← All authors Pierre Perrón Boston University (from arXiv:2103.00060, 2021) · ORCID · OpenAlex
125 papers in scope · 123 published · 10 on the econ.EM arXiv · 54,047 citations · h-index 45 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Alessandro Casini Taosong Deng Lorenzo Trapani Leopoldo Catania Federico Belotti Lajos Horváth Luca Mattia Rolla B. Cooper Boniece Fabrizio Ghezzi Eduardo Rossi Meng Li Zijian Zeng Yaein Baek Karsten Schweikert Anton Skrobotov Paul Kattuman Jörg Breitung Sven Otto Stefano Grassi Raimondo Pala Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (10 of 125)
Uncovering bias in uncovered interest parity tests
published 2026 · Applied Economic Analysis
with Emilio González-Coya
published 2025 · Journal of Time Series Analysis · 8 citations · first circulated 2015
An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles
published 2025 · Journal of Time Series Analysis
with Mohitosh Kejriwal, Linh Nguyen
published 2024 · Econometric Theory · 11 citations · first circulated 2021
published 2024 · Journal of Econometrics · 9 citations · first circulated 2021
published 2024 · Journal of Econometrics · 7 citations · first circulated 2021
Estimation in the Presence of Heteroskedasticity of Unknown Form: A Lasso-based Approach
published 2023 · Journal of Econometric Methods · 3 citations
with Emilio González-Coya
published 2023 · Econometric Reviews · 4 citations · first circulated 2021
Anthropogenic influence on extremes and risk hotspots
published 2023 · Scientific Reports · 38 citations
Forecasting in the presence of in-sample and out-of-sample breaks
published 2022 · Empirical Economics · 3 citations · first circulated 2015
with Jiawen Xu
Robust testing of time trend and mean with unknown integration order errors
published 2022 · Journal of Statistical Computation and Simulation · 1 citations · first circulated 2013
with Seong Yeon Chang, Jiawen Xu
Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits
published 2022 · The Review of Economics and Statistics · first circulated 2021
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
published 2021 · Journal of Time Series Analysis · 1 citations
with Yohei Yamamoto
A two‐step procedure for testing partial parameter stability in cointegrated regression models
published 2021 · Journal of Time Series Analysis
The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence
published 2021 · Empirical Economics · 8 citations · first circulated 2019
with Yohei Yamamoto, 庸平 山本
Spatial variations in the warming trend and the transition to more severe weather in midlatitudes
published 2021 · Scientific Reports · 41 citations
published 2020 · Journal of Econometrics · 6 citations · first circulated 2018
Temporal Aggregation and Long Memory for Asset Price Volatility
published 2020 · Journal of risk and financial management · 5 citations
with Wendong Shi
Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
published 2020 · Journal of Time Series Analysis · 4 citations · first circulated 2018
Testing jointly for structural changes in the error variance and coefficients of a linear regression model
published 2020 · Quantitative Economics · 35 citations · first circulated 2008
with Yohei Yamamoto, Jing Zhou
Testing for Changes in Forecasting Performance
published 2019 · Journal of Business and Economic Statistics · 14 citations
with Yohei Yamamoto
published 2019 · Journal of Econometrics · 13 citations · first circulated 2017
Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model
published 2019 · Econometrics · 10 citations
with Yohei Yamamoto
working paper 2019 · arXiv · 61 citations · first circulated 2018
Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis
published 2019 · Economía · 7 citations · first circulated 2012
working paper 2018 · arXiv · 2 citations
published 2018 · Journal of Econometrics · 13 citations · first circulated 2011
Time Series Methods Applied to Climate Change
published 2017 · Journal of Time Series Analysis · 2 citations
with Eduardo Zorita
Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures
published 2017 · Journal of Time Series Analysis · 36 citations · first circulated 2016
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
published 2017 · Quantitative Finance · 34 citations · first circulated 2011
with Rasmus T. Varneskov
Unit Roots and Structural Breaks
published 2017 · Econometrics · 12 citations
Characterizing and attributing the warming trend in sea and land surface temperatures
published 2017 · Atmósfera · 11 citations
with Francisco Estrada, Luís F. Martins
Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component
published 2017 · Oxford Bulletin of Economics and Statistics · 20 citations · first circulated 2015
with Mototsugu Shintani, Tomoyoshi Yabu
Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses
published 2017 · Econometrics · 16 citations
with Seong Yeon Chang
Modelling exchange rate volatility with random level shifts
published 2016 · Applied Economics · 16 citations
with Ye Li, Jiawen Xu
Comments on “In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models”
published 2016 · International Journal of Forecasting · 2 citations
with Jiawen Xu
Improved Tests for Forecast Comparisons in the Presence of Instabilities
published 2016 · Journal of Time Series Analysis · 15 citations · first circulated 2014
with Luís F. Martins
Inference on a Structural Break in Trend with Fractionally Integrated Errors
published 2016 · Journal of Time Series Analysis · 16 citations · first circulated 2013
with Seong Yeon Chang
Measuring business cycles with structural breaks and outliers: Applications to international data
published 2015 · Research in Economics · 29 citations · first circulated 2014
with Tatsuma Wada
A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
published 2015 · Econometric Reviews · 24 citations · first circulated 2013
with Seong Yeon Chang
Residuals‐based tests for cointegration with generalized least‐squares detrended data
