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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 - 2012

Persistent link: https://www.econbiz.de/10009666607

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

Testing for changes in forecasting performance

Perron, Pierre; Yamamoto, Yohei - 2018

Persistent link: https://www.econbiz.de/10011962445

A modified confidence set for the structural break date in linear regression models

Yamamoto, Yohei - 2014

Persistent link: https://www.econbiz.de/10010429183

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

Large versus Small Foreign Exchange Interventions

Fatum, Rasmus - 2015

We use non-temporal threshold analysis to investigate the exchange rate effects of large versus small interventions. More than two decades of official daily data on intervention in the JPY/USD market facilitate our analysis. We find no evidence that small interventions exert a discernible...

Persistent link: https://www.econbiz.de/10013034015

Bubbles and economic fluctuations

Guerrón-Quintana, Pablo A.; Jinnai, Ryo; Yamamoto, Yohei - 2025

Persistent link: https://www.econbiz.de/10015408504

A test for changes in a polynominal trend function for a dynamic time series

Perron, Pierre - 1991

Persistent link: https://www.econbiz.de/10000831361

Testing for a unit root in a time series with a changing mean

Perron, Pierre - 1989 - Rev

Persistent link: https://www.econbiz.de/10000787067

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