Pìerre Perron

Possui graduação em Economia pela Mcgill University(1981), mestrado em Economia pela Queen s University(1982) e doutorado em Economia pela Yale University(1986). Atualmente é Professor da Boston University. Tem experiência na área de Economia, com ênfase em Métodos Quantitativos em Economia.

Informações coletadas do Lattes em 10/11/2022

Acadêmico

Formação acadêmica

Doutorado em Economia

1982 - 1986

Yale University
Título: Hypothesis testing in time series regression with a unit root
Orientador: não há

Mestrado em Economia

1981 - 1982

Queen s University
Orientador: não há

Graduação em Economia

1978 - 1981

McGill University

Idiomas

Inglês

Compreende Bem, Fala Bem, Lê Bem, Escreve Bem.

Português

Compreende Bem, Fala Razoavelmente, Lê Razoavelmente, Escreve Razoavelmente.

Francês

Compreende Bem, Fala Bem, Lê Bem, Escreve Bem.

Áreas de atuação

Grande área: Ciências Sociais Aplicadas / Área: Economia / Subárea: Métodos Quantitativos em Economia/Especialidade: Métodos e Modelos Matemáticos, Econométricos e Estatísticos.

Participação em eventos

Seminário Interno.Structural Breaks with Stochastic and Deterministic Trends. 2002. (Seminário).

. Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. 2000. (Congresso).

The 1998 Jacob Marschack Lecture of the Econometric Society. Computation and Analysis of Multiple Structural Change Models. 1998. (Congresso).

XX Encontro Brasileiro de Econometria. The FCLT with Dependent Errors: An Helicopter Tour of the Quality of the Approximation. 1998. (Congresso).

Latin American Meeting of the Econometric Society. GLS Detrending, Efficient Unit Root Tests and Structural Change. 1998. (Congresso).

.Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Returns,. 1998. (Seminário).

.Constructing Unit Root Tests with Good Size and Power,. 1997. (Seminário).

Harvard/MIT Econometric Workshop. An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests,. 1996. (Congresso).

. Estimation and Inference in Nearly Unbalanced Nearly Cointegrated Systems,. 1996. (Congresso).

. Estimating and Testing Linear Models with Multiple Structural Changes. 1996. (Congresso).

.Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data,. 1996. (Seminário).

XVII Encontro Brasileiro de Econometria. Unit Roots and Cointegration Issues With Strong Serial Correlation or Abrupt Governmental Interventions. 1995. (Congresso).

.Racines Unitaires: Quelques Développements Récents et Problèmes Non Résolus. 1995. (Seminário).

. Unit Root Tests in ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag,. 1993. (Congresso).

Congrès de la Société Canadienne de Sciences Économiques, UQAM,. Trend, Unit Root and Structural Change in Macroeconomic Time Series. 1993. (Congresso).

.Nonstationarities and Nonlinearities in Canadian Inflation. 1993. (Seminário).

5th Workshop on Time Series Econometrics, University of Sao Paulo.Useful Modifications to Some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties. 1993. (Seminário).

Meetings of the American Statistical Association.Trend, Unit Root and Structural Change: A Multi-Country Study with Historical Data. 1992. (Encontro).

Harvard-MIT Econometric Workshop. A Test for Changes in a Polynomial Trend Function for a Dynamic Time Series. 1991. (Congresso).

NBER Annual Macroeconomics Conference, Cambridge. Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots. 1991. (Congresso).

.Further Evidence from Breaking Trend Functions in Macroeconomic Variables. 1990. (Seminário).

.Nonstationarity and Level Shifts with an Application to Purchasing Power Parity. 1990. (Seminário).

. The Adequacy of Limiting Distributions in the AR(1) Model with Dependent Errors. 1989. (Congresso).

National Bureau of Economic Research Summer Workshop.An Analysis of the Real Interest Rate under Regime Shifts. 1989. (Seminário).

Congrès de la Société Canadienne de Sciences Économiques.Testing for a Unit Root in a Time Series Regression with a Changing Mean. 1988. (Seminário).

Montréal Econometric Workshop.The Great Crash, the Oil Price Shock and the Unit Root Hypothesis. 1987. (Oficina).

