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Perron, Pierre

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Author ID: perron.pierre Recent zbMATH articles by "Perron, Pierre"
Published as: Perron, Pierre
Documents Indexed: 60 Publications since 1985, including 2 Books

Publications by Year

Citations contained in zbMATH Open

49 Publications have been cited 1,944 times in 1,226 Documents Cited by Year
Testing for a unit root in time series regression. Zbl 0644.62094
Phillips, Peter C. B.; Perron, Pierre
394
1988
Estimating and testing linear models with multiple structural changes. Zbl 1056.62523
Bai, Jushan; Perron, Pierre
313
1998
The great crash, the oil price shock, and the unit root hypothesis. Zbl 0683.62066
Perron, Pierre
298
1989
Lag length selection and the construction of unit root tests with good size and power. Zbl 1056.62529
Ng, Serena; Perron, Pierre
151
2001
Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag. Zbl 0820.62074
Ng, Serena; Perron, Pierre
110
1995
Further evidence on breaking trend functions in macroeconomic variables. Zbl 0965.62103
Perron, Pierre
61
1997
Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Zbl 0872.62085
Perron, Pierre; Ng, Serena
61
1996
Estimating and testing structural changes in multivariate regressions. Zbl 1132.91555
Qu, Zhongjun; Perron, Pierre
54
2007
Trends and random walks in macroeconomic time series. Zbl 0659.62128
Perron, Pierre
41
1988
Structural breaks with deterministic and stochastic trends. Zbl 1337.62238
Perron, Pierre; Zhu, Xiaokang
36
2005
Testing the random walk hypothesis: power versus frequency of observation. Zbl 1273.91383
Shiller, Robert J.; Perron, Pierre
31
1985
A simple modification to improve the finite sample properties of Ng and Perron’s unit root tests. Zbl 1255.62277
Perron, Pierre; Qu, Zhongjun
28
2007
Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses. Zbl 1429.62375
Kim, Dukpa; Perron, Pierre
27
2009
Estimating deterministic trends with an integrated or stationary noise component. Zbl 1431.62410
Perron, Pierre; Yabu, Tomoyoshi
25
2009
Critical values for multiple structural change tests. Zbl 1032.62064
Bai, Jushan; Perron, Pierre
24
2003
GLS detrending, efficient unit root tests and structural change. Zbl 1183.62154
Perron, Pierre; Rodríguez, Gabriel
23
2003
Estimating restricted structural change models. Zbl 1418.62273
Perron, Pierre; Qu, Zhongjun
21
2006
GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses. Zbl 1284.62522
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa; Perron, Pierre
18
2009
Local asymptotic distribution related to the AR(1) model with dependent errors. Zbl 0806.62072
Nabeya, Seiji; Perron, Pierre
18
1994
A continuous time approximation to the unstable first-order autoregressive process: The case without an intercept. Zbl 0734.62088
Perron, Pierre
18
1991
Long-memory and level shifts in the volatility of stock market return indices. Zbl 1197.91202
Perron, Pierre; Qu, Zhongjun
15
2010
Memory parameter estimation in the presence of level shifts and deterministic trends. Zbl 1290.62084
McCloskey, Adam; Perron, Pierre
13
2013
The limit distribution of the estimates in cointegrated regression models with multiple structural changes. Zbl 1418.62334
Kejriwal, Mohitosh; Perron, Pierre
13
2008
A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change. Zbl 1418.62554
Deng, Ai; Perron, Pierre
13
2008
Searching for additive outliers in nonstationary time series. Zbl 1112.62099
Perron, Pierre; Rodríguez, Gabriel
13
2003
The effect of seasonal adjustment filters on tests for a unit root (with discussion). Zbl 0756.62044
Ghysels, Eric; Perron, Pierre
13
1993
A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS. Zbl 1314.62155
Perron, Pierre; Yamamoto, Yohei
11
2014
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors. Zbl 0834.62021
Perron, Pierre
9
1996
Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope. Zbl 1429.62076
Kim, Dukpa; Perron, Pierre
8
2009
The limit distribution of the CUSUM of squares test under general mixing conditions. Zbl 1284.62501
Deng, Ai; Perron, Pierre
8
2008
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Zbl 1406.62151
Varneskov, Rasmus T.; Perron, Pierre
7
2018
