Pierre Perron
Boston University, Economics, Faculty Member
This note discusses some issues that arise when Johansen's (1991) framework is used to analyze cointegrating relationships among variables with deterministic linear time trends. We distinguish "stochastic" and "deterministic"... more
This note discusses some issues that arise when Johansen's (1991) framework is used to analyze cointegrating relationships among variables with deterministic linear time trends. We distinguish "stochastic" and "deterministic" cointegration, arguing that stochastic cointegration is sufTicient for the existence of an error correction representation and that it is often the hypothesis of interest in empirical applications. We show that Johansen's (1991) method, which includes only a constant term in the estimated regression system, does not allow for stochastic cointegration. We propose to modify Johansen's method by including a vector of deterministic linear trends in the estimated modeL We present tabulated critical values of the maximal eigenvalue and trace statistics appropriate for this case. We discuss the circumstances under which our modification may be useful.
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We consider the problem of estimating and testing for multiple breaks in a single equation framework with regressors that are endogenous, i.e., correlated with the errors. First, we show based on standard assumptions about the regressors,... more
We consider the problem of estimating and testing for multiple breaks in a single equation framework with regressors that are endogenous, i.e., correlated with the errors. First, we show based on standard assumptions about the regressors, instruments and errors that the second stage regression of the instrumental variable (IV) procedure involves regressors and errors that satisfy all the assumptions in
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If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. ...
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ESTIMATING AND TESTING LINEAR MODELS WITH MULTIPLE STRUCTURAL CHANGES ... This paper considers issues related to multiple structural changes, occurring at un- known dates, in the linear regression model estimated by least squares. The ...
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ABSTRACT This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the... more
ABSTRACT This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions on these parameters, which permits the analysis of partial structural change models, common breaks that occur in all equations, breaks that occur in a subset of equations, and so forth. The method of estimation is quasi-maximum likelihood based on Normal errors. The limiting distributions are obtained under more general assumptions than previous studies. For testing, we propose likelihood ratio type statistics to test the null hypothesis of no structural change and to select the number of changes. Structural change tests with restrictions on the parameters can be constructed to achieve higher power when prior information is present. For computation, an algorithm for an efficient procedure is proposed to construct the estimates and test statistics. We also introduce a novel locally ordered breaks model, which allows the breaks in different equations to be related yet not occurring at the same dates. Copyright The Econometric Society 2007.
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We consider testing for structural changes in the trend function of a time series without any prior knowl-edge of whether the noise component is stationary or integrated. Following Perron and Yabu (2009), we consider a quasi-feasible... more
We consider testing for structural changes in the trend function of a time series without any prior knowl-edge of whether the noise component is stationary or integrated. Following Perron and Yabu (2009), we consider a quasi-feasible generalized least squares procedure that uses ...
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Research Interests: Time Series and Unit Root
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EIGHT Multiple Structural Change Models A Simulation Analysis* Jushan Bai and Pierre Perron 8.1 INTRODUCTION Both the statistics and econometrics literature contain a vast amount of work on issues related to structural change, most ...
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A TEST FOR CHANGES IN A POLYNOMIAL TREND FONCTION FOR A DYNAMIC TIME SERIES Pierre Perron Princeton University and CR.DE Econometric Research Program Research Memorandum No. 363 March 1991 Revised July 1991 My thanks to Gregory Chow and... more
A TEST FOR CHANGES IN A POLYNOMIAL TREND FONCTION FOR A DYNAMIC TIME SERIES Pierre Perron Princeton University and CR.DE Econometric Research Program Research Memorandum No. 363 March 1991 Revised July 1991 My thanks to Gregory Chow and Serena Ng for ...
We Tabulate the Limiting Cumulative Distribution and Probability Density Functions of the Least Squares Estimator in a First-Order Autoregressive Regression When the True Model Is Near-Integrated in the Sense of Phillips (1986 A). the... more
We Tabulate the Limiting Cumulative Distribution and Probability Density Functions of the Least Squares Estimator in a First-Order Autoregressive Regression When the True Model Is Near-Integrated in the Sense of Phillips (1986 A). the Results Are Obtained Using an Exact Numerical Method Which Integrates the Appropriate Limiting Moment Generating Function. the Adequacy of the Approximation Is Examined by Monte Carlo Methods for Various First-Order Autogressive Processes with a Root Close to Unity.