published 2015 · Econometrics Journal · 9 citations
with Gabriel Rodríguez
Inference on locally ordered breaks in multiple regressions
published 2015 · Econometric Reviews · 9 citations
with Li Ye
On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
published 2014 · Econometric Reviews · 16 citations · first circulated 2012
with Yohei Yamamoto
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
published 2014 · Journal of Econometrics · 45 citations
with Jie Hou
Forecasting return volatility: Level shifts with varying jump probability and mean reversion
published 2014 · International Journal of Forecasting · 38 citations · first circulated 2013
with Jiawen Xu, Jiamwen Xu
Detection and attribution of climate change through econometric methods
published 2014 · Boletín de la Sociedad Matemática Mexicana · 25 citations
A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
published 2013 · Econometric Theory · 32 citations · first circulated 2011
with Yohei Yamamoto
MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
published 2013 · Econometric Theory · 9 citations · first circulated 2012
Estimating and testing multiple structural changes in linear models using band spectral regressions
published 2013 · Econometrics Journal · 23 citations · first circulated 2012
with Yohei Yamamoto
Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
published 2013 · Journal of Applied Econometrics · 64 citations · first circulated 2011
with Yohei Yamamoto
A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report
published 2013 · PLoS ONE · 37 citations
Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
published 2012 · Journal of Empirical Finance · 6 citations · first circulated 2011
with Sungju Chun, Cosmé Vodounou
A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
published 2012 · Econometrics Journal · 38 citations · first circulated 2008
Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run
published 2012 · Applied Economics · 7 citations · first circulated 2011
with Sungju Chun
WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
published 2012 · Econometric Theory · 54 citations · first circulated 2009
with Mohitosh Kejriwal, Jing Zhou
A note on estimating a structural change in persistence
published 2012 · Economics Letters · 6 citations
with Mohitosh Kejriwal
GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural
published 2012 · Economía
with Gabriel Rodríguez
Testing for Trend in the Presence of Autoregressive Error: A Comment
published 2012 · Journal of the American Statistical Association · 5 citations · first circulated 2011
with Tomoyoshi Yabu
On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
published 2011 · Journal of Time Series Econometrics · 3 citations · first circulated 2010
with Linxia Ren
Editorial
published 2011 · Econometrics Journal
A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
published 2010 · Journal of Time Series Analysis · 20 citations · first circulated 2009
with Mohitosh Kejriwal
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
published 2009 · Econometric Theory · 469 citations · first circulated 2007
Modeling and forecasting stock return volatility using a random level shift model
published 2009 · Journal of Empirical Finance · 76 citations · first circulated 2008
with Yang Lu
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
published 2009 · Journal of Business and Economic Statistics · 170 citations · first circulated 2008
Testing for Multiple Structural Changes in Cointegrated Regression Models
published 2009 · Journal of Business and Economic Statistics · 19 citations
with Mohitosh Kejriwal
Let's take a break: Trends and cycles in US real GDP
published 2009 · Journal of Monetary Economics · 184 citations · first circulated 2005
with Tatsuma Wada
Testing for Shifts in Trend With an Integrated or Stationary Noise Component
published 2009 · Journal of Business and Economic Statistics · 272 citations · first circulated 2007
with Tomoyoshi Yabu
Estimating deterministic trends with an integrated or stationary noise component
published 2009 · Journal of Econometrics · 140 citations · first circulated 2006
with Tomoyoshi Yabu
Racines unitaires en macroéconomie : le cas d’une variable
published 2009 · L Actualité économique · 8 citations
L’estimation de modèles avec changements structurels multiples
published 2009 · L Actualité économique · 40 citations
Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
published 2008 · Journal of Econometrics · 43 citations · first circulated 2006
Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
published 2008 · Journal of Econometrics · 379 citations · first circulated 2006
The limit distribution of the estimates in cointegrated regression models with multiple structural changes
published 2008 · Journal of Econometrics · 116 citations · first circulated 2006
with Mohitosh Kejriwal
DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
published 2008 · Econometric Theory · 38 citations · first circulated 2006
with Mohitosh Kejriwal
THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
published 2008 · Econometric Theory · 51 citations · first circulated 2007
with Ai Deng
A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
published 2007 · Journal of Econometrics · 86 citations · first circulated 2005
with Ai Deng
A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
published 2007 · Econometric Theory · 4 citations
Estimating and Testing Structural Changes in Multivariate Regressions
published 2007 · Econometrica · 481 citations · first circulated 2005
A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
published 2006 · Economics Letters · 204 citations
A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
published 2006 · Econometrics Journal · 42 citations · first circulated 2005
with Ai Deng
Estimating restricted structural change models
published 2005 · Journal of Econometrics · 149 citations
THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
published 2005 · Econometric Theory · 11 citations
