{"id":15,"date":"2020-05-23T20:10:25","date_gmt":"2020-05-24T00:10:25","guid":{"rendered":"http:\/\/blogs.bu.edu\/perron\/?page_id=15"},"modified":"2026-04-08T19:10:30","modified_gmt":"2026-04-08T23:10:30","slug":"publications","status":"publish","type":"page","link":"https:\/\/blogs.bu.edu\/perron\/publications\/","title":{"rendered":"publications"},"content":{"rendered":"

2026<\/strong><\/p>\n

“Continuous Record Asymptotics for Change-Point Models,” (with Alessandro Casini), Journal of Time Series Analysis<\/em> 47, 506-525.<\/p>\n

2025<\/strong><\/p>\n

“An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles,” (with Mohitosh Kejriwal and Linh Nguyen), Journal of Time Series Analysis<\/em> 46 (2025), 867-883.<\/p>\n

“Synergies Between Observed Warming and ENSO Episodes on Extreme Events<\/a>” (with Francisco Estrada and Yohei Yamamoto),\u00a0 Annals of the New York Academy of Sciences\u00a0<\/em>1554 (2025), 95-109.<\/p>\n

2024<\/strong><\/p>\n

“On the persistence of near-surface temperature dynamics in a warming world<\/a>” (with Francisco Estrada and Yohei Yamamoto), Annals of the New York Academy of Sciences<\/em> 1531 (2024), 69-83 (with Supplement<\/a>).
\n“Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits,” (with Zhongjun Qu and Jungmo Yoon), Review of Economics and Statistics<\/em> 106 (2024), 521-541. R-package available here<\/a>.
\n“Estimation in the Presence of Heteroskedasticty of Unknown Form: A Lasso-based Approach<\/a>,” (with Emilio Gonz\u00e1lez-Coya), Journal of Econometric Methods 13 (2024), 29-48 (Open Access).
\n“Prewhitened Long-Run Variance Estimation Robust to Nonstationarity,” (with Alessandro Casini), Journal of Econometrics 242 (2024), 105794.<\/p>\n

“Change-Point Analysis of Time Series with Evolutionary Spectra,” (with Alessandro Casini), Journal of Econometrics 242 (2024), 105811.<\/p>\n

2023<\/strong><\/p>\n

“Anthropogenic influence on global increase in extreme heat and precipitation with implications for risk hotspots<\/a>,” (with Francisco Estrada and Yohei Yamamoto), Scientific Reports<\/em> 13 (2023), Article number: 35.
\n“Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings” (with Federico Belotti, Alessandro Casini, Leopoldo Catania, Stefano Grassi), Econometric Reviews <\/em>42 (2023), 281-306.<\/span>
\n“Forecasting in the Presence of In and Out of Sample Breaks,” (with Jiawen Xu), Empirical Economics<\/em> 64 (2023), 3001-3035.<\/p>\n

2022<\/strong><\/p>\n

“Robust Testing of Time Trend and Mean with Unknown Integration Order Errors,<\/a>” (with Seong Yeon Chang and Jiawen Xu), Journal of Statistical Computation and Simulation <\/em>92 (2022), 3561-3582.
\n“Structural Change Tests under Heteroskedasticity: Joint Estimation versus Two-Steps Methods,” (with Yohei Yamamoto), Journal of Time Series Analysis<\/em> 43 (2022), 389-411.
\n“The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence,” (with Yohei Yamamoto), Empirical Economics<\/em> 62 (2022), 1193-1218.
\n“Generalized Laplace Inference in Multiple Change-Points Models” (with Alessandro Casini), Econometric Theory<\/em> 38, 35-65 (with supplement).
\n“A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models,” (with Mohitosh Kejriwal and Xuewen Xu), Journal of Time Series Analysis<\/em> 43 (2022), 219-237.<\/p>\n

