Pierre Perron : Citation Profile


Are you Pierre Perron?

Boston University

36

H index

64

i10 index

18875

Citations

RESEARCH PRODUCTION:

94

Articles

171

Papers

1

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   35 years (1984 - 2019). See details.
   Cites by year: 539
   Journals where Pierre Perron has often published
   Relations with other researchers
   Recent citing documents: 952.    Total self citations: 134 (0.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe32
   Updated: 2019-10-15    RAS profile: 2019-08-06    
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Relations with other researchers


Works with:

Yamamoto, Yohei (8)

Estrada, Francisco (5)

Oka, Tatsushi (5)

Martins, Luis (4)

Chang, Seong Yeon (4)

Kim, Dukpa (2)

Rodríguez, Gabriel (2)

Shintani, Mototsugu (2)

Yabu, Tomoyoshi (2)

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

Is cited by:

GUPTA, RANGAN (311)

Shahbaz, Muhammad (247)

Gil-Alana, Luis (210)

Taylor, Robert (204)

Leybourne, Stephen (183)

Harvey, David (174)

Esteve, Vicente (161)

Balcilar, Mehmet (152)

Rodríguez, Gabriel (148)

Tamarit, Cecilio (138)

Wohar, Mark (138)

Cites to:

Bai, Jushan (98)

Andrews, Donald (85)

Qu, Zhongjun (59)

Phillips, Peter (54)

Campbell, John (48)

Stock, James (44)

Ploberger, Werner (38)

Granger, Clive (36)

Vogelsang, Timothy (34)

Watson, Mark (33)

Ng, Serena (32)

Main data


Where Pierre Perron has published?


Journals with more than one article published# docs
Journal of Econometrics16
Econometric Theory12
Journal of Time Series Analysis7
Journal of Business & Economic Statistics6
Econometrica6
Economics Letters5
Econometrics Journal4
Econometric Reviews4
Journal of Empirical Finance3
Econometrics Journal3
Econometrics3
Oxford Bulletin of Economics and Statistics2
L'Actualit Economique2
Journal of Applied Econometrics2
Applied Economics2
Empirical Economics2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics81
Papers / arXiv.org6
Purdue University Economics Working Papers / Purdue University, Department of Economics3
Boston College Working Papers in Economics / Boston College Department of Economics2
Discussion Papers / Graduate School of Economics, Hitotsubashi University2
Working Papers / University of Ottawa, Department of Economics2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Pierre Perron (2019 and 2018)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2018Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22.

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2018The Long Run Stability of Money Demand in the Proposed West African Monetary Union. (2018). Asongu, Simplice ; Biekpe, Nicholas ; Folarin, Oludele E. In: Research Africa Network Working Papers. RePEc:abh:wpaper:18/052.

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2019Financial Reforms and Industrialisation: Evidence from Nigeria. (2019). Folarin, Oludele E. In: Research Africa Network Working Papers. RePEc:abh:wpaper:19/014.

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2018Patents in the Long Run: Theory, History and Statistics. (2018). DIEBOLT, Claude ; Pellier, Karine . In: Working Papers. RePEc:afc:wpaper:03-18.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2018The Long Run Stability of Money Demand in the Proposed West African Monetary Union. (2018). Folarin, Oludele ; Asongu, Simplice ; Biekpe, Nicholas. In: AFEA Working Papers. RePEc:afe:wpaper:18/043.

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2018The Long Run Stability of Money Demand in the Proposed West African Monetary Union. (2018). Folarin, Oludele ; Asongu, Simplice ; Biekpe, Nicholas. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:18/052.

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2019Financial Reforms and Industrialisation: Evidence from Nigeria. (2019). Folarin, Oludele. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/014.

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2018Effect of exchange rate policy on GDP and GDP components: The Kyrgyz Republic Case. (2018). Sekmen, Fuat ; Madmarov, Nurbek. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:137-166.

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2018The effects of microeconomic factors on the stock market: A panel for the stock exchange in Istanbul ARDL analysis. (2018). Sadeghzadeh, Khatereh. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(616):y:2018:i:3(616):p:113-134.

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2018Impact of Alfalfa Exports Surge on Dairy and Feed Markets. (2018). Kim, Man-Keun ; Tejeda, Hernan A. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273795.