Testing for multiple structural changes in cointegrated regression models. Zbl 1202.62119
Kejriwal, Mohitosh; Perron, Pierre
7
2010
Wald tests for detecting multiple structural changes in persistence. Zbl 1282.62199
Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing
6
2013
A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. Zbl 1416.62502
Kejriwal, Mohitosh; Perron, Pierre
6
2010
A modified information criterion for cointegration tests based on a VAR approximation. Zbl 1274.62612
Qu, Zhongjun; Perron, Pierre
6
2007
Estimation and inference in nearly unbalanced nearly cointegrated systems. Zbl 0880.62120
Ng, Serena; Perron, Pierre
6
1997
The exact error in estimating the spectral density at the origin. Zbl 0906.62100
Ng, Serena; Perron, Pierre
6
1996
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Zbl 1311.62137
Hou, Jie; Perron, Pierre
5
2014
Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression. Zbl 1284.62421
Kejriwal, Mohitosh; Perron, Pierre
4
2008
The effect of linear filters on dynamic time series with structural change. Zbl 0834.62093
Ghysels, Eric; Perron, Pierre
4
1996
Testing for common breaks in a multiple equations system. Zbl 1387.62075
Oka, Tatsushi; Perron, Pierre
3
2018
Detection and attribution of climate change through econometric methods. Zbl 1305.62384
Estrada, Francisco; Perron, Pierre
3
2014
A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend. Zbl 1111.62075
Deng, Ai; Perron, Pierre
3
2006
The variance ratio test: an analysis of size and power based on a continuous-time asymptotic framework. Zbl 1072.62105
Perron, Pierre; Vodounou, Cosme
3
2005
The limiting distribution of the least-squares estimator in nearly integrated seasonal models. Zbl 0753.62061
Perron, Pierre
3
1992
Inference on a structural break in trend with fractionally integrated errors. Zbl 1359.62360
Chang, Seong Yeon; Perron, Pierre
1
2016
Testing for trend in the presence of autoregressive error: a comment. Zbl 1328.62534
Perron, Pierre; Yabu, Tomoyoshi
1
2012
Asymptotic approximations in the near-integrated model with a non-zero initial condition. Zbl 1029.62016
Perron, Pierre; Vodounou, Cosme
1
2001
Approximations to some exact distributions in the first order autoregressive model with dependent errors. Zbl 0838.62083
Nabeya, Seiji; Perron, Pierre
1
1995
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Zbl 1406.62151
Varneskov, Rasmus T.; Perron, Pierre
7
2018
Testing for common breaks in a multiple equations system. Zbl 1387.62075
Oka, Tatsushi; Perron, Pierre
3
2018
Inference on a structural break in trend with fractionally integrated errors. Zbl 1359.62360
Chang, Seong Yeon; Perron, Pierre
1
2016
A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS. Zbl 1314.62155
Perron, Pierre; Yamamoto, Yohei
11
2014
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Zbl 1311.62137
Hou, Jie; Perron, Pierre
5
2014
Detection and attribution of climate change through econometric methods. Zbl 1305.62384
Estrada, Francisco; Perron, Pierre
3
2014
Memory parameter estimation in the presence of level shifts and deterministic trends. Zbl 1290.62084
McCloskey, Adam; Perron, Pierre
13
2013
Wald tests for detecting multiple structural changes in persistence. Zbl 1282.62199
Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing
6
2013
Testing for trend in the presence of autoregressive error: a comment. Zbl 1328.62534
Perron, Pierre; Yabu, Tomoyoshi
1
2012
Long-memory and level shifts in the volatility of stock market return indices. Zbl 1197.91202
Perron, Pierre; Qu, Zhongjun
15
2010
Testing for multiple structural changes in cointegrated regression models. Zbl 1202.62119
Kejriwal, Mohitosh; Perron, Pierre
7
2010
A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. Zbl 1416.62502
Kejriwal, Mohitosh; Perron, Pierre
6
2010
Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses. Zbl 1429.62375
Kim, Dukpa; Perron, Pierre
27
2009
Estimating deterministic trends with an integrated or stationary noise component. Zbl 1431.62410
Perron, Pierre; Yabu, Tomoyoshi
25
2009
GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses. Zbl 1284.62522
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa; Perron, Pierre
18
2009
Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope. Zbl 1429.62076
Kim, Dukpa; Perron, Pierre
8
2009
The limit distribution of the estimates in cointegrated regression models with multiple structural changes. Zbl 1418.62334
Kejriwal, Mohitosh; Perron, Pierre
13
2008
A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change. Zbl 1418.62554
Deng, Ai; Perron, Pierre
13
2008
The limit distribution of the CUSUM of squares test under general mixing conditions. Zbl 1284.62501
Deng, Ai; Perron, Pierre
8
2008
Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression. Zbl 1284.62421
Kejriwal, Mohitosh; Perron, Pierre
4
2008
Estimating and testing structural changes in multivariate regressions. Zbl 1132.91555
Qu, Zhongjun; Perron, Pierre
54
2007
A simple modification to improve the finite sample properties of Ng and Perron’s unit root tests. Zbl 1255.62277
Perron, Pierre; Qu, Zhongjun
28
2007
A modified information criterion for cointegration tests based on a VAR approximation. Zbl 1274.62612
Qu, Zhongjun; Perron, Pierre
6
2007
Estimating restricted structural change models. Zbl 1418.62273
Perron, Pierre; Qu, Zhongjun
21
2006
A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend. Zbl 1111.62075
Deng, Ai; Perron, Pierre
3
2006
Structural breaks with deterministic and stochastic trends. Zbl 1337.62238
Perron, Pierre; Zhu, Xiaokang
36
2005
The variance ratio test: an analysis of size and power based on a continuous-time asymptotic framework. Zbl 1072.62105
Perron, Pierre; Vodounou, Cosme
3
2005
Critical values for multiple structural change tests. Zbl 1032.62064
Bai, Jushan; Perron, Pierre
24
2003
GLS detrending, efficient unit root tests and structural change. Zbl 1183.62154
Perron, Pierre; Rodríguez, Gabriel
23
2003
Searching for additive outliers in nonstationary time series. Zbl 1112.62099
Perron, Pierre; Rodríguez, Gabriel
13
2003
Lag length selection and the construction of unit root tests with good size and power. Zbl 1056.62529
Ng, Serena; Perron, Pierre
151
2001
Asymptotic approximations in the near-integrated model with a non-zero initial condition. Zbl 1029.62016
Perron, Pierre; Vodounou, Cosme
1
2001
Estimating and testing linear models with multiple structural changes. Zbl 1056.62523
Bai, Jushan; Perron, Pierre
313
1998
Further evidence on breaking trend functions in macroeconomic variables. Zbl 0965.62103
Perron, Pierre
61
1997
Estimation and inference in nearly unbalanced nearly cointegrated systems. Zbl 0880.62120
Ng, Serena; Perron, Pierre
6
1997
Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Zbl 0872.62085
Perron, Pierre; Ng, Serena
61
1996
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors. Zbl 0834.62021
Perron, Pierre
9
1996
The exact error in estimating the spectral density at the origin. Zbl 0906.62100
Ng, Serena; Perron, Pierre
6
1996
The effect of linear filters on dynamic time series with structural change. Zbl 0834.62093
Ghysels, Eric; Perron, Pierre
4
1996
Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag. Zbl 0820.62074
Ng, Serena; Perron, Pierre
110
1995
Approximations to some exact distributions in the first order autoregressive model with dependent errors. Zbl 0838.62083
Nabeya, Seiji; Perron, Pierre
1
1995
Local asymptotic distribution related to the AR(1) model with dependent errors. Zbl 0806.62072
Nabeya, Seiji; Perron, Pierre
18
1994
The effect of seasonal adjustment filters on tests for a unit root (with discussion). Zbl 0756.62044
Ghysels, Eric; Perron, Pierre
13
1993
The limiting distribution of the least-squares estimator in nearly integrated seasonal models. Zbl 0753.62061
Perron, Pierre
3
1992
A continuous time approximation to the unstable first-order autoregressive process: The case without an intercept. Zbl 0734.62088
Perron, Pierre
18
1991
The great crash, the oil price shock, and the unit root hypothesis. Zbl 0683.62066
Perron, Pierre
298
1989
Testing for a unit root in time series regression. Zbl 0644.62094
Phillips, Peter C. B.; Perron, Pierre
394
1988
Trends and random walks in macroeconomic time series. Zbl 0659.62128
Perron, Pierre
41
1988
Testing the random walk hypothesis: power versus frequency of observation. Zbl 1273.91383
Shiller, Robert J.; Perron, Pierre
31
1985
all top 5