2021<\/strong><\/p>\n

\u00a0<\/span>“<\/span>Disentangling the Trend in the Warming of Urban Areas into Global and Local Factors<\/a>,” (with Francisco Estrada),\u00a0<\/span>Annals of the New York Academy of Science<\/em>\u00a01504 (2021), 230-246.<\/span>
\n“Continuous Record Laplace-based Inference about the Break Date in Structural Change Models.” (with Alessandro Casini), Journal of Econometrics<\/em> 224, 3-21 (with online supplement).
\n“Regional Anthropogenic Influence in Observed Warming Trends and the Implied Social Time of Emergence<\/a>,” (with Francisco Estrada and Dukpa Kim), Nature Communications Earth & Environment 2:31 (2021) (with Supplement).
\n“Spatial Variations in the Warming Trend and the Transition to More Severe Weather in Midaltitudes<\/a>,” (with Francisco Estrada and Dukpa Kim),\u00a0<\/span>Scientific Reports<\/em>\u00a011:145 (2021) (with Supplement).<\/span>
\n“Testing for Changes in Forecasting Performance,” (with Yohei Yamamoto), Journal of Business and Economic Statistics<\/em> 39 (2021), 148-165 (with online supplement).<\/p>\n

2020<\/strong><\/p>\n

“Temporal Aggregation and Long Memory for Asset Price Volatility<\/a>,” (with Wendong Shi), Journal of Risk and Financial Management<\/em> 13 (2020), 182, 1-18.
\n“Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series,” (with Mohitosh Kejriwal and Xuewen Xu), Journal of Time Series Analysis<\/em> 41 (2020), 696-690 (with online supplement).
\n“Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model<\/a>,” (with Yohei Yamamoto and Jing Zhou), Quantitative Economics<\/em> 11 (2020), 1019-1057 (with online supplement<\/a>). Note: Due to a minor error in coding, we have revised Table 13.\u00a0 The corrected version is here<\/a>. The changes are very minor and do not affect any of the conclusions.
\n“Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures” (with Dukpa Kim, Tatsushi Oka and Francisco Estrada), Journal of Econometrics<\/em> 214 (2020), 130-152.<\/p>\n

2019<\/strong><\/p>\n

“Breaks, Trends and the Attribution of Climate Change: a Time-series Analysis<\/a>” (with Francisco Estrada), Economia<\/em> 42 (2019), 1-31.
\n“Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model<\/a>,” (with Yohei Yamamoto), Econometrics<\/em> 7 (2019), 22 (with supplement available here<\/a>)
\n“Causality from Long-lived Radiative Forcings to the Climate Trend<\/a>” (with Francisco Estrada), Annals of the New York Academy of Sciences<\/em> 1436 (2019), 195-205.
\n“Structural Breaks in Time Series”. In Oxford Research Encyclopedia of Economics and Finance<\/em>. Oxford University Press, 2019 (with Alessandro Casini).
\n“A Test for Changes in a Polynomial Trend Function for a Dynamic Time Series,” in Time Series Econometrics: Volume 2: Structural Change<\/em>, (Perron, P., ed.), World Scientific, 2019, 1-65.<\/p>\n

2018<\/strong><\/p>\n

“A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models,” (with Seong Yeon Chang), Econometric Reviews<\/em> 37 (2018), 577-601.
\n“Testing for Common Breaks in a Multiple Equations System,” (with Tatsushi Oka), Journal of Econometrics<\/em> 204 (2018), 66-85.
\n“Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns” (with Rasmus T. Varneskov), Quantitative Finance<\/em> 18 (2018), 371-393 (with supplement).<\/p>\n