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2018Hedging Positions, Basis, and Futures Risk Premium: A Disaggregated Data Analysis on US Wheat Markets. (2018). Hoang, Nam ; Grieb, Terrance . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273799.

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2018Capital formation in fisheries sector in India: trends, compositional changes and potential implications for sustainable development. (2018). Suresha, A ; Parappurathub, S. In: Agricultural Economics Research Review. RePEc:ags:aerrae:281149.

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2018Price Transmission Analysis: the Case of Milk Products in Russia. (2018). Kharin, S. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276092.

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2018Some Financial Implications of Global Warming: an Empirical Assessment. (2018). Sbrana, Giacomo ; MORANA, CLAUDIO. In: CSI: Climate and Sustainable Innovation. RePEc:ags:cpaper:268728.

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2018Examining the relationship between biofuel and food crops markets in Brazil. (2018). Silva, E ; Lima, R. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275883.

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2018European Market for Mercosur Agricultural Exports: An econometric study of commodity trade flows. (2018). Niemi, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275934.

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2018Price Transmission within the Citrus Sector in Brazil: Evidence of Market Inefficiency. (2018). Alam, MJ ; Patino, M ; Gomez, M I. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:276976.

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2018Factor affecting the palm oil boom in Indonesia: a time series analysis. (2018). Bentivoglio, D ; Finco, A ; Bucci, G. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277129.

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2018Impact of the Russian agricultural import ban on the Serbian pork exports and domestic price development along the pork value chain. (2018). Duric, I ; Zaric, V ; Glauben, T. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277201.

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2018The Dynamic Properties of Natural Resource Prices. (2018). Ghoshray, Atanu. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277210.

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2018Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets. (2018). Saghaian, Sayed ; Chen, BO ; Walters, Cory ; Nemati, Mehdi . In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:267609.

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2019Transitory and Permanent Shocks in the Global Market for Crude Oil. (2019). Rebei, Nooman ; Sbia, Rashid. In: AMSE Working Papers. RePEc:aim:wpaimx:1918.

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2018BRICS EXPORT PERFORMANCE: AN ARDL BOUNDS TESTING EMPIRICAL INVESTIGATION. (2018). Vieira, Flavio Vilela ; da Silva, Cleomar Gomes. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:101.

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2018SOME STYLIZED FACTS ON EXTERNAL SHOCKS AND INFLATION UPSURGE IN BRAZIL, 1951-1985. (2018). Pinkusfeld, Carlos Bastos ; Bielschowsky, Ricardo ; de Medeiros, Julia ; Bastian, Eduardo F. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:25.

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2018EFFECT OF THE COMMUNICATION AND CLARITY OF THE FISCAL Pierre PerronITY ON MARKET EXPECTATIONS: EVIDENCE FROM THE BRAZILIAN ECONOMY. (2018). Nicolay, Rodolfo ; de Mendonça, Helder ; da Fonseca, Rodolfo Tomas ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:65.

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2018Predictability between the Number of Foreign Direct Investment Contracts and Actually Utilized Foreign Direct Investment in China. (2018). Li, Chen. In: Business, Management and Economics Research. RePEc:arp:bmerar:2018:p:15-19.

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2018Differences Between Prices of Goods and Services in China. (2018). Zou, Gao Lu . In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:24-27.

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2019Trade Policy Incentives, Market Structure and Productivity. (2019). Olayiwola, Wumi ; Alayande, Folarin. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2019:p:1106-1122.

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2019The Determinants of Foreign Direct Investments in Real Estate: Turkey Case. (2019). At, Mustafa. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2019:p:789-795.

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2018Nonparametric Regression with Multiple Thresholds: Estimation and Inference. (2018). Chiou, Yan-Yu ; Chen, Jau-Er. In: Papers. RePEc:arx:papers:1705.09418.

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2018Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10883.

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2018On The Calibration of Short-Term Interest Rates Through a CIR Model. (2018). Orlando, Giuseppe ; Bufalo, Michele ; Mininni, Rosa Maria. In: Papers. RePEc:arx:papers:1806.03683.

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2018Change Point Estimation in Panel Data with Time-Varying Individual Effects. (2018). Gan, Zhuojiong ; Boldea, Otilia ; Drepper, Bettina. In: Papers. RePEc:arx:papers:1808.03109.