Cited by 1,452 Authors

46 Taylor, A. M. Robert
39 Perron, Pierre
35 Leybourne, Stephen J.
26 Harvey, David I.
19 Cavaliere, Giuseppe
15 Gil-Alana, Luis Alberiko
13 Horváth, Lajos
13 Shin, Dongwan
12 Phillips, Peter Charles Bonest
11 Fukuda, Kosei
10 Kurozumi, Eiji
10 Rodrigues, Paulo M. M.
10 Shin, Yongcheol
9 Aue, Alexander
9 Cook, Steven C.
9 Haldrup, Niels
9 Kapetanios, George
9 Lee, Junsoo
9 Vogelsang, Timothy J.
8 Ciuperca, Gabriela
8 Hall, Alastair R.
8 Hušková, Marie
8 Montañés, Antonio
8 Newbold, Paul
8 Westerlund, Joakim
7 Boutahar, Mohamed
7 Caporale, Guglielmo Maria
7 Chambers, Marcus J.
7 del Barrio Castro, Tomas
7 Georgiev, Iliyan
7 Hassler, Uwe
7 McAleer, Michael
7 Osborn, Denise R.
7 Pesaran, M. Hashem
7 Politis, Dimitris Nicolas
7 Sen, Amit
7 Serletis, Apostolos
7 Wagner, Martin Franz-Xaver
7 Xiao, Zhijie
6 Carrion-i-Silvestre, Josep Lluís
6 Costantini, Mauro
6 Juhl, Ted
6 Kejriwal, Mohitosh
6 Kim, Dukpa
6 Ling, Shiqing
6 Lütkepohl, Helmut
6 Ng, Serena
6 Park, Joon Y.
6 Qu, Zhongjun
6 Schmidt, Peter
6 Sibbertsen, Philipp
6 Xu, Keli
6 Yu, Jun
5 Abadir, Karim M.
5 Baek, Changryong
5 Bai, Jushan
5 Bardet, Jean-Marc
5 Battaglia, Francesco Paolo
5 Bierens, Herman J.
5 Breitung, Jorg
5 Chang, Yoosoon
5 Choi, In Sim
5 Demetrescu, Matei
5 Elliott, Graham
5 Franses, Philip Hans
5 Ghysels, Eric
5 Hanck, Christoph
5 Hendry, David F.
5 Iacone, Fabrizio
5 Jin, Hao
5 Kao, Chihwa
5 Kim, Jaehee H.
5 Kruse, Robinson
5 Marsh, Patrick
5 Popp, Stephan
5 Saikkonen, Pentti
5 Timmermann, Allan G.
4 Ahn, Sung Ki
4 Baltagi, Badi H.
4 Boldea, Otilia
4 Cappuccio, Nunzio
4 Castle, Jennifer L.
4 Chen, Cathy W. S.
4 Davidson, James E. H.
4 Deng, Ai
4 Gao, Jiti
4 Gerolimetto, Margherita
4 Giraitis, Liudas
4 Inoue, Atsushi
4 Kim, In-Moo
4 Kim, Taehwan
4 Kuan, Chung-Ming
4 Kumar, Jitendra
4 Lubian, Diego
4 Lucas, André
4 Manning, Neil
4 Müller, Ulrich K.
4 Nkurunziza, Sévérien
4 Otero, Jesús
4 Peng, Liang
...and 1,352 more Authors
all top 5