with Cosmé Vodounou
A Note on the Selection of Time Series Models
published 2005 · Oxford Bulletin of Economics and Statistics · 118 citations · first circulated 2001
Structural breaks with deterministic and stochastic trends
published 2004 · Journal of Econometrics · 226 citations
with Xiaokang Zhu
Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
published 2003 · Journal of Empirical Finance · 6 citations
with Cosmé Vodounou
Critical values for multiple structural change tests
published 2003 · Econometrics Journal · 841 citations
GLS detrending, efficient unit root tests and structural change
published 2003 · Journal of Econometrics · 181 citations · first circulated 1998
with Gabriel Rodríguez
SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
published 2003 · Journal of Time Series Analysis · 86 citations · first circulated 2000
with Gabriel Rodríguez
Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
published 2003 · Econometric Reviews · 3 citations
Computation and analysis of multiple structural change models
published 2002 · Journal of Applied Econometrics · 609 citations
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
published 2001 · Econometrica · 3978 citations
Asymptotic approximations in the near‐integrated model with a non‐zero initial condition
published 2001 · Econometrics Journal · 2 citations · first circulated 1998
with Cosmé Vodounou
A look at the quality of the approximation of the functional central limit theorem
published 2000 · Economics Letters
with Sylvie Mallet
Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data
published 1999 · Journal of Applied Econometrics · 87 citations · first circulated 1995
with Regina Célia Cati, Marcio García
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
published 1998 · International Economic Review · 646 citations · first circulated 1994
AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
published 1998 · Econometric Theory · 10 citations
Estimating and Testing Linear Models with Multiple Structural Changes
published 1998 · Econometrica · 6047 citations · first circulated 1995
Further evidence on breaking trend functions in macroeconomic variables
published 1997 · Journal of Econometrics · 2043 citations · first circulated 1994
Estimation and inference in nearly unbalanced nearly cointegrated systems
published 1997 · Journal of Econometrics · 71 citations · first circulated 1995
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
published 1996 · The Review of Economic Studies · 594 citations · first circulated 1994
THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
published 1996 · Journal of Time Series Analysis · 30 citations
An Analysis of the Real Interest Rate Under Regime Shifts
published 1996 · The Review of Economics and Statistics · 23 citations
with René García
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
published 1996 · Journal of Econometrics · 19 citations · first circulated 1994
The effect of linear filters on dynamic time series with structural change
published 1996 · Journal of Econometrics · 34 citations · first circulated 1994
Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
published 1995 · Journal of the American Statistical Association · 1481 citations · first circulated 1994
Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
published 1995 · Econometric Reviews · 1 citations
with Seiji Nabeya
Local asymptotic distribution related to the AR(1) model with dependent errors
published 1994 · Journal of Econometrics · 56 citations · first circulated 1991
with Seiji Nabeya
A note on Johansen's cointegration procedure when trends are present
published 1993 · Empirical Economics · 82 citations
with John Y. Campbell
The HUMP-shaped behavior of macroeconomic fluctuations
published 1993 · Empirical Economics · 20 citations
A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks
published 1993 · Brazilian Review of Econometrics · 42 citations
The effect of seasonal adjustment filters on tests for a unit root
published 1993 · Journal of Econometrics · 239 citations · first circulated 1990
Nonstationarity and Level Shifts With an Application to Purchasing Power Parity
published 1992 · Journal of Business and Economic Statistics · 1134 citations · first circulated 1991
The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
published 1992 · Canadian Journal of Statistics · 6 citations · first circulated 1990
Racines unitaires en macroéconomie: le cas multidimensionnel
published 1992 · Annals of Economics and Statistics · 8 citations
with John Y. Campbell
no link
Test Consistency with Varying Sampling Frequency
published 1991 · Econometric Theory · 128 citations
A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
published 1991 · Econometric Theory · 19 citations
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
published 1991 · NBER Macroeconomics Annual · 1274 citations
with John Y. Campbell, John Campbell
A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
published 1991 · Econometrica · 100 citations · first circulated 1988
Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions
published 1990 · Journal of Business and Economic Statistics · 1093 citations
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
published 1989 · Econometrica · 7688 citations · first circulated 1988
The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model
published 1989 · Econometric Theory · 52 citations · first circulated 1987
Trends and random walks in macroeconomic time series
published 1988 · Journal of Economic Dynamics and Control · 2474 citations · first circulated 1986
Testing for a unit root in time series regression
published 1988 · Biometrika · 18031 citations · first circulated 1986
Does GNP have a unit root?
published 1987 · Economics Letters · 135 citations · first circulated 1986
Testing the random walk hypothesis
published 1985 · Economics Letters · 365 citations · first circulated 1984
with Robert J. Shiller
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