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2018Change-Point Testing and Estimation for Risk Measures in Time Series. (2018). Fan, Lin ; Pelger, Markus ; Glynn, Peter W. In: Papers. RePEc:arx:papers:1809.02303.

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2018On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2018Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396.

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2019Estimation of Structural Break Point in Linear Regression Models. (2018). Baek, Yae In . In: Papers. RePEc:arx:papers:1811.03720.

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2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2019Forecasting interest rates through Vasicek and CIR models: a partitioning approach. (2019). Orlando, Giuseppe ; Bufalo, Michele ; Mininni, Rosa Maria. In: Papers. RePEc:arx:papers:1901.02246.

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2019Non-Stationary Dividend-Price Ratios. (2019). Neokosmidis, Ioannis ; Polimenis, Vassilis . In: Papers. RePEc:arx:papers:1902.06053.

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2019Nonparametric estimation and bootstrap inference on trends in atmospheric time series: an application to ethane. (2019). Mahieu, Emmanuel ; Lejeune, Bernard ; Franco, Bruno ; Bader, Whitney ; Urbain, Jean-Pierre ; Smeekes, Stephan ; Reuvers, Hanno ; Beutner, Eric ; Friedrich, Marina. In: Papers. RePEc:arx:papers:1903.05403.

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2019Blindfolded monkeys or financial analysts: who is worth your money?. (2019). Torrisi, Benedetto ; Pernagallo, Giuseppe. In: Papers. RePEc:arx:papers:1904.03488.

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2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2019Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

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2018Pair-wise Convergence of Intra-city House Prices in Beijing. (2018). Gabrieli, Tommaso ; Xu, Yishuang ; Panagiotidis, Theodore. In: ERES. RePEc:arz:wpaper:eres2018_236.

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2019Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries. (2019). Mustafa, Khalid ; Ahmed, Zobia Israr. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:111-132.

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2019Are Karachi Stock Exchange Firms Investment Promoting? - Evidence of Efficient Market Hypothesis Using Panel Cointegration. (2019). Arshed, Noman ; Aziz, Osama ; Grant, Kenneth A ; Hassan, Muhammad Shahid. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:52-65.

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2018Re-Examining the Mean Reversion of Inflation Rate in ECOWAS. (2018). Guy, Drama Bedi. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:653-668.

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2019The Impact of Trade, Technology and Growth on Environmental Deterioration of China and India. (2019). Fan, Hongzhong ; Yahia, Yassin Elshain ; Islam, Mollah Aminul ; Hossain, Md Ismail. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:1-29.

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2018Linking Inflation Differential Across Regions to Unemployment in the Philippines. (2018). Martin, Rafael ; Thomas, Julian ; Jose, Angelo. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2018:p:356-373.

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2018The Determinants of CPI Inflation in Bangladesh, 1980-2016. (2018). Alam, Mohammad Mahabub. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2018:p:441-461.

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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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2018The Effects of Temporal Aggregation on Search Engine Data. (2018). , Heather ; Nazarov, Zafar ; Kim, Jiyoon. In: Review of Economics & Finance. RePEc:bap:journl:180205.

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2019The Effects of Hedging and Speculation on Cash-Futures Basis: Results from U.S. Wheat Markets. (2019). Hoang, Nam ; Grieb, Terrance . In: Review of Economics & Finance. RePEc:bap:journl:190301.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018The Impact of Economic Growth on CO2 Emissions in Azerbaijan. (2018). Hasanov, Fakhri ; Galeotti, Marzio ; Mikayilov, Jeyhun I. In: IEFE Working Papers. RePEc:bcu:iefewp:iefewp102.

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2018Forecasting house prices in Italy. (2018). Loberto, Michele ; Guglielminetti, Elisa ; Emiliozzi, Simone . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_463_18.

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2018The Impact of Crime and Other Economic Forces on Mexicos Foreign Direct Investment Inflows. (2018). Rene, Cabral Torres ; Eduardo, Saucedo ; Andre, Mollick. In: Working Papers. RePEc:bdm:wpaper:2018-24.

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2018Okun´s law in Colombia: a non-linear cointegration. (2018). Ramos-Veloza, Mario ; Florez, Luz ; Pulido-Mahecha, Karen L. In: Borradores de Economia. RePEc:bdr:borrec:1039.