2017<\/strong><\/p>\n

“Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component,” (with Mototsugu Shintani and Tomoyoshi Yabu), Oxford Bulletin of Economics and Statistics<\/em> 79 (2017), 822-850.
\n“Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures” (with Francisco Estrada), Journal of Time Series Analysis<\/em> 38 (2017), 711-732.
\n“Characterizing and Attributing the Warming Trend in Sea and Land Surface Temperatures<\/a>,” (with Francisco Estrada and Luis Filipe Martins), Atmosfera<\/em> 30 (2017), 163-187.
\n“Modelling Exchange Rate Volatility with Random Level Shifts,” (with Ye Li and Jiawen Xu), Applied Economics<\/em> 49 (2017), 2579-2589.
\n“Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses<\/a>” (with Seong Yeon Chang), Econometrics<\/em> 5 (2017), 5, 1-26. Reprinted in Unit Root and Structural Breaks<\/em>, P. Perron (ed.). MPDI, Basel, Switzerland, 2018.
\n“Inference on Locally Ordered Breaks in Multiple Regressions,” (with Ye Li), Econometric Reviews<\/em> 36 (2017), 289-353.
\n“Editorial: Unit Roots and Structural Breaks,” Econometrics<\/em> 5 (2017), 22, 1-3.
\n“Editorial: Time Series Methods Applied to Climate Change,” (with Eduardo Zorita), Journal of Time Series Analysis 38 (2017), 69.<\/p>\n

2016<\/strong><\/p>\n

“Improved Tests for Forecast Comparisons in the Presence of Instabilities” (with Luis Filipe Martins), Journal of Time Series Analysis<\/em> 37 (2016), 650-659.
\n“Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data,” (with Tatsuma Wada), Research in Economics<\/em> 70 (2016), 281-303.
\n“Inference on a Structural Break in Trend with Fractionally Integrated Errors,” (with Seong Yeon Chang), Journal of Time Series Analysis<\/em> 37 (2016), 555-574.
\n“Residuals-based Tests for Cointegration with GLS Detrended Data,” (with Gabriel Rodr\u00edguez<\/span>), Econometrics Journal<\/em> 19 (2016), 84-111.
\n“On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests,” (with Yohei Yamamoto), Econometric Reviews<\/em> 35 (2016), 782-844.
\n“Comments on “In-sample Confidence Bands and Out-of-sample Forecast Bands for Time-varying Parameters in Observation Driven Models” (with Jiawen Xu), International Journal of Forecasting<\/em> 32 (2016), 891-892.<\/p>\n

2015<\/strong><\/p>\n

“Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors,” (with Yohei Yamamoto), Journal of Applied Econometrics<\/em> 30 (2015), 119-144.<\/p>\n

2014<\/strong><\/p>\n

“Modified Local Whittle Estimator for Long Memory Processes in the Presence of Low Frequency (and Other) Contaminations,” (with Jie Hou), Journal of Econometrics<\/em> 182 (2014), 309-328.
\n“Detection and Attribution of Climate Change Through Econometric Methods,” (with Francisco Estrada), Buletin de la Sociedad Matematica Mexicana<\/em> 20 (2014), 107-136.
\n“Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion,” (with Jiawen Xu), International Journal of Forecasting<\/em> 30 (2014), 449-463.
\n“A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS,” (with Yohei Yamamoto), Econometric Theory<\/em> 30 (2014), 491-507.<\/p>\n

2013<\/strong><\/p>\n

“Statistically-derived Contributions of Diverse Human Influences to 20th Century Temperature Changes” (with Francisco Estrada and Benjamin Martinez-L\u00f3pez), Nature Geoscience<\/em> 6 (2013), 1050-1055 (doi:10.1038\/ngeo1999 with Supplementary Material, 41 pages).
\n“Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions” (with Yohei Yamamoto), Econometrics Journal<\/em> 16 (2013), 400-429.
\n“A Stochastic Volatility Model with Random Level Shifts and its Application to S&P 500 and NASDAQ Return Indices,” (with Zhongjun Qu), Econometrics Journal<\/em> 16 (2013), 309-339.
\n“Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends” (with Adam McCloskey), Econometric Theory<\/em> 29 (2013), 1196-1237.
\n“A Time-series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s AR4<\/a>,” (with Francisco Estrada, Carlos Gay-Garc\u00eda and Benjam\u00edn Mart\u00ednez-L\u00f3pez), PLoS ONE<\/em> 8(3) (2013), e60017 (with supplement<\/a>).
\n“Wald Tests for Detecting Multiple Structural Changes in Persistence,” (with Mohitosh Kejriwal and Jing Zhou), Econometric Theory 29 (2013), 289-323.
\n“Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Returns,” (with Sungju Chun and Cosme Vodounou), Journal of Empirical Finance<\/em> 20 (2013), 42-62.
\n“Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run,” (with Sungju Chun), Applied Economics<\/em> 45 (2013), 3512-3528.<\/p>\n

