Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par auteur·e "Perron, Pierre"
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Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
Vogelsang, Timothy J.; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors
Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
An Analysis of the Real Interest rate Under Regime Shifts
Garcia, René; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors
Nabeya, Seiji; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition
Perron, Pierre; VODOUNOU, Cosme (Université de Montréal. Département de sciences économiques., 1998)This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero ... -
An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
Perron, Pierre; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression ... -
Computation and Analysis of Multiple Structural-Change Models
Bai, Jushan; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1998)In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues ... -
The Effect of Linear Filters on Dynamic Time series with Structural Change
Perron, Pierre; Ghysels, Eric (Université de Montréal. Département de sciences économiques., 1994) -
Estimating and Testing Linear Models with Multiple Structural Changes
Perron, Pierre; Bai, Jushan (Université de Montréal. Département de sciences économiques., 1995) -
Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
Ng, Serena; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1995) -
The Exact Error in Estimating the Special Density at the Origin
Ng, Serena; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1995) -
The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation
Perron, Pierre; MALLET, Sylvie (Université de Montréal. Département de sciences économiques., 1998)This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the ... -
Further Evidence on Breaking Trend Functions in Macroeconomic Variables
Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
GLS Detrending, Efficient Unit Root Tests and Structural Change
Perron, Pierre; Rodriguez, Gabriel (Université de Montréal. Département de sciences économiques., 1998)We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of ... -
Methodology in Economics: the Logic of Appraisal
Perron, Pierre (Université de Montréal. Département de sciences économiques., 1985)This Paper Intends to Develop a Coherent Methodological Framework Concerned with the Appraisal of Scientific Theories in Economics, and Which Is Based on a Postulated Aim of Science. We First Define the Scope of a Methodological Inquiry (Precise ... -
Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices
Perron, Pierre; VODOUNOU, Cosme (Université de Montréal. Département de sciences économiques., 1998)We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. ... -
Tests of Joint Hypotheses for Time Series Regression with a Unit Root
Perron, Pierre (Université de Montréal. Département de sciences économiques., 1986)This Paper Studies Tests of Joint Hypotheses in Time Series Regression with a Unit Root in Which Weakly Dependent and Heterogeneously Distributed Innovations Are Allowed. We Consider Two Types of Regression: One with a Constant and Lagged Dependent ... -
Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
Ng, Serena; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
Perron, Pierre; Ng, Serena (Université de Montréal. Département de sciences économiques., 1994)