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Pitfalls and Opportunities : What Macroeconomists Should Know About Unit Roots

Campbell, John Y.; Perron, Pierre - 2022

This paper is an introduction to unit root econometrics as applied in macroeconomics. The paper first discusses univariate time series analysis, emphasizing the following topics: alternative representations of unit root processes, unit root testing procedures, the power of unit root tests, and...

Persistent link: https://www.econbiz.de/10013324487

GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypothesis

Carrion i Silvestre, Josep Lluís; Kim, Dukpa; Perron, … - In: Econometric theory 25 (2009) 6, pp. 1754-1792

Persistent link: https://www.econbiz.de/10003904443

Testing for shifts in trend with an integrated or stationary noise component

Perron, Pierre; Yabu, Tomoyoshi - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 3, pp. 369-396

Persistent link: https://www.econbiz.de/10003893884

Let's take a brake : trends and cycles in US real GDP

Perron, Pierre; Wada, Tatsuma - In: Journal of monetary economics 56 (2009) 6, pp. 749-765

Persistent link: https://www.econbiz.de/10003893980

The limit distribution of the CUSUM of squares test under general mixing conditions

Deng, Ai; Perron, Pierre - In: Econometric theory 24 (2008) 3, pp. 809-822

Persistent link: https://www.econbiz.de/10003894304

Editorial: Royal Economic Society Annual Conference 2009 : special issue on factor models ; theoretical and applied perspectives

Perron, Pierre; Smith, Richard J. - In: The econometrics journal 14 (2011) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10009007084

A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339

Persistent link: https://www.econbiz.de/10010253639

Wald tests for detecting multiple structural changes in persistence

Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing - In: Econometric theory 29 (2013) 2, pp. 289-323

Persistent link: https://www.econbiz.de/10009760008

Residual base tests for cointegration with GLS detrented data

Perron, Pierre; Rodriguez, Gabriel - 2012

Persistent link: https://www.econbiz.de/10009615277

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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