2012<\/strong><\/p>\n

“A Note on Estimating a Structural Change in Persistence,” (with Mohitosh Kejriwal), Economics Letters<\/em> 117 (2012), 932-935.
\n“Testing for Trend in the Presence of Autoregressive Error: A Comment” (with Tomoyoshi Yabu), Journal of the American Statistical Association<\/em> 107 (2012), 844 (with online supplement<\/a>).<\/p>\n

2011<\/strong><\/p>\n

“On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance” (with Linxia Ren), Journal of Time Series Econometrics<\/em>, vol. 3 (Article 1) (2011), 1-32.
\nEditorial: “Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives” (with Richard Smith), The Econometrics Journal<\/em> 14.1 (2011), Ci-Ciii.<\/p>\n

2010<\/strong><\/p>\n

“Testing for Multiple Structural Changes in Cointegrated Regression Models,” (with Mohitosh Kejriwal), Journal of Business and Economic Statistics<\/em> 28 (2010), 503-522 (additional tables of critical values available here<\/a>).
\n“A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component,” (with Mohitosh Kejriwal), Journal of Time Series Analysis<\/em> 31 (2010), 305-328.
\n“Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices,” (with Zhongjun Qu), Journal of Business and Economic Statistics<\/em> (2010) 28, 275-290.
\n“Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model,” (with Yang K. Lu), Journal of Empirical Finance<\/em> 17 (2010), 138-156.<\/p>\n

2009<\/strong><\/p>\n

“GLS-based Unit Root Tests with Multiple Structural Breaks under both the Null and the Alternative Hypotheses,” (with Josep Llu\u00eds Carrion-i-Silvestre and Dukpa Kim), Econometric Theory<\/em> 25 (2009), 1754-1792.
\n“Let’s Take a Break: Trends and Cycles in U.S. Real GDP” (with Tatsuma Wada), Journal of Monetary Economics<\/em> 56 (2009), 749-765 (with online supplement).
\n“Testing for Shifts in Trend with an Integrated or Stationary Noise Component, (with Tomoyoshi Yabu), Journal of Business and Economic Statistics<\/em> 27 (2009), 369-396.
\n“Estimating Deterministic Trends with an Integrated or Stationary Noise Component” (with Tomoyoshi Yabu), Journal of Econometrics<\/em> 151 (2009), 56-69.
\n“Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope,” (with Dukpa Kim), Journal of Econometrics<\/em> 149 (2009), 26-51.
\n“Unit Root Tests Allowing for a Break in the Trend Function Under Both the Null and Alternative Hypotheses,” (with Dukpa Kim), Journal of Econometrics<\/em> 148 (2009), 1-13. Reprinted in Time Series Econometrics<\/em> (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.<\/p>\n

2008<\/strong><\/p>\n

“The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes,” (with Mohitosh Kejriwal), Journal of Econometrics<\/em> 146 (2008), 59-73.
\n“Data Dependent Rules for Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression” (with Mohitosh Kejriwal), Econometric Theory<\/em> 24 (2008), 1425-1441.
\n“The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions” (with Ai Deng), Econometric Theory<\/em> 24 (2008), 809-822.
\n“A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change” (with Ai Deng), Journal of Econometrics<\/em> 142 (2008), 212-240.
\n“Structural Change” in The New Palgrave Dictionary of Economics<\/em>, 2nd ed, S. Durlauf and L. Blume (eds.), 2008, Palgrave Macmillan. Also in Macroeconometrics and Time Series Analysis<\/em>, S. Durlauf and L. Blume (eds.), 2010, Palgrave Macmillan.<\/p>\n