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Ng and Perron: Selecting the Truncation Lag 271 Although in autoregressive models (see Table 2) the exact size of the test for all choices of к is generally close to the nominal size (provided that к is larger than the ...
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ABSTRACT We consider the statistical properties of tests for return predictability based on regressing returns or multi-period returns on some variable such as the dividend/price ratio. We use a continuous time asymptotic framework... more
ABSTRACT We consider the statistical properties of tests for return predictability based on regressing returns or multi-period returns on some variable such as the dividend/price ratio. We use a continuous time asymptotic framework whereby we let the sample size increase to infinity keeping the span of the data fixed. The data generating process specifies that prices and dividends are a multivariate Ohrnstein–Uhlenbeck process which encompasses the null and alternative hypotheses that returns are uncorrelated or correlated with the dividend/price ratio. For the multi-period returns case, say K-periods, we let K/T→κ as in [Journal of Financial Economics 25 (1989) 323]. We derive the continuous time limit of the relevant t-statistic based on different estimates of the standard error of the estimate. Our analysis permits us to address size and power issues with respect to κ and the sampling interval used. Our theoretical and simulation results show that power is decreasing as κ increases, contrary to the theoretical result of [Journal of Empirical Finance 8 (2001) 459] based on the [Annals of Mathematical Statistics 31 (1960) 276] approximate slope analysis. Also, power depends much more on the span of the data than on the number of observations per se. The issue of size distortions for commonly used procedures is also addressed.
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Quite often, when parametric models are tested for structural change, they are fitted to filtered series instead of raw data. Many filters, like those associated with the X-11 seasonal adjustment program, have smoothing properties. Hence,... more
Quite often, when parametric models are tested for structural change, they are fitted to filtered series instead of raw data. Many filters, like those associated with the X-11 seasonal adjustment program, have smoothing properties. Hence, they have a tendency to disguise structural ...
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This paper analyzes the consistency, rate of convergence and limiting distributions of parameter estimates in models where the trend function exhibits a slope change at some unknown date and the errors can be either stationary or have a... more
This paper analyzes the consistency, rate of convergence and limiting distributions of parameter estimates in models where the trend function exhibits a slope change at some unknown date and the errors can be either stationary or have a unit root. These estimates are obtained ...
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This paper considers issues related to multiple structural changes, occurring at unknown dates, in the linear regression model when restrictions are imposed on the parameters. This includes, for example, the important special case where... more
This paper considers issues related to multiple structural changes, occurring at unknown dates, in the linear regression model when restrictions are imposed on the parameters. This includes, for example, the important special case where different nonadjacent regimes ...
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This Paper Presents a Summary of Recent Work on a New Methodology to Test for the Presence of a Unit Root in Univariate Time Series Models. the Stochastic Framework Is Quite General. While the Dickey-Fuller Approach Accounts for ...
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ADDITIONAL TESTS FOR A UNIT ROOT ALLOWING FOR A BREAK IN THE TREND FUNCTION AT AN UNKNOWN TIME* ... BY TIMOTHY J. VOGELSANG AND PIERRE PERRON 11 ... Cornell University, USA Boston University, USA, and Centre de Recherche et ...
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ABSTRACT This note investigates the adequacy of the finite sample approximation provided the Functional Central Limit Theorem when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data... more
ABSTRACT This note investigates the adequacy of the finite sample approximation provided the Functional Central Limit Theorem when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the distribution of the Wiener process to which it converges. Our setup is, on purpose, very simple in that it considers data generated from an ARMA(1,1) process. Yet, this is sufficient to bring out interesting conclusions about the particular elements which cause the approximations to be inadequate in even quite large sample sizes.
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This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance... more
This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions ...
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ESTIMATING AND TESTING LINEAR MODELS WITH MULTIPLE STRUCTURAL CHANGES ... This paper considers issues related to multiple structural changes, occurring at un- known dates, in the linear regression model estimated by least squares. The ...