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2019Migración internacional y determinantes de las remesas de trabajadores en Colombia. (2019). Garavito, Aaron ; Montes-Uribe, Enrique ; Hernandez-Bejarano, Manuel Dario ; Collazos-Gaitan, Maria Mercedes ; Garavito-Acosta, Aaron Levi. In: Borradores de Economia. RePEc:bdr:borrec:1066.

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2019AN EMPIRICAL TEST OF EXOGENOUS GROWTH MODELS: EVIDENCE FROM THREE SOUTHERN AFRICAN COUNTRIES. (2019). Odhiambo, Nicholas ; Chirwa, Themba G. In: Economic Annals. RePEc:beo:journl:v:64:y:2019:i:220:p:7-38.

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2019Bayesian Inference for Markov-switching Skewed Autoregressive Models. (2019). Lhuissier, Stephane. In: Working papers. RePEc:bfr:banfra:726.

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2019New Tests of Expectation Formation with Applications to Asset Pricing Models. (2019). Kuang, Pei ; Zhang, Tongbin . In: Discussion Papers. RePEc:bir:birmec:19-05.

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2018Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model. (2018). Ters, Kristyna ; Urban, Jorg. In: BIS Working Papers. RePEc:bis:biswps:689.

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2018Nonlinear state and shock dependence of exchange rate pass through on prices. (2018). Rodríguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto. In: BIS Working Papers. RePEc:bis:biswps:690.

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2018Non-monetary news in central bank communication. (2018). Cieslak, Anna ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:761.

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2018What drives flight to quality?. (2018). Opitz, Sebastian ; Szimayer, Alexander. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:529-571.

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2018Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656.

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2018Industry†specific Exchange Rate Fluctuations, Japanese Exports and Financial Constraints: Evidence from Panel Vector Autoregressive Analysis. (2018). Zhang, Shajuan . In: Asian Economic Journal. RePEc:bla:asiaec:v:32:y:2018:i:2:p:125-145.

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2018After Papua New Guineas Resource Boom: Is the Kina Overvalued?. (2018). Fox, Rohan ; Schrder, Marcel. In: Asia and the Pacific Policy Studies. RePEc:bla:asiaps:v:5:y:2018:i:1:p:65-76.

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2018Fundamentals and Oil Price Behaviour: New Evidence from Co†integration Tests with Structural Breaks and Granger Causality Tests. (2018). Yousef, Nourah Ala. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:1:p:1-18.

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2018Structural Breaks and Energy Consumption in the Gulf Cooperation Council Countries: Are Random Shocks Transitory or Permanent?. (2018). Osman, Mohamed ; Gachino, Geoffrey ; Hoque, Ariful. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:4:p:446-455.

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2018Policy Uncertainty and the Demand for Money in Australia: an Asymmetry Analysis. (2018). Bahmani-Oskooee, Mohsen ; Nayeri, Majid Maki ; Bahmanioskooee, Mohsen. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:4:p:456-469.

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2018Predictive Power of us Monetary Policy Uncertainty Shock on Stock Returns in Australia and New Zealand. (2018). Cai, Yifei. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:4:p:470-488.

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2018PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST. (2018). GUPTA, RANGAN ; Balcilar, Mehmet ; Kyei, Clement. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:74-87.

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2018Reinvestigating the Oil Price–Stock Market Nexus: Evidence from Chinese Industry Stock Returns. (2018). Fang, Sheng ; Egan, Paul G ; Lu, Xinsheng. In: China & World Economy. RePEc:bla:chinae:v:26:y:2018:i:3:p:43-62.

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2019FOREIGN DIRECT INVESTMENT IN MEXICO, CRIME, AND ECONOMIC FORCES. (2019). Cabral, Rene ; Saucedo, Eduardo ; Mollick, Andre Varella. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:37:y:2019:i:1:p:68-85.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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2019WINNING IN PROFESSIONAL TEAM SPORTS: HISTORICAL MOMENTS. (2019). Lee, Young Hoon ; Fort, Rodney ; Jang, Hayley . In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:1:p:103-120.

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2019WHAT DO BRITISH HISTORICAL DATA TELL US ABOUT GOVERNMENT SPENDING MULTIPLIERS?. (2019). Watanabe, Shingo . In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:2:p:1141-1162.