Cited in 125 Serials

257 Journal of Econometrics
144 Economics Letters
87 Econometric Theory
71 Journal of Time Series Analysis
42 Computational Statistics and Data Analysis
40 Journal of Applied Statistics
36 Econometric Reviews
30 Journal of Economic Dynamics & Control
29 Statistical Papers
28 Communications in Statistics. Simulation and Computation
25 Journal of Statistical Planning and Inference
25 Statistics & Probability Letters
25 The Econometrics Journal
23 Journal of Statistical Computation and Simulation
22 Mathematics and Computers in Simulation
22 Quantitative Finance
20 Communications in Statistics. Theory and Methods
18 Open Economies Review
14 The Annals of Statistics
12 Journal of Time Series Econometrics
11 Electronic Journal of Statistics
10 Statistical Methods and Applications
8 Journal of Multivariate Analysis
8 Computational Statistics
8 International Journal of Theoretical and Applied Finance
7 Journal of Forecasting
6 Journal of the American Statistical Association
6 Annals of Operations Research
6 European Journal of Operational Research
6 Computational Economics
6 Test
5 Annals of the Institute of Statistical Mathematics
5 Statistics
5 Sequential Analysis
5 Asia-Pacific Financial Markets
5 AStA. Advances in Statistical Analysis
4 Insurance Mathematics & Economics
4 Macroeconomic Dynamics
4 Journal of the Korean Statistical Society
4 Journal of Probability and Statistics
4 Statistics and Computing
3 Chaos, Solitons and Fractals
3 Applied Mathematics and Computation
3 International Economic Review
3 Cybernetics and Systems Analysis
3 Bernoulli
3 Studies in Nonlinear Dynamics and Econometrics
3 Journal of Economic Growth
3 Bulletin of Economic Research
2 The Canadian Journal of Statistics
2 Metrika
2 Physica A
2 Scandinavian Journal of Statistics
2 International Statistical Review
2 Journal of Computational and Applied Mathematics
2 Statistica Neerlandica
2 Journal of the Japan Statistical Society
2 Journal of Classification
2 Acta Mathematicae Applicatae Sinica. English Series
2 Computers & Operations Research
2 Automation and Remote Control
2 Stochastic Processes and their Applications
2 Applied Mathematics. Series B (English Edition)
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 CEJOR. Central European Journal of Operations Research
2 Journal of Systems Science and Complexity
2 Stochastic Models
2 AStA. Allgemeines Statistisches Archiv
2 Review of Derivatives Research
2 Thai Journal of Mathematics
2 European Journal of Pure and Applied Mathematics
2 Annals of Finance
2 Journal of Econometric Methods
1 Advances in Applied Probability
1 International Journal of Systems Science
1 Journal of the Franklin Institute
1 Journal of Mathematical Analysis and Applications
1 Fuzzy Sets and Systems
1 Journal of Economic Theory
1 Kybernetika
1 Metron
1 Theoretical Population Biology
1 Journal of Information & Optimization Sciences
1 Probability and Mathematical Statistics
1 Chinese Annals of Mathematics. Series B
1 Acta Applicandae Mathematicae
1 American Journal of Mathematical and Management Sciences
1 Applied Mathematics Letters
1 Multidimensional Systems and Signal Processing
1 Machine Learning
1 Economic Quality Control
1 Applied Mathematical Modelling
1 Applied Mathematical Finance
1 Boletín de la Sociedad Matemática Mexicana. Third Series
1 Journal of Nonparametric Statistics
1 Mathematical Problems in Engineering
1 Finance and Stochastics
1 Abstract and Applied Analysis
1 Journal of Inequalities and Applications
1 Natural Resource Modeling
...and 25 more Serials

Citations by Year