Benoit Perron : Citation Profile


Are you Benoit Perron?

Université de Montréal (98% share)
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (1% share)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (1% share)

13

H index

14

i10 index

1000

Citations

RESEARCH PRODUCTION:

23

Articles

31

Papers

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 37
   Journals where Benoit Perron has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 18 (1.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe27
   Updated: 2022-09-24    RAS profile: 2022-05-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Goncalves, Silvia (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Benoit Perron.

Is cited by:

Westerlund, Joakim (57)

Rault, Christophe (38)

Pesaran, M (26)

Tzavalis, Elias (20)

Afonso, Antonio (19)

Karavias, Yiannis (17)

Shahbaz, Muhammad (15)

Carrion-i-Silvestre, Josep (14)

Chang, Tsangyao (13)

Breitung, Jörg (13)

Smeekes, Stephan (12)

Cites to:

Bai, Jushan (23)

Campbell, John (23)

Ng, Serena (19)

Phillips, Peter (14)

Bollerslev, Tim (10)

Goncalves, Silvia (9)

Watson, Mark (8)

Moon, Hyungsik (8)

pagan, adrian (8)

Andrews, Donald (8)

Nelson, Charles (7)

Main data


Where Benoit Perron has published?


Journals with more than one article published# docs
Journal of Econometrics9
Econometric Theory2
L'Actualit Economique2

Working Papers Series with more than one paper published# docs
IEPR Working Papers / Institute of Economic Policy Research (IEPR)2

Recent works citing Benoit Perron (2022 and 2021)


YearTitle of citing document
2021Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14.

Full description at Econpapers || Download paper

2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

Full description at Econpapers || Download paper

2021Economic and Monetary Integration in ECOWAS Countries: A Panel VAR Approach to Identify Macroeconomic Shocks. (2021). Diop, Ibrahima Thione ; Ndongo, Asta. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:61-87.

Full description at Econpapers || Download paper

2022Full Modified Ordinary Least Square Analysis of the Relationship between New Technologies of Information, Financial Development and Growth in WAEMU Zone. (2022). Guy, Drama Bdi. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2022:p:39-49.

Full description at Econpapers || Download paper

2022Adaptive Gradient Descent Methods for Computing Implied Volatility. (2021). Yang, Tinggan ; Wang, Yihong ; Lu, Yixiao. In: Papers. RePEc:arx:papers:2108.07035.

Full description at Econpapers || Download paper

2022Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models. (2021). Djogbenou, Antoine ; Sufana, Razvan . In: Papers. RePEc:arx:papers:2109.09049.

Full description at Econpapers || Download paper

2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793.

Full description at Econpapers || Download paper

2022Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects. (2022). Li, Xingyu ; Zhou, Qiankun ; Shen, Yan. In: Papers. RePEc:arx:papers:2202.12078.

Full description at Econpapers || Download paper

2021Les Déterminants des Prêts Non Performants du Système Bancaire de lUMOA. (2021). Sanou, Erdjouman Jean ; Tinta, Abdoulganiour Almame. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:276-287.

Full description at Econpapers || Download paper

2021The impact of outbound foreign direct investment on export and private investment: Comparative analysis of emerging and developed countries. (2021). Ameer, Waqar ; Shah, Syed Hasanat. In: Australian Economic Papers. RePEc:bla:ausecp:v:60:y:2021:i:4:p:674-692.

Full description at Econpapers || Download paper

2021The share of the global energy mix: Signs of convergence?. (2021). Ghoshray, Atanu ; Malki, Issam. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:1:p:34-50.

Full description at Econpapers || Download paper

2021A dynamic factor model approach to incorporate Big Data in state space models for official statistics. (2021). Smeekes, Stephan ; Palm, Franz ; Schiavoni, Caterina ; van den Brakel, Jan. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:324-353.

Full description at Econpapers || Download paper

2021Monetary policy and long?term interest rates: Evidence from the U.S. economy. (2021). levrero, enrico ; Deleidi, Matteo. In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:1:p:121-147.

Full description at Econpapers || Download paper

2021Accurate Confidence Regions for Principal Components Factors. (2021). Ruiz, Esther ; Maldonado, Javier. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453.