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2018An Investigation of China†U.S. Bilateral Trade and Exchange Rate Changes Using the Autoregressive Distributed Lag Model. (2018). Hurley, Dene T ; Papanikolaou, Nikolaos. In: Economic Papers. RePEc:bla:econpa:v:37:y:2018:i:2:p:162-179.

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2018The futures premium and rice market efficiency in prewar Japan. (2018). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio . In: Economic History Review. RePEc:bla:ehsrev:v:71:y:2018:i:3:p:909-937.

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2018MIS†SPECIFICATION TESTING IN RETROSPECT. (2018). Spanos, Aris. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:541-577.

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2018WILL THE “TRUE” LABOR SHARE STAND UP? AN APPLIED SURVEY ON LABOR SHARE MEASURES. (2018). Mućk, Jakub ; McAdam, Peter ; Growiec, Jakub ; Muk, Jakub. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:961-984.

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2018Unit Root Testing with Unstable Volatility. (2018). Beare, Brendan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:816-835.

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2018Confidence Sets for the Date of a Structural Change at the End of a Sample. (2018). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:850-862.

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2018Information Transmission across European Equity Markets During Crisis Periods. (2018). Chen, Jing ; Buckle, Mike ; McMillan, David G. In: Manchester School. RePEc:bla:manchs:v:86:y:2018:i:6:p:770-788.

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2018ANALYSIS OF THE DETERMINANT FACTORS OF THE HISTORICAL DEVELOPMENT OF AIR TRANSPORT: AN EMPIRICAL APPLICATION TO TURKEY. (2018). Kasim, Kraci. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:3:p:74-90.

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2019Non-performing loans, governance indicators and systemic liquidity risk: evidence from Greece. (2019). Anastasiou, Dimitrios ; Malandrakis, Ioannis ; Bragoudakis, Zacharias. In: Working Papers. RePEc:bog:wpaper:260.

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2018CONTAGION AND CORRELATION IN EMPIRICAL MODELS OF BANK CREDIT RISK IN ISRAEL. (2018). Beenstock, Michael ; Khatib, Mahmood. In: Israel Economic Review. RePEc:boi:isrerv:v:15:y:2018:i:1:p:1-34.

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2018Non-Performing Loans, Cost of Capital, and Lending Supply: Lessons from the Eurozone Banking Crisi. (2018). Chiesa, G ; Mansilla-Fernandez, J M. In: Working Papers. RePEc:bol:bodewp:wp1124.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2018Transitions between growth episodes: Do institutions matter and do some institutions matter more?. (2018). Raihan, Selim ; Sen, Kunal ; Kar, Sabyasachi. In: Global Development Institute Working Paper Series. RePEc:bwp:bwppap:esid-099-18.

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2018AUTOREGRESSIVE EVOLUTIONS FOR MACROECONOMIC INDICATORS DO CONFIRM CHAOS THEORIES IN UNITED STATES. (2018). Anca-Iuliana, Nicolae. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2018:v:4:p:29-45.

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More than 100 citations found, this list is not complete...

Pierre Perron is editor of


Journal
Econometrics Journal
Econometrics Journal

Works by Pierre Perron:


