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Measuring benchmark damages in antitrust litigation : extensions and practical implications
Deng, Ai - In: Journal of econometric methods 9 (2020) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10012197320
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Time series cross validation : a theoretical result and finite sample performance
Deng, Ai - In: Economics letters 233 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014505085
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A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
Deng, Ai; Perron, Pierre - In: Journal of Econometrics 142 (2008) 1, pp. 212-240
Persistent link: https://www.econbiz.de/10005239113
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The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence
Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218
Persistent link: https://www.econbiz.de/10012819527
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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
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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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Testing for flexible nonlinear trends with an integrated or stationary noise component
Perron, Pierre; Shintani, Mototsugu; Tomoyoshi, Yabu - In: Oxford bulletin of economics and statistics 79 (2017) 5, pp. 822-850
Persistent link: https://www.econbiz.de/10011772104
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Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre; Xu, Jiawen - In: International journal of forecasting 32 (2016) 3, pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
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Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 893-894
Persistent link: https://www.econbiz.de/10011621879
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On the usefulness or lack thereof of optimality criteria for structural change tests
Perron, Pierre; Yamamoto, Yohei - In: Econometric reviews 35 (2016) 5/7, pp. 782-844
Persistent link: https://www.econbiz.de/10011589912