Full description at Econpapers || Download paper

2021Disentangling the source of non-stationarity in a panel of seasonal data. (2021). Shih-Hsun, Hsu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:18:n:4.

Full description at Econpapers || Download paper

2021On Estimating Risk Premium With Flexible Fourier Form. (2021). Li, Jing. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00183.

Full description at Econpapers || Download paper

2022Determinants of Carbon Dioxide Emissions: New Empirical Evidence from MENA Countries. (2022). Almohaimeed, Ahmed ; Harrathi, Nizar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-59.

Full description at Econpapers || Download paper

2021Assessment of accessible, clean and efficient energy systems: A statistical analysis of composite energy performance indices. (2021). Shi, Xunpeng ; Phoumin, Han ; Yang, Muyi ; Sandu, Suwin ; Aghdam, Reza Fathollahzadeh . In: Applied Energy. RePEc:eee:appene:v:304:y:2021:i:c:s0306261921010795.

Full description at Econpapers || Download paper

2022Energy intensity and foreign direct investment nexus: Advanced panel data analysis. (2022). Lobanov, Mikhail M ; Petrovi, Predrag. In: Applied Energy. RePEc:eee:appene:v:311:y:2022:i:c:s0306261922001350.

Full description at Econpapers || Download paper

2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

Full description at Econpapers || Download paper

2021Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence. (2021). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Rachinger, Heiko ; Andrada-Felix, Julian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100067x.

Full description at Econpapers || Download paper

2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

Full description at Econpapers || Download paper

2021The factor analytical approach in near unit root interactive effects panels. (2021). Westerlund, Joakim ; Norkut, Milda. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:569-590.

Full description at Econpapers || Download paper

2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

Full description at Econpapers || Download paper

2022Fiscal decentralization and public budgets for energy RD&D: A race to the bottom?. (2022). Kassouri, Yacouba. In: Energy Policy. RePEc:eee:enepol:v:161:y:2022:i:c:s0301421521006273.

Full description at Econpapers || Download paper

2022The persistence of financial volatility after COVID-19. (2022). Vera-Valdes, Eduardo J. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001379.

Full description at Econpapers || Download paper

2022Green finance and decarbonization: Evidence from around the world. (2022). Nguyen, Duc Khuong ; Boubaker, Sabri ; al Mamun, MD. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612322001040.

Full description at Econpapers || Download paper

2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

Full description at Econpapers || Download paper

2021Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675.

Full description at Econpapers || Download paper

2021Spectral factor models. (2021). Tamoni, Andrea ; Lo, Andrew W ; Chaudhuri, Shomesh E ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:214-238.

Full description at Econpapers || Download paper

2021A fresh look at the risk-return tradeoff. (2021). Lo, Hsin-Yu ; Chen, Yi-Chi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000536.

Full description at Econpapers || Download paper

2021The effects of renewable energy, spatial spillover of CO2 emissions and economic freedom on CO2 emissions in the EU. (2021). Shabani, Zahra Dehghan ; Shahnazi, Rouhollah. In: Renewable Energy. RePEc:eee:renene:v:169:y:2021:i:c:p:293-307.

Full description at Econpapers || Download paper

2022The role of renewable energy consumption and health expenditures in improving load capacity factor in ASEAN countries: Exploring new paradigm using advance panel models. (2022). Abdul-Samad, Zulkiflee ; An, Nguyen Binh ; Chupradit, Supat ; Razzaq, Asif ; Shang, Yunfeng. In: Renewable Energy. RePEc:eee:renene:v:191:y:2022:i:c:p:715-722.

Full description at Econpapers || Download paper

2022A review of solar forecasting, its dependence on atmospheric sciences and implications for grid integration: Towards carbon neutrality. (2022). Xia, Xiangao ; Bright, Jamie M ; Perez, Richard ; Huang, Jing ; Kleissl, Jan ; Hong, Tao ; Gueymard, Christian A ; Wang, Wenting ; Peters, Ian Marius ; Yang, Dazhi ; van der Meer, Dennis. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:161:y:2022:i:c:s1364032122002593.