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We tabulate the limiting cumulative distribution and probability density func-tions of the least-squares estimator in a first-order autoregressive regression when the true model is near-integrated in the sense of Phillips [19]. The... more
We tabulate the limiting cumulative distribution and probability density func-tions of the least-squares estimator in a first-order autoregressive regression when the true model is near-integrated in the sense of Phillips [19]. The results are obtained using an exact ...
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Andreou and Spanos, A&S hereafter, have written an important and inspiring paper about the role of statistical adequacy and model specification when testing for unit‐roots in economic time series. Their thesis is that the statistical... more
Andreou and Spanos, A&S hereafter, have written an important and inspiring paper about the role of statistical adequacy and model specification when testing for unit‐roots in economic time series. Their thesis is that the statistical adequacy of the univariate model ...
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Page 1. Biometrika (1988), 75, 2, pp. 335-46 Printed in Great Britain Testing for a unit root in time series regression BY PETER CB PHILLIPS Cowles Foundation for Research in Economics, Yale University ...
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Resumo Este artigo discute testes para uma rafz unita.ria permitindo a possibilidade de uma quebra unica no intercepto e/ou na inclin ao da fun ao de tendencia do modelo de outlier aditivo discutido em Perron (1989). Detectamos e corrigi... more
Resumo Este artigo discute testes para uma rafz unita.ria permitindo a possibilidade de uma quebra unica no intercepto e/ou na inclin ao da fun ao de tendencia do modelo de outlier aditivo discutido em Perron (1989). Detectamos e corrigi mos urn erro na fun ao de distribuic;ao ...
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... KEYWORDS: unit root, deterministic trend, regression Author Notes: Departamento de Economía y Finanzas, Universidad de Guanajuato. Address: DCEA-Sede Marfil Fracc. I, El Establo, Guanajuato, Gto 36250 México; email:... more
... KEYWORDS: unit root, deterministic trend, regression Author Notes: Departamento de Economía y Finanzas, Universidad de Guanajuato. Address: DCEA-Sede Marfil Fracc. I, El Establo, Guanajuato, Gto 36250 México; email: daniel@ventosa-santaularia.com. ...
We propose residual based tests for cointegration using local GLS detrending (El-liott, Rothemberg and Stock, 1996, ERS) applied separately to each variable of the system. We consider two cases, one where only a constant is included and... more
We propose residual based tests for cointegration using local GLS detrending (El-liott, Rothemberg and Stock, 1996, ERS) applied separately to each variable of the system. We consider two cases, one where only a constant is included and one where a constant and a time trend ...
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No abstract is available for this item. ... To our knowledge, this item is not available for download. To find whether it is available, there are three options: 1. Check below under "Related research" whether another version of... more
No abstract is available for this item. ... To our knowledge, this item is not available for download. To find whether it is available, there are three options: 1. Check below under "Related research" whether another version of ...
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This chapter is concerned with methodological issues related to estimation, testing and computation in the context of structural changes in the linear models. A central theme of the review is the interplay between structural ...
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In this paper we examine Australian data on national and regional employment numbers, focusing in particular on whether there have been common national and regional changes in the volatility of employment. A subsidiary objective is to... more
In this paper we examine Australian data on national and regional employment numbers, focusing in particular on whether there have been common national and regional changes in the volatility of employment. A subsidiary objective is to assess whether the results derived from traditional growth rate models are sustained when alternative filtering methods are used. In particular, we compare the results of the growth rate models with those obtained from Hodrick-Prescott models. Using frequency filtering methods in conjunction with autoregressive modeling, we show that there is considerable diversity in the regional pattern of change and that it would be wrong to suppose that results derived from the aggregate employment series are generally applicable across the regions. The results suggest that the so-called great moderation may have been less extensive than aggregate macro studies suggest.
Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated unobserved components (UC) framework. The estimates show that... more
Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated unobserved components (UC) framework. The estimates show that permanent shocks to productivity are negatively correlated with transitory shocks to hours. This result is robust for non-stationary, levels stationary and differenced stationary specifications of hours. A comparison of the UC framework to the structural VAR framework shows that the UC framework with hours in levels performs better.