YearTitleTypeCited
2011Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns In: CREATES Research Papers.
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2011Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns.(2011) In: Boston University - Department of Economics - Working Papers Series.
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2015Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns.(2015) In: Boston University - Department of Economics - Working Papers Series.
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paper
2017Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns.(2017) In: Boston University - Department of Economics - Working Papers Series.
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paper
2018Combining long memory and level shifts in modelling and forecasting the volatility of asset returns.(2018) In: Quantitative Finance.
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article
1992Racines unitaires en macroéconomie : le cas multidimensionnel In: Annals of Economics and Statistics.
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article1
2018Testing for Common Breaks in a Multiple Equations System In: Papers.
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paper5
2011Testing for Common Breaks in a Multiple Equations System.(2011) In: Boston University - Department of Economics - Working Papers Series.
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paper
2018Testing for common breaks in a multiple equations system.(2018) In: Journal of Econometrics.
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article
2018Testing for common breaks in a multiple equations system.(2018) In: Monash Econometrics and Business Statistics Working Papers.
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paper
2018Generalized Laplace Inference in Multiple Change-Points Models In: Papers.
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paper0
2001Generalized Laplace Inference in Multiple Change-Points Models.(2001) In: Boston University - Department of Economics - Working Papers Series.
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paper
2018Continuous Record Asymptotics for Structural Change Models In: Papers.
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2017Continuous Record Asymptotics for Structural Change Models.(2017) In: Boston University - Department of Economics - Working Papers Series.
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paper
2019Continuous Record Laplace-based Inference about the Break Date in Structural Change Models In: Papers.
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paper1
2017Continuous Record Laplace-based Inference about the Break Date in Structural Change Models.(2017) In: Boston University - Department of Economics - Working Papers Series.
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paper
2018Structural Breaks in Time Series In: Papers.
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paper1
2018Structural Breaks in Time Series.(2018) In: Boston University - Department of Economics - Working Papers Series.
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paper
2018Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures In: Papers.
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2018Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures.(2018) In: Boston University - Department of Economics - Working Papers Series.
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paper
1992Nonstationarity and Level Shifts with an Application to Purchasing Power Parity. In: Journal of Business & Economic Statistics.
[Citation analysis]
article506
1991Nonstationary and Level Shifts With An Application To Purchasing Power Parity..(1991) In: Princeton, Department of Economics - Econometric Research Program.
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paper
1992Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions. In: Journal of Business & Economic Statistics.
[Citation analysis]
article114
2009Testing for Shifts in Trend With an Integrated or Stationary Noise Component In: Journal of Business & Economic Statistics.
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article130
2005Testing for Shifts in Trend with an Integrated or Stationary Noise Component.(2005) In: Boston University - Department of Economics - Working Papers Series.
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paper
2007Testing for Shifts in Trend with an Integrated or Stationary Noise Component.(2007) In: Boston University - Department of Economics - Working Papers Series.
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paper
2010Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices In: Journal of Business & Economic Statistics.
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article82
2008Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices.(2008) In: Boston University - Department of Economics - Working Papers Series.
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paper
2010Testing for Multiple Structural Changes in Cointegrated Regression Models In: Journal of Business & Economic Statistics.
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article105
2006Testing for Multiple Structural Changes in Cointegrated Regression Models.(2006) In: Boston University - Department of Economics - Working Papers Series.
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paper
2008Testing for Multiple Structural Changes in Cointegrated Regression Models.(2008) In: Boston University - Department of Economics - Working Papers Series.
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paper
2008Testing for Multiple Structural Changes in Cointegrated Regression Models.(2008) In: Purdue University Economics Working Papers.
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paper
1990Testing for a Unit Root in a Time Series with a Changing Mean. In: Journal of Business & Economic Statistics.
[Citation analysis]
article424
1989TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN..(1989) In: Princeton, Department of Economics - Econometric Research Program.
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paper
1996THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN In: Journal of Time Series Analysis.
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article2
1995The Exact Error in Estimating the Special Density at the Origin..(1995) In: Cahiers de recherche.
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paper
1995The Exact Error in Estimating the Special Density at the Origin..(1995) In: Cahiers de recherche.
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paper
2003SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* In: Journal of Time Series Analysis.
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article47
2000Seraching for Additive Outliers in Nonstationary Time Series..(2000) In: Working Papers.
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paper
2010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component In: Journal of Time Series Analysis.
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article65
2009A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component.(2009) In: Boston University - Department of Economics - Working Papers Series.
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paper
2009A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component.(2009) In: Purdue University Economics Working Papers.
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paper
2016Inference on a Structural Break in Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis.
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article1
2013Inference on a Structural Break in Trend with Fractionally Integrated Errors.(2013) In: Boston University - Department of Economics - Working Papers Series.
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paper
2015Inference on a Structural Break in Trend with Fractionally Integrated Errors.(2015) In: Boston University - Department of Economics - Working Papers Series.
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paper
2016Improved Tests for Forecast Comparisons in the Presence of Instabilities In: Journal of Time Series Analysis.
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article3
2014Improved Tests for Forecast Comparisons in the Presence of Instabilities.(2014) In: Boston University - Department of Economics - Working Papers Series.
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paper
2015Improved Tests for Forecast Comparisons in the Presence of Instabilities.(2015) In: Boston University - Department of Economics - Working Papers Series.
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paper
