Benoit Perron

Professeur titulaire / Full professor

Département de sciences économiques/ Department of Economics

Université de Montréal

Directeur / Director, CIREQ

Fellow, CIRANO

Adresse postale / mailing address:

Dept. de sciences economiques
Universite de Montreal
C.P. 6128, succ. Centre-ville
Montreal, Quebec H3C 3J7 CANADA

Adresse physique (pour mesagerie) /

Street address (for courrier):

Dept. de sciences economiques
Universite de Montreal
Lionel-Groulx Building
3150, Jean-Brillant Street, C-6084
Montreal QC H3T 1N8 CANADA

Téléphone: (514) 343-2449
Fax: (514) 343-7221

Email: benoit.perron@umontreal.ca

CV (pdf)

Documents de travail / Working Papers

Bootstrapping Factor Models with Cross-sectional Dependence (with Silvia Gonçalves)

A Long-Horizon Perspective on the Cross-Section of Expected Returns (with Federico Bandi, René Garcia, and Abraham Lioui)

Publications

Tests of Equal Accuracy for Nested Models with Estimated Factors (with Silvia Gonçalves and Michael McCracken), Journal of Econometrics, 198:2, 2017, 231-252.

The Scale of Predictability (with Federico Bandi, Andrea Tamoni, and Claudio Tebaldi), Journal of Econometrics, forthcoming

Bootstrap prediction intervals for factor models (with Silvia Gonçalves and Antoine Djogbenou), Journal of Business and Economics Statsitics, 35:1, 2017, 53-69.

Bootstrap inference in regressions with estimated factors and serial correlation (with Antoine Djogbenou and Silvia Gonçalves), Journal of Time Series Analysis, 36:3, 2015, 481-502.

Incidental Parameters and Dynamic Panel Modeling (with H.R. Moon and P.C.B. Phillips), Handbook of Panel Data, edited by Badi Baltagi, Oxford University Press, 2015, 111-148.

Bootstrapping factor-augmented regression models (with Silvia Gonçalves), Journal of Econometrics, 82, 2014, 156-173..

Point Optimal Panel Unit Root Tests with Serially Correlated Errors (with Hyungsik Roger Moon and Peter C.B. Phillips), Econometrics Journal, forthcoming.

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Nonstationarity Properties of IndividualSeries in a Panel (with Hyungsik Roger Moon), Journal of Econometrics, 169,2012, 29-33.

Peter C.B. Phillips’ Contributions to Panel Data Methods (with Hyungsik RogerMoon), Econometric Theory, forthcoming

Long-run Risk-Return Trade-offs (with Federico Bandi), Journal of Econometrics, 143, 2008, 349-374.

Asymptotic Local Power of pooled t-ratio Tests for Unit Roots in Panels with Fixed Effects (with Hyungsik Roger Moon), Econometrics Journal, 11, 2008, 80-104

Incidental Trends and the Power of Panel Unit Root Tests (with Hyungsik Roger Moon and Peter C.B. Phillips), Journal of Econometrics, 141, 2007, 416-459 Appendix with additional proofs

Long Memory and the Relation Between Implied and Realized Volatility (with Federico Bandi), Journal of Financial Econometrics, 4, 2006, 636-670

An Empirical Analysis of Nonstationarity in a Panel of Interest Rates with Factors (with Hyungsik Roger Moon), Journal of Applied Econometrics, 22, 2007, 383-400

On the Breitung Test for Panel Unit Roots and Local Asymptotic Power (with Hyungsik Roger Moon and Peter C.B. Phillips), Econometric Theory, 22, 2006, 1179-1190. Unpublished appendix with further calculations

Efficient Estimation of the SUR Cointegration Regression Model and Testing for Purchasing Power Parity (with Hyungsik Roger Moon), Econometric Reviews, 23:4, February 2005, 293-323

Détection nonparamétrique des sauts dans la volatilité des marchés financiers, L'Actualité économique, 80 :2-3, 2004, 229-251 (formerly Jumps in the Conditional Variance of Financial Markets)

Testing for A Unit Root in Panels with Dynamic Factors (with Hyungsik Roger Moon), Journal of Econometrics, 122:1, September 2004, 81-126

Semi-parametric Weak Instrument Regressions with an Application to the Risk-Return Tradeoff, Review of Economics and Statistics, 85:2, May 2003, 424-443

The Shape of the Risk Premium : Evidence from a Semiparametric GARCH Model (with Oliver Linton - Journal of Business and Economic Statistics, 21:3, July 2003, 354-367

Code (Matlab)

Routine to compute the Moon, Perron et Phillips statistic robust to serial correlation (MPP 2012)

Routine to compute the Moon, Perron et Phillips statistic (JoE, 2007)

BP2.pdf

(437k)

Benoit Perron,

Dec 5, 2012, 1:34 PM

v.1

BPTTv27AltBiblio.pdf

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Benoit Perron,

Nov 24, 2017, 11:31 AM

v.1

FDR_110830_final.pdf

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Benoit Perron,

Dec 5, 2012, 1:29 PM

v.1

GMP-29August2016final_tables.pdf

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Benoit Perron,

Oct 6, 2016, 7:38 AM

v.1

GP2-may20-2015.pdf

(420k)

Benoit Perron,

Nov 24, 2017, 11:21 AM

v.1

cve-perron.pdf

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Benoit Perron,

Nov 24, 2017, 11:11 AM

v.3

longrun_6_22_07.pdf

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Benoit Perron,

Dec 5, 2012, 1:47 PM

v.1

moon&perron_final.pdf

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Benoit Perron,

Dec 5, 2012, 1:42 PM

v.1

serialcorrerror_v22.pdf

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Benoit Perron,

Dec 5, 2012, 1:21 PM

v.1