2007<\/strong><\/p>\n

“A Modified Information Criterion for Cointegration Tests based on a VAR Approximation” (with Zhongjun Qu), Econometric Theory<\/em> 23 (2007), 638-685.
\n“Estimating and Testing Multiple Structural Changes in Multivariate Regressions” (with Zhongjun Qu), Econometrica<\/em> 75 (2007), 459-502 (with online supplement).
\n“A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests,” (with Zhongjun Qu), Economics Letters<\/em> 94 (2007), 12-19.<\/p>\n

2006<\/strong><\/p>\n

“A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend,” (with Ai Deng), Econometrics Journal<\/em> 9 (2006), 423-447.
\n“Estimating Restricted Structural Change Models,” (with Zhongjun Qu) Journal of Econometrics<\/em> 134 (2006), 373-399.
\n“Dealing with Structural Breaks,” in Palgrave Handbook of Econometrics, Vol. 1: Econometric Theory<\/em>, K. Patterson and T.C. Mills (eds.), Palgrave Macmillan, 2006, 278-352.\u00a0The working paper version available here<\/a>.<\/span>
\n“Multiple Structural Change Models: A Simulation Analysis,” in Econometric Theory and Practice: Frontiers of Analysis and Applied Research<\/em>, (with Jushan Bai), D. Corbea, S. Durlauf and B. E. Hansen (eds.), Cambridge University Press, 2006, 212-237.<\/p>\n

2005<\/strong><\/p>\n

“Structural Breaks with Stochastic and Deterministic Trends,” (with Xiaokang Zhu), Journal of Econometrics<\/em> 129 (2005), 65-119.
\n“The Variance Ratio Test: An Analysis of Size and Power based on a Continuous Time Asymptotic Framework,” (with Cosme Vodounou), Econometric Theory<\/em> 21 (2005), 562-592.
\n“A Note on the Selection of Time Series Models,” (with Serena Ng), Oxford Bulletin of Economics and Statistics<\/em> 67 (2005), 115-134.<\/p>\n

2004<\/strong><\/p>\n

“Tests of Return Predictability: An Analysis of Their Properties based on a Continuous Time Asymptotic Framework,” (with Cosme Vodounou), Journal of Empirical Finance<\/em>, 11 (2004), 203-230.<\/p>\n

2003<\/strong><\/p>\n

“Critical Values for Multiple Structural Change Tests,” (with Jushan Bai), Econometrics Journal<\/em> 6 (2003), 72-78. (extended set of tables available here<\/a>).
\n“GLS Detrending, Efficient Unit Root Tests and Structural Change,” (with Gabriel Rodr\u00edguez), Journal of Econometrics<\/em> 115 (2003), 1-27. Reprinted in Spanish as: “GLS para eliminiar los componentes determin\u00edsticos, estad\u00edsticos de ra\u00edz unitaria eficientes y cambio estructural,” Econom\u00eda<\/em> 35 (2012), 174-203.
\n“Searching for Additive Outliers in Nonstationary Time Series,” (with Gabriel Rodr\u00edguez<\/span>), Journal of Time Series Analysis<\/em> 24 (2003), 193-220.
\n“Computation and Analysis of Multiple Structural Change Models,” (with Jushan Bai), Journal of Applied Econometrics<\/em> 18 (2003), 1-22.
\n“Statistical Adequacy and the Testing of Trend versus Difference Stationarity: Some Comments,” Econometric Reviews<\/em> 22 (2003), 239-245.<\/p>\n

2002<\/strong><\/p>\n

“PPP May Not Hold After All: A Further Investigation,” (with Serena Ng), Annals of Economics and Finance<\/em> 3 (2002), 43-64.<\/p>\n

2001<\/strong><\/p>\n

“Lag Length Selection and the Construction of Unit Root Tests With Good Size and Power,” (with Serena Ng), Econometrica<\/em> 69 (2001), 1519-1554. Reprinted in Time Series Econometrics<\/em> (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.
\n“Asymptotic Approximations in the Near-Integrated Model with a Non-zero Initial Condition,” (with Cosme Vodounou) Econometrics Journal<\/em> 4 (2001), 143-169.<\/p>\n

