Pierre Perrón

Research topics

• Monetary Policy and Economic Impact · 2 papers
• Complex Systems and Time Series Analysis · 1 paper
• Financial Risk and Volatility Modeling · 1 paper
• Statistical Methods and Inference · 1 paper
• Advanced Statistical Methods and Models · 1 paper

Frequent co-authors

• Peter C.B. Phillips · 1 paper
• Jushan Bai · 1 paper

Papers

1. Testing for a unit root in time series regressionBiometrika · 1988 · 18,258 citations

   This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and…

2. Computation and analysis of multiple structural change modelsJournal of Applied Econometrics · 2002 · 5,812 citations

   Abstract 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…