv Link
Chang, Seong Yeon; Perron, Pierre A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models. (English) Zbl 1491.62057 Econom. Rev. 37, No. 6, 577-601 (2018). MSC: 62J05 62F03 62F25 62M10 62P20 PDFBibTeX XMLCite \textit{S. Y. Chang} and \textit{P. Perron}, Econom. Rev. 37, No. 6, 577--601 (2018; Zbl 1491.62057) Full Text: DOI Link
Varneskov, Rasmus T.; Perron, Pierre Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. (English) Zbl 1406.62151 Quant. Finance 18, No. 3, 371-393 (2018). MSC: 62P20 62M20 91B84 PDFBibTeX XMLCite \textit{R. T. Varneskov} and \textit{P. Perron}, Quant. Finance 18, No. 3, 371--393 (2018; Zbl 1406.62151) Full Text: DOI Link
Oka, Tatsushi; Perron, Pierre Testing for common breaks in a multiple equations system. (English) Zbl 1387.62075 J. Econom. 204, No. 1, 66-85 (2018). MSC: 62H15 62P20 PDFBibTeX XMLCite \textit{T. Oka} and \textit{P. Perron}, J. Econom. 204, No. 1, 66--85 (2018; Zbl 1387.62075) Full Text: DOI arXiv Link
Li, Ye; Perron, Pierre Inference on locally ordered breaks in multiple regressions. (English) Zbl 1524.62444 Econom. Rev. 36, No. 1-3, 289-353 (2017). MSC: 62M10 62J05 62H12 62F25 62P20 PDFBibTeX XMLCite \textit{Y. Li} and \textit{P. Perron}, Econom. Rev. 36, No. 1--3, 289--353 (2017; Zbl 1524.62444) Full Text: DOI
Chang, Seong Yeon; Perron, Pierre Inference on a structural break in trend with fractionally integrated errors. (English) Zbl 1359.62360 J. Time Ser. Anal. 37, No. 4, 555-574 (2016). MSC: 62M10 62E20 62F12 PDFBibTeX XMLCite \textit{S. Y. Chang} and \textit{P. Perron}, J. Time Ser. Anal. 37, No. 4, 555--574 (2016; Zbl 1359.62360) Full Text: DOI Link
Estrada, Francisco; Perron, Pierre Detection and attribution of climate change through econometric methods. (English) Zbl 1305.62384 Bol. Soc. Mat. Mex., III. Ser. 20, No. 1, 107-136 (2014). MSC: 62P12 62M10 62P20 91B76 PDFBibTeX XMLCite \textit{F. Estrada} and \textit{P. Perron}, Bol. Soc. Mat. Mex., III. Ser. 20, No. 1, 107--136 (2014; Zbl 1305.62384) Full Text: DOI Link
Perron, Pierre; Yamamoto, Yohei A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS. (English) Zbl 1314.62155 Econom. Theory 30, No. 2, 491-507 (2014). MSC: 62J05 62J07 62G20 PDFBibTeX XMLCite \textit{P. Perron} and \textit{Y. Yamamoto}, Econom. Theory 30, No. 2, 491--507 (2014; Zbl 1314.62155) Full Text: DOI
Hou, Jie; Perron, Pierre Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. (English) Zbl 1311.62137 J. Econom. 182, No. 2, 309-328 (2014). MSC: 62M09 62M10 62G05 PDFBibTeX XMLCite \textit{J. Hou} and \textit{P. Perron}, J. Econom. 182, No. 2, 309--328 (2014; Zbl 1311.62137) Full Text: DOI
McCloskey, Adam; Perron, Pierre Memory parameter estimation in the presence of level shifts and deterministic trends. (English) Zbl 1290.62084 Econom. Theory 29, No. 6, 1196-1237 (2013). MSC: 62M10 62F12 62F35 62P05 91B84 PDFBibTeX XMLCite \textit{A. McCloskey} and \textit{P. Perron}, Econom. Theory 29, No. 6, 1196--1237 (2013; Zbl 1290.62084) Full Text: DOI
Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing Wald tests for detecting multiple structural changes in persistence. (English) Zbl 1282.62199 Econom. Theory 29, No. 2, 289-323 (2013). Reviewer: Jurgita Markeviciute (Vilnius) MSC: 62M10 62F03 62M07 62E20 PDFBibTeX XMLCite \textit{M. Kejriwal} et al., Econom. Theory 29, No. 2, 289--323 (2013; Zbl 1282.62199) Full Text: DOI