Full description at Econpapers || Download paper

2021Key drivers of renewable energy deployment in the MENA Region: Empirical evidence using panel quantile regression. (2021). OMRI, Anis ; Elsayed, Ahmed H ; Belaid, Fateh. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:57:y:2021:i:c:p:225-238.

Full description at Econpapers || Download paper

2022The role of innovation in sustainable growth: A dynamic panel study on micro and macro levels 1990–2019. (2022). Porada-Rochon, Magorzata ; Skare, Marinko. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:175:y:2022:i:c:s004016252100768x.

Full description at Econpapers || Download paper

2021Outflow FDI and Domestic Investment: Aggregated and Disaggregated Analysis. (2021). Shah, Syed Hasanat ; Sohag, Kazi ; Xu, Helian ; Ameer, Waqar. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:13:p:7240-:d:584140.

Full description at Econpapers || Download paper

2022Monetary Policy, External Shocks and Economic Growth Dynamics in East Africa: An S-VAR Model. (2022). Ogujiuba, Kanayo ; Maredza, Andrew ; Olamide, Ebenezer. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:6:p:3490-:d:772518.

Full description at Econpapers || Download paper

2021The Effects of Migration on Growth and Unemployment in Developed Countries: A Panel Autoregressive Distributed Lag Analysis. (2021). Demire, Tugba ; Scan, Ismail Hakki. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2021:i:35:p:181-203.

Full description at Econpapers || Download paper

2022Are the East African Communitys Countries Ready for a Common Currency?. (2022). Heshmati, Almas ; Kigabo-Rusuhuzwa, Thomas. In: IZA Discussion Papers. RePEc:iza:izadps:dp15210.

Full description at Econpapers || Download paper

2021Solving the Price Puzzle Via A Functional Coefficient Factor-Augmented VAR Model. (2021). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202106.

Full description at Econpapers || Download paper

2021Time-Varying Dictionary and the Predictive Power of FED Minutes. (2021). Mohsin, Mohammed ; Godeiro, Lucas Lucio ; Lima, Luiz Renato. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10039-9.

Full description at Econpapers || Download paper

2021Is there really hysteresis in the OECD unemployment rates? New evidence using a Fourier panel unit root test. (2021). Stewart, Chris ; Shahbaz, Muhammad ; Omay, Tolga. In: Empirica. RePEc:kap:empiri:v:48:y:2021:i:4:d:10.1007_s10663-021-09510-z.

Full description at Econpapers || Download paper

2021Income distribution and total factor productivity: a cross-country panel cointegration analysis. (2021). Ngepah, Nicholas ; Espoir, Delphin Kamanda. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:18:y:2021:i:4:d:10.1007_s10368-021-00494-6.

Full description at Econpapers || Download paper

2021Time Series Forecasting Using a Mixture of Stationary and Nonstationary Predictors. (2021). Gao, Jiti ; Hannadige, Sium Bodha ; Silvapulle, Param. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-6.

Full description at Econpapers || Download paper

2021Forecasting using cross-section average–augmented time series regressions. (2021). Westerlund, Joakim ; Karabiyik, Hande. In: Econometrics Journal. RePEc:oup:emjrnl:v:24:y:2021:i:2:p:315-333..

Full description at Econpapers || Download paper

2022Estimation of nonstationary nonparametric regression model with multiplicative structure. (2022). Wu, Wei Biao ; Smetanina, Ekaterina ; Chen, Likai. In: Econometrics Journal. RePEc:oup:emjrnl:v:25:y:2022:i:1:p:176-214..

Full description at Econpapers || Download paper

2021Is There Really Hysteresis in OECD Countries’ Unemployment Rates? New Evidence Using a Fourier Panel Unit Root Test. (2021). Stewart, Chris ; Shahbaz, Muhammad ; Omay, Tolga. In: MPRA Paper. RePEc:pra:mprapa:107691.

Full description at Econpapers || Download paper

2021Time Series Forecasting using a Mixture of Stationary and Nonstationary Predictors. (2021). Silvapulle, Param ; Gao, Jiti ; Hannadige, Sium Bodha. In: MPRA Paper. RePEc:pra:mprapa:108669.