Produções bibliográficas

PERRON, P. ; BAI, J. . Computation and analysis of multiple structural change models. Journal Of Applied Econometrics, v. 18, p. 1-22, 2003.
PERRON, P. ; RODRIGUEZ, G. H. . Searching for additive outliers in nonstationary time series . Journal of Time Series Analysis , v. 24, p. 193-220, 2003.
PERRON, P. ; RODRIGUEZ, G. H. . GLs detrending, efficient unit root tests and structural change. Journal of Econometrics , v. 115, p. 1-27, 2003.
PERRON, P. ; BAI, J. . Critical values for multiple structural change tests. Econometrics Journal, v. 6, p. 239-245, 2003.
PERRON, P. . Statistical adequacy and the testing of trend versus difference stationarity: some comments. Econometrics Reviews, v. 22, p. 239-245, 2003.
PERRON, P. ; NG, S. . PPP may not hold after all: a further investigation . Annals Of Economics And Finance, v. 18, p. 43-64, 2002.
PERRON, P. ; VODOUNOU, C. . Asymptotic approximations in the near integrated model with a non zero initial condition. Econometrics Journal, v. 4, p. 143-169, 2001.
PERRON, P. ; NG, S. . Lag lenght selection and the construction of the unit root tests with size and power . Econometrica , v. 69, p. 1519-1554, 2001.
PERRON, P. ; MALLET, S. . A look at the quality of the approximation of the functional central limit theorem . Economics Letters , v. 68, p. 225-234, 2000.
PERRON, P. ; CATI, R. ; GARCIA, M. G. P. . Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data . Journal Of Applied Econometrics, v. 14, p. 27-56, 1999.
PERRON, P. ; NG, S. . An autoregressive spectral density estimator at frequency zero for nonstationarity tests. Econometric Theory , v. 14, p. 560-603, 1998.
PERRON, P. ; VOGELSANG, T. . Additional tests for unit root allowing the possibility of breaks in the trend function. International Economic Review (Philadelphia) , v. 39, p. 1073-1100, 1998.
PERRON, P. . Estimation and inference in nearly unbalanced nearty cointegrated systems. Journal of Econometrics , v. 79, p. 53-81, 1997.
PERRON, P. . Further evidence from breaking trend functions in macroeconomic varaibles . Journal of Econometrics , v. 80, p. 355-385, 1997.
PERRON, P. . L'estimation de modèles avec changements structurels multiples. Actualité Économique, v. 73, p. 457-505, 1997.
PERRON, P. ; GHYSELS, E. . The effect of linear filters on dynamic time series with structural change. Journal of Econometrics , v. 70, p. 69-97, 1996.
PERRON, P. . The adequacy of asymptoptic approximation in the near integrated autoregressive model with depedent errors. Journal of Econometrics , v. 70, p. 317-350, 1996.
PERRON, P. ; GARCIA, R. . Analysis of the real interest rate under regime shifts. Review Of Economics And Statistics, v. 78, p. 111-125, 1996.
PERRON, P. ; NG, S. . Useful modifications to some unit root with dependent errors and their local asymptotic properties. Review Of Economic Studies, v. 64, p. 435-463, 1996.
PERRON, P. . Useful modifications to some unit root tests with dependent errors and their local asymptotic properties . Review Of Economic Studies, v. 63, p. 435-463, 1996.
PERRON, P. . The exact error in estimating the spectral density at the origin . Journal of Time Series Analysis , v. 17, p. 378-408, 1996.
PERRON, P. ; NABEYA, S. . Approximations to some exact distributions in the first order autoregressive model with dependent errors. Econometric Reviews, v. 14, p. 421-457, 1995.
PERRON, P. . Local asymptotic distribution related to the AR(1) model with dependent errors. Journal of Econometrics , v. 62, p. 229-264, 1994.
PERRON, P. ; GHYSELS, E. . The effect of seasonal adjustment filters on tests for a unit root. Journal of Econometrics , v. 55, p. 57-98, 1993.
PERRON, P. . The great crash, the oil price and the unit root hypothesis: erratum. Econometrica , v. 61, p. 248-249, 1993.
PERRON, P. . The humped shaped behavior of macroeconomic fluctuations. Empirical Economics, v. 18, p. 707-727, 1993.
PERRON, P. . A note on Johansen´s cointegration procedure when trends are present. Empirical Economics, v. 18, p. 777-789, 1993.
PERRON, P. ; VOGELSANG, T. . A note on the additive outlier model with breaks. Revista de Econometria , v. 13, p. 181-201, 1993.
PERRON, P. ; VOGELSANG, T. . Nonstationarity and level shifts with an application to purchasing power parity . Journal Of Business And Economic Statistics, v. 10, p. 301-320, 1992.
PERRON, P. . The limiting distribution of the least squares estimator ina nearly integrated seasonal models. Canadian Journal of Statistics , v. 20, p. 121-134, 1992.
PERRON, P. ; CAMPBELL, J. Y. . Racines unitaires en macroeconomie: le cas multidimensionnel. Annales D'économie Et de Statistique, v. 27, p. 1-50, 1992.
PERRON, P. . Racines unitaires en macroeconomie: le cas d'une variable . Actualité Économique, v. 68, p. 325-356, 1992.
PERRON, P. . A continuous time approximation to the unstable first order autoregressive model: the case without an intercept. Econometrica , v. 59, p. 211-236, 1991.
PERRON, P. . A continuous time approximation to the stationary first order autoregressive model. Econometric Theory , v. 7, p. 236-252, 1991.
PERRON, P. . The consistency with varying sampling frequency. Econometric Theory , v. 7, p. 341-368, 1991.
PERRON, P. . Testing for a unit root in a time series regression with a changing mean. Journal Of Business And Economic Statistics, v. 8, p. 153-162, 1990.
PERRON, P. . The calculation of the limiting distribution of the least squaes estimator in a near integrayed model. Econometric Theory , v. 5, p. 241-255, 1989.
PERRON, P. . The great crash, the oil price shock and the unit hypothesis . Econometrica , v. 57, p. 1361-1401, 1989.
PERRON, P. . Trends and random walks in macroeconomic time series: futher evidence from a new approach. Journal Of Economic Dynamics And Control, v. 12, p. 297-332, 1988.
PERRON, P. ; PHILLIPS, P. C. B. . Testing for a unit root in time series regression . Biometrika (London) , v. 75, p. 335-346, 1988.
PERRON, P. ; PHILLIPS, P. C. B. . Does GNP have a unit root? A reevaluation. Economics Letters , v. 23, p. 139-145, 1987.
PERRON, P. ; SHILLER, R. . Testing the random walk hypothesis: power versus frequency of observation. Economics Letters , v. 18, p. 381-386, 1985.
PERRON, P. . Comments of: A nine variable probabilistic macroeconomic forecasting model by Christopher Sims. In: J H Stock; M W Watson. (Org.). Business cycles, indicators and forecasting. : The University of Chicago Press, 1993, v. 28, p. 204-212.
PERRON, P. . Trend, unit root and structural change: a multi-country study with historical data. In: American Statistical Association. (Org.). Proceedings of the Business and Economic Statistics Section. : American Statistical Association, 1992, v. , p. 144-149.
PERRON, P. ; CAMPBELL, J. Y. . Pitfalls and opportunities: what macroeconomists should know about unit roots. In: O J Blanchard; S Fisher. (Org.). NBER Macroeconomic Annual. : , 1991, v. 6, p. -.
PERRON, P. . Tests of the joint hypotheses in time series regression with a unit root . In: G F Rhodes; T B Fomby. (Org.). Advances in econometrics: co-integration, spurious regression and unit roots. : JAI Press, 1990, v. 8, p. 135-159.
PERRON, P. . Testing for a random walk: a simulation experiment of power when the sampling interval is varied. In: Baldev Raj. (Org.). Advances in Econometrics and Modeling. : Kluwer Academic Publisher, 1989, v. , p. 47-68.

