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Pierre Perron

Global rank #652 99%

Institution: Boston University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://blogs.bu.edu/perron/

First Publication: 1985

Most Recent: 2024

RePEc ID: ppe32 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 4.69 1.01 0.00 10.39
Last 10 Years 0.00 6.20 2.35 0.00 15.08
All Time 1.01 25.30 21.78 0.00 79.76

Publication Statistics

Raw Publications 52
Coauthorship-Adjusted Count 55.03

Publications (52)

Year Article Journal Tier Authors
2024 Prewhitened long-run variance estimation robust to nonstationarity Journal of Econometrics A 2
2024 Change-point analysis of time series with evolutionary spectra Journal of Econometrics A 2
2024 Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits Review of Economics and Statistics A 3
2022 GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS Econometric Theory B 2
2021 Continuous record Laplace-based inference about the break date in structural change models Journal of Econometrics A 2
2021 Testing for Changes in Forecasting Performance Journal of Business & Economic Statistics A 2
2020 Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures Journal of Econometrics A 4
2020 Testing jointly for structural changes in the error variance and coefficients of a linear regression model Quantitative Economics B 3
2018 Testing for common breaks in a multiple equations system Journal of Econometrics A 2
2017 Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component Oxford Bulletin of Economics and Statistics B 3
2017 Modelling exchange rate volatility with random level shifts Applied Economics C 3
2015 Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors Journal of Applied Econometrics B 2
2014 A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS Econometric Theory B 2
2014 Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations Journal of Econometrics A 2
2014 Forecasting return volatility: Level shifts with varying jump probability and mean reversion International Journal of Forecasting B 2
2013 Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run Applied Economics C 2
2013 WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE Econometric Theory B 3
2013 MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS Econometric Theory B 2
2012 A note on estimating a structural change in persistence Economics Letters C 2
2012 Testing for Trend in the Presence of Autoregressive Error: A Comment Journal of the American Statistical Association B 2
2009 GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES Econometric Theory B 3
2009 Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope Journal of Econometrics A 2
2009 Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses Journal of Econometrics A 2
2009 Estimating deterministic trends with an integrated or stationary noise component Journal of Econometrics A 2
2009 Let's take a break: Trends and cycles in US real GDP Journal of Monetary Economics A 2
2008 THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS Econometric Theory B 2
2008 A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change Journal of Econometrics A 2
2008 DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION Econometric Theory B 2
2008 The limit distribution of the estimates in cointegrated regression models with multiple structural changes Journal of Econometrics A 2
2007 A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION Econometric Theory B 2
2007 A simple modification to improve the finite sample properties of Ng and Perron's unit root tests Economics Letters C 2
2006 Estimating restricted structural change models Journal of Econometrics A 2
2005 A Note on the Selection of Time Series Models Oxford Bulletin of Economics and Statistics B 2
2005 THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK Econometric Theory B 2
2005 Structural breaks with deterministic and stochastic trends Journal of Econometrics A 2
2003 GLS detrending, efficient unit root tests and structural change Journal of Econometrics A 2
2000 A look at the quality of the approximation of the functional central limit theorem Economics Letters C 2
1998 AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS Econometric Theory B 2
1997 Estimation and inference in nearly unbalanced nearly cointegrated systems Journal of Econometrics A 2
1997 Further evidence on breaking trend functions in macroeconomic variables Journal of Econometrics A 1
1996 An Analysis of the Real Interest Rate under Regime Shifts. Review of Economics and Statistics A 2
1996 The effect of linear filters on dynamic time series with structural change Journal of Econometrics A 2
1996 Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties Review of Economic Studies S 2
1996 The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors Journal of Econometrics A 1
1994 Local asymptotic distribution related to the AR(1) model with dependent errors Journal of Econometrics A 2
1993 The effect of seasonal adjustment filters on tests for a unit root Journal of Econometrics A 2
1991 A Continuous Time Approximation to the Stationary First-Order Autoregressive Model Econometric Theory B 1
1991 Test Consistency with Varying Sampling Frequency Econometric Theory B 1
1989 The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model Econometric Theory B 1
1988 Trends and random walks in macroeconomic time series : Further evidence from a new approach Journal of Economic Dynamics and Control B 1
1987 Does GNP have a unit root? : A re-evaluation Economics Letters C 2
1985 Testing the random walk hypothesis : Power versus frequency of observation Economics Letters C 2