2000<\/strong><\/p>\n

“A Look at the Quality of the Approximation of the Functional Central Limit Theorem,” (with Sylvie Mallet) Economics Letters<\/em> 68 (2000), 225-234.<\/p>\n

1999<\/strong><\/p>\n

“Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data,” (with Regina C. Cati and Marcio G.P. Garcia), Journal of Applied Econometrics<\/em> 14 (1999), 27-56.<\/p>\n

1998<\/strong><\/p>\n

“Additional Tests for a Unit Root Allowing the Possibility of Breaks in the Trend Function,” (with T.J. Vogelsang), International Economic Review<\/em> 39 (1998), 1073-1100. Reprinted in Recent Developments in Time Series<\/em> (P. Newbold and S.J. Leybourne, eds.), The International Library of Critical Writings in Econometrics (Series Editors: M. Blaug and A. Darnell), Edward Elgar Publishing (2003).
\n“An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests,” (with Serena Ng), Econometric Theory<\/em> 14 (1998), 560-603.
\n“Estimating and Testing Linear Models with Multiple Structural Changes,” (with Jushan Bai), Econometrica<\/em> 66 (1998), 47-78. Reprinted in The Economics of Structural Change<\/em> (H. Hagemann, M. Landesmann, and R. Scazzieri, eds.), The International Library of Critical Writings in Economics (Series Editor: Mark Blaug), Edward Elgar Publishing (2003). Also reprinted in Recent Developments in Time Series<\/em> (P. Newbold and S.L. Leybourne, eds.) The International Library of Critical Writings in Econometrics (Series Editors: Mark Blaug and Adrian Darnell), Edward Elgar Publishing (2003).<\/p>\n

1997<\/strong><\/p>\n

“L’estimation de mod\u00e8les avec changements structurels multiples”, Actualit\u00e9 \u00c9conomique<\/em> 73 (1997), 457-505 (special issue in honour of Lise Salvas Bronsard).
\n“Further Evidence from Breaking Trend Functions in Macroeconomic Variables,” Journal of Econometrics<\/em> 80 (1997), 355-385.
\n“Estimation and Inference in Nearly Unbalanced Nearly Cointegrated Systems,” (with Serena Ng), Journal of Econometrics<\/em> 79 (1997), 53-81.<\/p>\n

1996<\/strong><\/p>\n

“The Exact Error in Estimating the Spectral Density at the Origin,” (with Serena Ng), Journal of Time Series Analysis<\/em> 17 (1996), 379-408.
\n“Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties,” (with Serena Ng), Review of Economic Studies<\/em> 63 (1996), 435-463.
\n“An Analysis of the Real Interest Rate under Regime Shifts,” (with Ren\u00e9 Garcia), Review of Economics and Statistics<\/em> 78 (1996), 111-125.
\n“The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors,” Journal of Econometrics<\/em> 70 (1996), 317-350.
\n“The Effect of Linear Filters on Dynamic Time Series with Structural Change,” (with Eric Ghysels), Journal of Econometrics<\/em> 70 (1996), 69-97.<\/p>\n

1995<\/strong><\/p>\n

“Approximations to Some Exact Distributions in the First Order Autoregressive Model with Dependent Errors,” (with Seiji Nabeya), Econometric Reviews<\/em> 14 (1995), 421-457.
\n“Unit Root Tests in ARMA Models With Data Dependent Methods for Selection of the Truncation Lag,” (with Serena Ng), Journal of the American Statistical Association<\/em> 90 (1995), 268-281. Reprinted in Recent Developments in Time Series<\/em> (P. Newbold and S.J. Leybourne, eds.), The International Library of Critical Writings in Econometrics (Series Editors: M. Blaug and A. Darnell), Edward Elgar Publishing (2003).<\/p>\n

