Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Author "Perron, Benoit"
Now showing items 1-7 of 7
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Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
(Université de Montréal. Département de sciences économiques., 2009-10)Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can ... -
Bootstrapping factor models with cross sectional dependence
(Université de Montréal. Département de sciences économiques., 2018-07)We consider bootstrap methods for factor-augmented regressions with cross sectional dependence among idiosyncratic errors. This is important to capture the bias of the OLS estimator derived recently by Gonçalves and Perron (2014). We first show that a ... -
Jumps in the Volatility of Financial Markets
(Université de Montréal. Département de sciences économiques., 1999)Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and ... -
The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity
(Université de Montréal. Département de sciences économiques., 2000)This paper studies seemingly unrelated linear models with integrated regressors and stationary errors. By adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by feasible generalized ... -
Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off
(Université de Montréal. Département de sciences économiques., 1999)Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors ... -
The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model
(Université de Montréal. Département de sciences économiques., 1999)We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is ... -
Testing for a Unit Root in Panels with Dynamic Factors
(Université de Montréal. Département de sciences économiques., 2002)This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. ...