Prêmios

1999

Highly cited reserarcher in the categories Mathematics and Business/Economics, ISI Thomson Scientific.

1996

Econometric Theory Multa Scripsit Award, .

1994

Pax Triennal de la Société canadienne de Sciences Économiques, .

1982

SSHRC Special MA Scholarship, Queen´s University Bursary.

Histórico profissional

Endereço profissional

Boston University, Department Of Economics. , 270 Bay State Road, 02215 - Boston, - Estados Unidos, URL da Homepage:

Experiência profissional

1997 - Atual

Boston University

Vínculo: Professor, Enquadramento Funcional: Professor, Carga horária: 0

Atividades

01/1997
Ensino, Economia, Nível: Graduação,Disciplinas ministradas, Econometrics
01/1997
Ensino, Economia, Nível: Pós-Graduação,Disciplinas ministradas, Advanced Econometrics, Time Series Econometrics

1995 - 1995

Pontifícia Universidade Católica do Rio de Janeiro

Vínculo: Professor Visitante, Enquadramento Funcional: Professor Visitante, Carga horária: 0

1985 - 1986

Universite de Montreal

Vínculo: Lecturer, Enquadramento Funcional: Lecturer, Carga horária: 0

Atividades

01/1995 - 12/1997
Direção e administração, Centre de Recherche Et Developpement En Économique, .,Cargo ou função, Director.
01/1992 - 12/1996
Ensino, Economia, Nível: Graduação,Disciplinas ministradas, Econometrics, Monetary theory
01/1992 - 12/1996
Ensino, Economia, Nível: Pós-Graduação,Disciplinas ministradas, Advanced Econometrics, Times Series Econometrics, Probability and Statistics, Macroeconomics, Topics in Econometrics
01/1993 - 12/1995
Direção e administração, Centre de Recherche Et Developpement En Économique, .,Cargo ou função, Assistent director.

1986 - 1992

Princeton University

Vínculo: Professor Assistente, Enquadramento Funcional: Professor Assistente, Carga horária: 0

Atividades

01/1988 - 01/1992
Ensino, Economia, Nível: Pós-Graduação,Disciplinas ministradas, Probability and statistics, Macroeconomics, Topics in Econometrics