2017Time Series Methods Applied to Climate Change In: Journal of Time Series Analysis.
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article0
2017Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures In: Journal of Time Series Analysis.
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article10
2017Extracting and analyzing the warming trend in global and hemispheric temperatures.(2017) In: Boston University - Department of Economics - Working Papers Series.
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paper
2005A Note on the Selection of Time Series Models In: Oxford Bulletin of Economics and Statistics.
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article32
2001A Note on the Selection of Time Series Models.(2001) In: Boston College Working Papers in Economics.
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paper
2017Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component In: Oxford Bulletin of Economics and Statistics.
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article1
2015Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component.(2015) In: Boston University - Department of Economics - Working Papers Series.
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.() In: .
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paper
Level Shifts and Purchasing Power Parity In: Instructional Stata datasets for econometrics.
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paper0
2000Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power In: Boston College Working Papers in Economics.
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paper1725
2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power.(2001) In: Econometrica.
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article
2005Estimating and testing structural changes in multivariate regressions In: Boston University - Department of Economics - Working Papers Series.
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paper164
2007Estimating and Testing Structural Changes in Multivariate Regressions.(2007) In: Econometrica.
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article
2005Dealing with Structural Breaks In: Boston University - Department of Economics - Working Papers Series.
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paper39
2005A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend In: Boston University - Department of Economics - Working Papers Series.
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paper3
2006A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend.(2006) In: Econometrics Journal.
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article
2005Let’s Take a Break: Trends and Cycles in US Real GDP? In: Boston University - Department of Economics - Working Papers Series.
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paper75
2009Let’s Take a Break: Trends and Cycles in US Real GDP.(2009) In: Boston University - Department of Economics - Working Papers Series.
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2009Lets take a break: Trends and cycles in US real GDP.(2009) In: Journal of Monetary Economics.
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2005Estimating Deterministric Trends with an Integrated or Stationary Noise Component In: Boston University - Department of Economics - Working Papers Series.
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paper55
2006Estimating Deterministic Trends with an Integrated or Stationary Noise Component.(2006) In: Boston University - Department of Economics - Working Papers Series.
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paper
2007Estimating Deterministic Trend with an Integrated or Stationary Noise Component.(2007) In: Boston University - Department of Economics - Working Papers Series.
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paper
2009Estimating deterministic trends with an integrated or stationary noise component.(2009) In: Journal of Econometrics.
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article
2005The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions* In: Boston University - Department of Economics - Working Papers Series.
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paper0
2005A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change In: Boston University - Department of Economics - Working Papers Series.
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paper21
2007A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change*.(2007) In: Boston University - Department of Economics - Working Papers Series.
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paper
2008A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change.(2008) In: Journal of Econometrics.
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article
2005An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data In: Boston University - Department of Economics - Working Papers Series.
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paper6
2005An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data.(2005) In: Boston University - Department of Economics - Working Papers Series.
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paper
2006The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions In: Boston University - Department of Economics - Working Papers Series.
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paper24
2008THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS.(2008) In: Econometric Theory.
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article
2006A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests In: Boston University - Department of Economics - Working Papers Series.
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paper94
2007A simple modification to improve the finite sample properties of Ng and Perrons unit root tests.(2007) In: Economics Letters.
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article
2006A Modified Information Criterion for Cointegration Tests based on a VAR Approximation In: Boston University - Department of Economics - Working Papers Series.
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paper12
2007A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION.(2007) In: Econometric Theory.
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2006An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility* In: Boston University - Department of Economics - Working Papers Series.
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paper5
2006State Space Model with Mixtures of Normals: Specifications and Applications to International Data In: Boston University - Department of Economics - Working Papers Series.
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paper7
2006Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression In: Boston University - Department of Economics - Working Papers Series.
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paper3
2007Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression*.(2007) In: Boston University - Department of Economics - Working Papers Series.
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2006Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses In: Boston University - Department of Economics - Working Papers Series.
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paper127
2009Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses.(2009) In: Journal of Econometrics.
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article
2006Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope In: Boston University - Department of Economics - Working Papers Series.
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paper6
2009Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope.(2009) In: Journal of Econometrics.
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article
2006The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes In: Boston University - Department of Economics - Working Papers Series.
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paper51
2008The limit distribution of the estimates in cointegrated regression models with multiple structural changes.(2008) In: Journal of Econometrics.
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article
2007An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts In: Boston University - Department of Economics - Working Papers Series.
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paper24
2008On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests In: Boston University - Department of Economics - Working Papers Series.
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paper5