Kejriwal, Mohitosh; Perron, Pierre A note on estimating a structural change in persistence. (English) Zbl 1283.62185 Econ. Lett. 117, No. 3, 932-935 (2012). MSC: 62M10 62F10 91B84 PDFBibTeX XMLCite \textit{M. Kejriwal} and \textit{P. Perron}, Econ. Lett. 117, No. 3, 932--935 (2012; Zbl 1283.62185) Full Text: DOI
Kejriwal, Mohitosh; Perron, Pierre A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (English) Zbl 1416.62502 J. Time Ser. Anal. 31, No. 5, 305-328 (2010). MSC: 62M10 62M07 62L10 PDFBibTeX XMLCite \textit{M. Kejriwal} and \textit{P. Perron}, J. Time Ser. Anal. 31, No. 5, 305--328 (2010; Zbl 1416.62502) Full Text: DOI
Kim, Dukpa; Perron, Pierre Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope. (English) Zbl 1429.62076 J. Econom. 149, No. 1, 26-51 (2009). MSC: 62F05 62E20 PDFBibTeX XMLCite \textit{D. Kim} and \textit{P. Perron}, J. Econom. 149, No. 1, 26--51 (2009; Zbl 1429.62076) Full Text: DOI
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa; Perron, Pierre GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses. (English) Zbl 1284.62522 Econom. Theory 25, No. 6, 1754-1792 (2009). MSC: 62M07 62E20 62M10 PDFBibTeX XMLCite \textit{J. L. Carrion-i-Silvestre} et al., Econom. Theory 25, No. 6, 1754--1792 (2009; Zbl 1284.62522) Full Text: DOI
Kejriwal, Mohitosh; Perron, Pierre The limit distribution of the estimates in cointegrated regression models with multiple structural changes. (English) Zbl 1418.62334 J. Econom. 146, No. 1, 59-73 (2008). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{M. Kejriwal} and \textit{P. Perron}, J. Econom. 146, No. 1, 59--73 (2008; Zbl 1418.62334) Full Text: DOI
Deng, Ai; Perron, Pierre A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change. (English) Zbl 1418.62554 J. Econom. 142, No. 1, 212-240 (2008). MSC: 62P30 62J05 62L10 62M10 62P20 PDFBibTeX XMLCite \textit{A. Deng} and \textit{P. Perron}, J. Econom. 142, No. 1, 212--240 (2008; Zbl 1418.62554) Full Text: DOI
Kejriwal, Mohitosh; Perron, Pierre Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression. (English) Zbl 1284.62421 Econom. Theory 24, No. 5, 1425-1441 (2008). MSC: 62J05 PDFBibTeX XMLCite \textit{M. Kejriwal} and \textit{P. Perron}, Econom. Theory 24, No. 5, 1425--1441 (2008; Zbl 1284.62421) Full Text: DOI
Deng, Ai; Perron, Pierre The limit distribution of the CUSUM of squares test under general mixing conditions. (English) Zbl 1284.62501 Econom. Theory 24, No. 3, 809-822 (2008). MSC: 62L10 62J05 62M10 PDFBibTeX XMLCite \textit{A. Deng} and \textit{P. Perron}, Econom. Theory 24, No. 3, 809--822 (2008; Zbl 1284.62501) Full Text: DOI
Qu, Zhongjun; Perron, Pierre A modified information criterion for cointegration tests based on a VAR approximation. (English) Zbl 1274.62612 Econom. Theory 23, No. 4, 638-685 (2007). MSC: 62M10 62M07 PDFBibTeX XMLCite \textit{Z. Qu} and \textit{P. Perron}, Econom. Theory 23, No. 4, 638--685 (2007; Zbl 1274.62612) Full Text: DOI
Nabeya, Seiji; Perron, Pierre Approximations to some exact distributions in the first order autoregressive model with dependent errors. (English) Zbl 0838.62083 Econom. Rev. 14, No. 4, 421-457 (1995). MSC: 62M10 62E20 65D30 PDFBibTeX XMLCite \textit{S. Nabeya} and \textit{P. Perron}, Econom. Rev. 14, No. 4, 421--457 (1995; Zbl 0838.62083) Full Text: DOI