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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

Forecasting with nonspurious factors in U.S. macroeconomic time series

Yamamoto, Yohei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 81-106

Persistent link: https://www.econbiz.de/10011691219

Is the Renminbi a safe haven?

Fatum, Rasmus; Yamamoto, Yohei; Zhu, Guozhong - In: Journal of international money and finance 79 (2017), pp. 189-202

Persistent link: https://www.econbiz.de/10011788360

Identifying common and idiosyncratic explosive behaviors in the large dimensional factor model with an application to U.S. state-level house prices

Horie, Tetsushi; Yamamoto, Yohei - In: Journal of econometric methods 13 (2024) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10014580260

Identifying factor-augmented vector autoregression models via changes in shock variances

Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745

Persistent link: https://www.econbiz.de/10013332683

Non-stationarities and non-linearities in Canadian inflation

Perron, Pierre - In: Economic behaviour and policy choice under price …, (pp. 235-291). 1994

Persistent link: https://www.econbiz.de/10001292224

PPP may not hold afterall : a further investigation

Ng, Serena (contributor); Perron, Pierre (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001650959

PPP may not hold afterall : a further investigation

Ng, Serena; Perron, Pierre - In: Annals of economics and finance 3 (2002) 1, pp. 43-65

Persistent link: https://www.econbiz.de/10001731872

Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends

McCloskey, Adam - 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/10013098306

Testing the Random Walk Hypothesis : Power Versus Frequency of Observation

Shiller, Robert J.; Perron, Pierre - 2021

Persistent link: https://www.econbiz.de/10013247026