1994<\/strong><\/p>\n

“Local Asymptotic Distribution Related to the AR(1) Model with Dependent Errors,” (with Seiji Nabeya), Journal of Econometrics<\/em> 62 (1994), 229-264.
\n“Trend, Unit Root and Structural Change in Macroeconomic Time Series,” in Cointegration for the Applied Economist<\/em>, B.B. Rao (ed.), 1994, Basingstoke: Macmillan Press, 113-146.
\n“Nonstationarities and Nonlinearities in Canadian Inflation,” in Economic Behavior and Policy Choice under Price Stability<\/em>, Bank of Canada, 1994, 235-291 (Also available in french as “Non-stationnarit\u00e9s et non-lin\u00e9arit\u00e9s dans le processus d’inflation au Canada,” in Comportement des agents \u00e9conomiques et formulation des politiques en r\u00e9gime de stabilit\u00e9 des prix<\/em>, Banque du Canada, 1994, 267-327).<\/p>\n

1993<\/strong><\/p>\n

“A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model with Breaks,” (with T.J. Vogelsang), Revista de Econometria<\/em> 13 (1993), 181-201.
\n“A Note on Johansen’s Cointegration Procedure when Trends are Present,” (with John Y. Campbell), Empirical Economics<\/em> (special issue), 18 (1993), 777-789; Reprinted in New Developments in Time Series Econometrics<\/em>, J.-M. Dufour and B. Raj (eds.), Physica-Verlag Heidelberg, 221-233.
\n“The Humped Shaped Behavior of Macroeconomic Fluctuations,” Empirical Economics<\/em> 18 (1993) (special issue), 707-727; Reprinted in New Developments in Time Series Econometrics<\/em>, J.-M. Dufour and B. Raj (eds.), Physica-Verlag Heidelberg (1994), 151-171.
\n“The Great Crash, the Oil Price Shock and the Unit Root Hypothesis: Erratum,” (with T.J. Vogelsang) Econometrica<\/em> 61 (1993), 248-249.
\n“Racines Unitaires en Macro\u00e9conomie: Le Cas d’une Variable,” Actualit\u00e9 \u00c9conomique<\/em> 68 (1992), 325-356; Reprinted in Macro\u00e9conomie: D\u00e9veloppements R\u00e9cents<\/em>, P. Malgrange and L. Salvas-Bronsard (eds.), Presses de l’Universit\u00e9 du Qu\u00e9bec (1993).
\n“The Effect of Seasonal Adjustment Filters on Tests for a Unit Root,” (with Eric Ghysels) Journal of Econometrics<\/em> 55 (1993), 57-98 .
\n“Comments on: A Nine Variable Probabilistic Macroeconomic Forecasting Model by Christopher Sims,” in Business Cycles, Indicators and Forecasting<\/em>, J.H. Stock and M.W. Watson (eds.), NBER Studies in Business Cycles, Vol. 28 (1993), The University of Chicago Press, 204-212.<\/p>\n

1992<\/strong><\/p>\n

“Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions,” (with T.J. Vogelsang), Journal of Business and Economic Statistics<\/em> 10 (1992), 467-470.
\n“Racines Unitaires en Macro\u00e9conomie: Le Cas Multidimensionnel,” (with John Y. Campbell), Annales d’\u00c9conomie et de Statistique<\/em> 27 (1992), 1-50.
\n“The Limiting Distribution of the Least-Squares Estimator in Nearly Integrated Seasonal Models,” Canadian Journal of Statistics<\/em> 20 (1992), 121-134.
\n“Nonstationarity and Level Shifts with an Application to Purchasing Power Parity,” (with T.J. Vogelsang), Journal of Business and Economic Statistics<\/em> 10 (1992), 301-320.
\n“Trend, Unit Root and Structural Change: A Multi-Country Study with Historical Data,” Proceedings of the Business and Economic Statistics Section<\/em>, American Statistical Association, 1992, 144-149.<\/p>\n

1991<\/strong><\/p>\n

“Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,” NBER Macroeconomics Annual<\/em>, Vol. 6 (1991), O.J. Blanchard and S. Fisher (eds.) (with John Y. Campbell), 141-201.
\n“Test Consistency with Varying Sampling Frequency,” Econometric Theory<\/em> 7 (1991), 341-368.
\n“A Continuous Time Approximation to the Stationary First-order Autoregressive Model,” Econometric Theory<\/em> 7 (1991), 236-252.
\n“A Continuous Time Approximation to the Unstable First-order Autoregressive Model: the Case Without an Intercept,” Econometrica<\/em> 59 (1991), 211-236.<\/p>\n

