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A continuous time approximation to the stationary first-order autoregressive model

Perron, Pierre - In: Econometric theory 7 (1991) 2, pp. 236-252

Persistent link: https://www.econbiz.de/10001118076

The calculation of the limiting distribution of the least-squares estimator in a near-integrated model

Perron, Pierre - In: Econometric theory 5 (1989) 2, pp. 241-255

Persistent link: https://www.econbiz.de/10001069079

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

Perron, Pierre - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 2, pp. 153-162

Persistent link: https://www.econbiz.de/10001086821

The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

Perron, Pierre - In: Journal of econometrics 70 (1996) 2, pp. 317-350

Persistent link: https://www.econbiz.de/10001192345

Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 1)

Perron, Pierre - In: Econometric reviews 22 (2003) 3, pp. 239-245

Persistent link: https://www.econbiz.de/10001786918

L' estimation de modèles avec changements structurels multiples

Perron, Pierre - In: L' Actualité économique : revue d'analyse économique 96 (2020) 4, pp. 789-837

Persistent link: https://www.econbiz.de/10013329374

Unit roots and structural breaks

Perron, Pierre - In: Econometrics : open access journal 5 (2017) 2, pp. 1-3

Persistent link: https://www.econbiz.de/10011654429

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/10013189746

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

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