2001On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2001) In: Boston University - Department of Economics - Working Papers Series.
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2012On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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paper
2016On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2016) In: Econometric Reviews.
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article
2008A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices In: Boston University - Department of Economics - Working Papers Series.
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paper0
2008Testing for Breaks in Coefficients and Error Variance: Simulations and Applications In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper6
2008Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model In: Boston University - Department of Economics - Working Papers Series.
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paper5
2019Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model.(2019) In: Discussion paper series.
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paper
2008Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model In: Boston University - Department of Economics - Working Papers Series.
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paper34
2010Modeling and forecasting stock return volatility using a random level shift model.(2010) In: Journal of Empirical Finance.
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article
2008Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series.
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paper5
2007GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper12
2010Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends In: Boston University - Department of Economics - Working Papers Series.
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paper20
2012Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends.(2012) In: Working Papers.
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2013MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS.(2013) In: Econometric Theory.
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article
2010On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance In: Boston University - Department of Economics - Working Papers Series.
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paper1
2011On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance.(2011) In: Journal of Time Series Econometrics.
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article
2011Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions In: Boston University - Department of Economics - Working Papers Series.
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paper4
2012Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2013Estimating and testing multiple structural changes in linear models using band spectral regressions.(2013) In: Econometrics Journal.
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article
2011A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4 In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper7
2011Testing for Trend in the Presence of Autoregressive Error: A Comment In: Boston University - Department of Economics - Working Papers Series.
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paper0
2011Testing for Trend in the Presence of Autoregressive Error: A Comment.(2011) In: Keio/Kyoto Joint Global COE Discussion Paper Series.
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2012Testing for Trend in the Presence of Autoregressive Error: A Comment.(2012) In: Journal of the American Statistical Association.
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2011Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series.
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paper20
2015Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors.(2015) In: Journal of Applied Econometrics.
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2011A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS In: Boston University - Department of Economics - Working Papers Series.
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paper9
2014A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS.(2014) In: Econometric Theory.
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2011Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices In: Boston University - Department of Economics - Working Papers Series.
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paper3
2013Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices.(2013) In: Journal of Empirical Finance.
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1998Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices.(1998) In: Cahiers de recherche.
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2011Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run In: Boston University - Department of Economics - Working Papers Series.
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paper4
2013Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run.(2013) In: Applied Economics.
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2012Statistical evidence about human influence on the climate system In: Boston University - Department of Economics - Working Papers Series.
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paper1
2012Breaks, trends and the attribution of climate change: a time-series analysis In: Boston University - Department of Economics - Working Papers Series.
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paper3
2013Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations In: Boston University - Department of Economics - Working Papers Series.
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paper0
2013Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends In: Boston University - Department of Economics - Working Papers Series.
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paper0
2001Detection and attribution of climate change through econometric methods In: Boston University - Department of Economics - Working Papers Series.
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paper6
2013Single-equation tests for Cointegration with GLS Detrended Data In: Boston University - Department of Economics - Working Papers Series.
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paper0
2013Statistically-derived contributions of diverse human influences to 20th century temperature changes In: Boston University - Department of Economics - Working Papers Series.
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paper16
2013Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion In: Boston University - Department of Economics - Working Papers Series.
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paper16
2014Forecasting return volatility: Level shifts with varying jump probability and mean reversion.(2014) In: International Journal of Forecasting.
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2013A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models In: Boston University - Department of Economics - Working Papers Series.
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paper0
2014Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data In: Boston University - Department of Economics - Working Papers Series.
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2015Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data.(2015) In: Boston University - Department of Economics - Working Papers Series.
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2016Measuring business cycles with structural breaks and outliers: Applications to international data.(2016) In: Research in Economics.
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2014Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models In: Boston University - Department of Economics - Working Papers Series.
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paper0
2015A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models In: Boston University - Department of Economics - Working Papers Series.
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paper5
2018A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models.(2018) In: Econometric Reviews.
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2015Forecasting in the presence of in and out of sample breaks In: Boston University - Department of Economics - Working Papers Series.
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paper0
2018Forecasting in the presence of in and out of sample breaks.(2018) In: Boston University - Department of Economics - Working Papers Series.
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