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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

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

Testing for changes in forecasting performance

Perron, Pierre; Yamamoto, Yohei - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 148-165

Persistent link: https://www.econbiz.de/10012424505

Structural change tests under heteroskedasticity : Joint estimation versus two‐steps methods

Perron, Pierre; Yamamoto, Yohei - In: Journal of Time Series Analysis 43 (2021) 3, pp. 389-411

Persistent link: https://www.econbiz.de/10012636179

Testing jointly for structural changes in the error variance and coefficients of a linear regression model

Perron, Pierre; Yamamoto, Yohei; Zhou, Jing - In: Quantitative Economics 11 (2020) 3, pp. 1019-1057

We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type...

Persistent link: https://www.econbiz.de/10012637246

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

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

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

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

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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