1990<\/strong><\/p>\n

“Testing for a Unit Root in a Time Series Regression with a Changing Mean,” Journal of Business and Economic Statistics<\/em> 8 (1990), 153-162.
\n“Tests of Joint Hypotheses in Time Series Regression with a Unit Root,” in Advances in Econometrics: Co-integration, Spurious Regression and Unit Roots<\/em>, Vol. 8, G.F. Rhodes and T.B. Fomby (eds.), JAI Press (1990), 135-159.<\/p>\n

1989<\/strong><\/p>\n

“The Great Crash, the Oil Price Shock and the Unit Root Hypothesis,” Econometrica<\/em> 57 (1989), 1361-1401. Reprinted in Long Term Trends and Business Cycles<\/em> (T. C. Mills, ed.), The International Library of Critical Writings in Economics (Series Editor: Mark Blaug), Edward Elgar Publishing (2002). Reprinted in Time Series Econometrics<\/em> (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.
\n“The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model,” Econometric Theory<\/em> 5 (1989), 241-255.
\n“Testing for a Random Walk: A Simulation Experiment of Power when the Sampling Interval is Varied,” in Advances in Econometrics and Modeling<\/em>, Baldev Raj (ed.), Kluwer Academic Publisher (1989), 47-68.<\/p>\n

1988<\/strong><\/p>\n

“Testing for a Unit Root in Time Series Regression,” Biometrika<\/em> 75 (1988), 335-346 (with Peter C.B. Phillips). Reprinted in Time Series Econometrics<\/em> (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.
\n“Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach,” Journal of Economic Dynamics and Control<\/em> 12 (1988), 297-332.
\n“The Evolution of Poverty in Canada, 1970-1985,” Discussion Paper No. 343, Economic Council of Canada, February 1988 (with Fran\u00e7ois Vaillancourt).<\/p>\n

1987<\/strong><\/p>\n

“Does GNP Have a Unit Root? A Reevaluation,” Economics Letters<\/em> 23 (1987), 139-145 (with Peter C.B. Phillips).
\n“Macroeconomics and the Canadian Income-Security System: An Overview,” Discussion Paper No. 336, Economic Council of Canada, September 1987.<\/p>\n

1986<\/strong><\/p>\n

“Hypothesis Testing in Time Series Regression with a Unit Root,” PhD Thesis. Yale University.<\/p>\n

1985<\/strong><\/p>\n

“Testing the Random Walk Hypothesis: Power versus Frequency of Observation,” Economics Letters<\/em> 18 (1985), 381-386 (with Robert J. Shiller). Reprinted in The International Library of Financial Econometrics<\/em>, A.W. Lo and S.T. Harris (eds.), Edward Elgar Publishing Ltd (2007).<\/p>\n","protected":false},"excerpt":{"rendered":"

2026 “Continuous Record Asymptotics for Change-Point Models,” (with Alessandro Casini), Journal of Time Series Analysis 47, 506-525. 2025 “An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles,” (with Mohitosh Kejriwal and Linh Nguyen), Journal of Time Series Analysis 46 (2025), 867-883. “Synergies Between Observed Warming and ENSO Episodes on Extreme Events” (with […]<\/p>\n","protected":false},"author":8085,"featured_media":0,"parent":0,"menu_order":3,"comment_status":"closed","ping_status":"closed","template":"links.php","meta":[],"_links":{"self":[{"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/pages\/15"}],"collection":[{"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/users\/8085"}],"replies":[{"embeddable":true,"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/comments?post=15"}],"version-history":[{"count":50,"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/pages\/15\/revisions"}],"predecessor-version":[{"id":842,"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/pages\/15\/revisions\/842"}],"wp:attachment":[{"href":"https:\/\/blogs.bu.edu\/perron\/wp-json\/wp\/v2\/media?parent=15"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}