Zobrazeno 1 - 10
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pro vyhledávání: '"PERRON, Pierre"'
Autor:
Perron, Pierre, Rodríguez, Gabriel
Publikováno v:
Economía. 35(69):174-203
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of
Externí odkaz:
http://revistas.pucp.edu.pe/index.php/economia/article/view/2712/2656
http://repositorio.pucp.edu.pe/index/handle/123456789/117533
http://repositorio.pucp.edu.pe/index/handle/123456789/117533
Autor:
Casini, Alessandro, Perron, Pierre
Publikováno v:
In Journal of Econometrics June 2024 242(2)
Autor:
Casini, Alessandro, Perron, Pierre
This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the null hypothesis but exhibits change-points or becomes less smooth under t
Externí odkaz:
http://arxiv.org/abs/2106.02031
Autor:
Casini, Alessandro, Perron, Pierre
We introduce a nonparametric nonlinear VAR prewhitened long-run variance (LRV) estimator for the construction of standard errors robust to autocorrelation and heteroskedasticity that can be used for hypothesis testing in a variety of contexts includi
Externí odkaz:
http://arxiv.org/abs/2103.02235
We establish theoretical results about the low frequency contamination (i.e., long memory effects) induced by general nonstationarity for estimates such as the sample autocovariance and the periodogram, and deduce consequences for heteroskedasticity
Externí odkaz:
http://arxiv.org/abs/2103.01604
We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usual smoothing over lagged autocovariances for classical HAC estimators,
Externí odkaz:
http://arxiv.org/abs/2103.00060
Akademický článek
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What transpires from recent research is that temperatures and radiative forcing seem to be characterized by a linear trend with two changes in the rate of growth. The first occurs in the early 60s and indicates a very large increase in the rate of gr
Externí odkaz:
http://arxiv.org/abs/1805.09937
Autor:
Casini, Alessandro, Perron, Pierre
This chapter covers methodological issues related to estimation, testing and computation for models involving structural changes. Our aim is to review developments as they relate to econometric applications based on linear models. Substantial advance
Externí odkaz:
http://arxiv.org/abs/1805.03807