Pierre Perron

Pitfalls and Opportunities

What Macroeconomists Should Know about Unit Roots

This paper is an introduction to unit root econometrics as applied in macroeconomics. The paper first discusses univariate time series analysis, empha...

Testing for a Unit Root in a Time Series with a Changing Mean

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Testing for a Unit Root in Time Series Regression

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Further Evidence on Breaking Trend Functions in Macroeconomic Variables

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Testing for Shifts in Trend with an Integrated Or Stationary Noise Component

This paper considers the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to...

Searching for Additive Outliers in Nonstationary Time Series

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Residual Based Tests for Cointegration with GLS Detrended Data

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Estimating Deterministic Trends with an Integrated Or Stationary Noise Component

A test is proposed for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive ...

Structural Adjustment and Coordination of Aid to the Sahel

Notes for Reflection

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Sampling Interval and Estimated Betas [computer File] : Implications for the Presence of Transitory Components in Stock Prices

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Sampling Interval and Estimated Betas : Implications for the Presence of Transitory Components in Stock Prices

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An Analysis of the Real Interest Rate Under Regime Shifts

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Unit Root Tests in Arma Models with Data Dependent Methods for the Selection of the Truncation Lag

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An Analysis of the Real Interest Rate Under Regime Shifts

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A Continuous Time Approximation to the Stationary First-order Autoregressive Model

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Local Asymptotic Distributions Related to the AR(1) Model with Dependent Errors

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A Continuous Time Approximation to the Unstable First-order Autoregressive Process

The Case Without an Intercept

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The Effect of Seasonal Adjustment Filters on Tests for a Unit Root

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The Adequacy of Asymptotic Approximations in the Near-integrated Autoregressive Model with Dependent Errors

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A Test for Changes in a Polynomial Trend Function for a Dynamic Time Series

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GLS Detrending, Efficient Unit Root Tests and Structural Change

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Images 1[-2].

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The Adequacy of Limiting Distributions in the AR(1) Model with Dependent Errors

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Test Consistency with Varying Sampling Frequency

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Tests of Joint Hypotheses for Time Series Regression with a Unit Root

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The Exact Error in Estimating the Spectral Density at the Origin

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The Limiting Distribution of the Least Squares Estimator in Nearly Integrated Seasonal Models

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The Effect of Linear Filters on Dynamic Time Series with Structural Change

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