Full description at Econpapers || Download paper

2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

Full description at Econpapers || Download paper

2022Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order. (2022). Nielsen, Morten ; Jansson, Michael ; Brien, Samuel. In: Working Paper. RePEc:qed:wpaper:1429.

Full description at Econpapers || Download paper

2022Impact of Energy Innovation on Greenhouse Gas Emissions: Moderation of Regional Integration and Social Inequality in Asian Economies. (2022). Sinha, Avik ; Sharma, Rajesh ; Mehta, Atul ; Shah, Muhammad Ibrahim. In: ADBI Working Papers. RePEc:ris:adbiwp:1304.

Full description at Econpapers || Download paper

2021Estimation of firm productivity in the presence of spillovers and common shocks. (2021). Kumbhakar, Subal C ; Jin, Man ; Zhao, Shunan. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:6:d:10.1007_s00181-020-01922-3.

Full description at Econpapers || Download paper

2021Natural disasters influence on industrial growth, foreign direct investment, and export performance in the South Asian region of Belt and road initiative. (2021). Yu, Wangxing ; Batala, Lochan Kumar ; Wang, Xiaoli ; Regmi, Kalpana ; Khan, Anwar. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:108:y:2021:i:2:d:10.1007_s11069-021-04759-w.

Full description at Econpapers || Download pap

2022Dynamic factor models: Does the specification matter?. (2022). Ruiz, Esther ; Poncela, Pilar ; Miranda, Karen. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00248-2.

Full description at Econpapers || Download paper

2021The effects of trade, foreign direct investment, and economic growth on environmental quality and overshoot: a dynamic common correlation effects approach. (2021). Dinga, Gildas Dohba ; Bruno, Ongo Nkoa ; Fonchamnyo, Dobdinga Cletus. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:10:d:10.1007_s43546-021-00147-5.

Full description at Econpapers || Download paper

2021Tests for the explanatory power of latent factors. (2021). Chen, Mingjing. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:6:d:10.1007_s00362-020-01216-x.

Full description at Econpapers || Download paper

2022The Threshold Effect of Regulatory Quality on the Relationship between Financial Development and Economic Growth: Evidence from Asian Countries. (2022). Liu, Hui-Hsuan ; Chiang, Gengnan. In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:12:y:2022:i:1:f:12_1_6.

Full description at Econpapers || Download paper

2021Does Cash Flows Useful in Predicting the Company’s Financial Health? Empirical Validation by Panel Cointegration Tests. (2021). Mouelhi, Chaouki . In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:10:y:2021:i:3:f:10_3_1.

Full description at Econpapers || Download paper

2021Robust Inference for Diffusion-Index Forecasts with Cross-Sectionally Dependent Data. (2021). Kim, Min Seong. In: Working papers. RePEc:uct:uconnp:2021-04.

Full description at Econpapers || Download paper

2021Spurious Factor Analysis. (2021). Onatski, Alexei ; Wang, Chen. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:2:p:591-614.

Full description at Econpapers || Download paper

2022Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries. (2022). Shahbaz, Muhammad ; Omay, Tolga ; Ivrendi, Mehmet ; Ceylan, Resat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1085-1100.

Full description at Econpapers || Download paper

2022Turkeys sectoral exports: A competitiveness approach. (2022). Bayar, Guzin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2268-2289.

Full description at Econpapers || Download paper

2021Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565.

Full description at Econpapers || Download paper

2022Identifying factor?augmented vector autoregression models via changes in shock variances. (2022). Hara, Naoko ; Yamamoto, Yohei. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:4:p:722-745.

Full description at Econpapers || Download paper

2022A regularization approach to common correlated effects estimation. (2022). Juodis, Artras. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:4:p:788-810.

Full description at Econpapers || Download paper

2021The role of logistics performance for sustainable development in top Asian countries: Evidence from advance panel estimations. (2021). Afshan, Sahar ; Sharif, Arshian ; Suki, Norbayah Mohd. In: Sustainable Development. RePEc:wly:sustdv:v:29:y:2021:i:4:p:595-606.

