Pierre Perrón

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

We consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is «trend-stationary». The interest is th...

Testing the random walk hypothesis

Test Consistency with Varying Sampling Frequency

This paper considers the consistency property of some test statistics based on a time series of data. While the usual consistency criterion is based on keeping the sampling inte...

Estimation and inference in nearly unbalanced nearly cointegrated systems

Testing the Random Walk Hypothesis: Power versus Frequency of Observation

Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies ...

Testing for a unit root in time series regression

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 an...

Trends and random walks in macroeconomic time series