Full description at Econpapers || Download paper

Works by Benoit Perron:


YearTitleTypeCited
2003The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model. In: Journal of Business & Economic Statistics.
[Citation analysis]
article14
2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2016Règles budgétaires touchant les dépenses consolidées In: CIRANO Project Reports.
[Full Text][Citation analysis]
paper0
2022Modélisation de règles budgétaires pour lâaprès-COVID In: CIRANO Project Reports.
[Full Text][Citation analysis]
paper0
2002Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper7
2000Semi-Parametric Weak Instrument Regressions with an Application to the Risk-return Trade-off.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1999Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off.(1999) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2003Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff.(2003) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2011Past Market Variance and Asset Prices In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper0
2011Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper23
2012Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
article
2010Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel.(2010) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2010Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non-Stationarity Properties of Individual Series in a Panel.(2010) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2012Bootstrapping factor-augmented regression models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper48
2014Bootstrapping factor-augmented regression models.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
article
2015Bootstrap inference in regressions with estimated factors and serial correlation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper13
2015The scale of predictability In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper17
2019The scale of predictability.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2018The scale of predictability.(2018) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2014The scale of predictability.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2016Bootstrap prediction intervals for factor models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper13
2017Bootstrap Prediction Intervals for Factor Models.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2006ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER In: Econometric Theory.
[Full Text][Citation analysis]
article11
2014PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS In: Econometric Theory.
[Full Text][Citation analysis]
article0
2003Incidental Trends and the Power of Panel Unit Root Tests In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper67
2007Incidental trends and the power of panel unit root tests.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67
article
2005Incidental Trends and the Power of Panel Unit Root Tests.(2005) In: IEPR Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 67
paper
2004Incidental Trends and the Power of Panel Unit Root Tests.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67
paper
2008Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects In: Econometrics Journal.
[Full Text][Citation analysis]
article25
2004Testing for a unit root in panels with dynamic factors In: Journal of Econometrics.
[Full Text][Citation analysis]
article556
2002Testing for a Unit Root in Panels with Dynamic Factors.(2002) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 556
paper
2002TESTING FOR A UNIT ROOT IN PANELS WITH DYNAMIC FACTORS.(2002) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 556
paper
2006Resampling methods in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2008Long-run risk-return trade-offs In: Journal of Econometrics.
[Full Text][Citation analysis]
article34
2017Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
2015Tests of Equal Accuracy for Nested Models with Estimated Factors.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2020Bootstrapping factor models with cross sectional dependence In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2018Bootstrapping factor models with cross sectional dependence.(2018) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2018Bootstrapping Factor Models With Cross Sectional Dependence.(2018) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2000The shape of the risk premium: evidence from a semiparametric GARCH model In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper2
1999The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model..(1999) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
1995Ricardian Equivalence and the Permanent Income Hypothesis: An Empirical Investigation. In: Working Papers-Department of Finance Canada.
[Citation analysis]
paper0
2021Special Issue “Celebrated Econometricians: Peter Phillips” In: Econometrics.
[Full Text][Citation analysis]
article0
2007An empirical analysis of nonstationarity in a panel of interest rates with factors In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article37
2000The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity. In: Cahiers de recherche.
[Full Text][Citation analysis]
paper9
2000The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity..(2000) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
1999Jumps in the Volatility of Financial Markets. In: Cahiers de recherche.
[Full Text][Citation analysis]
paper3
2006Long Memory and the Relation Between Implied and Realized Volatility In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article84
2003Long memory and the relation between implied and realized volatility.(2003) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
paper
2003Relation entre le taux de change et les exportations nettes : test de la condition Marshall-Lerner pour le Canada In: L'Actualité Economique.
[Full Text][Citation analysis]
article4
2004Détection non paramétrique de sauts dans la volatilité des marchés financiers In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
2005An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors In: IEPR Working Papers.
[Citation analysis]
paper3
2005Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity In: Econometric Reviews.
[Full Text][Citation analysis]
article6
2014Point?optimal panel unit root tests with serially correlated errors In: Econometrics Journal.
[Full Text][Citation analysis]
article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team