Benoit Perron

Associate professor, Economics department,University of Montreal

Research fellow, CIREQ

Researcher, CIRANO
Mailing address:

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

 Street address (for courrier):

 Department of Economics                         Universite de Montreal
Lionel-Groulx Building
3150, Jean-Brillant Street, C-6022
Montreal QC H3T 1N8                                  CANADA
Phone: (514) 343-2126
Fax: (514) 343-5831		  

CV (pdf)
 

version française


Unpublished manuscripts

Long Memory and the Relation Between Implied and Realized Volatility (with Federico Bandi), July 2006.

Asymptotic Local Power of pooled t-ratio Tests for Unit Roots in Panels with Fixed Effects (with Hyungsik Roger Moon), Dec. 2005

Published articles

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

An Empirical Analysis of Nonstationarity in a Panel of Interest Rates with Factors (with Hyungsik Roger Moon), forthcoming, Journal of Applied Econometrics.

On the Breitung Test for Panel Unit Roots and Local Asymptotic Power (with Hyungsik Roger Moon et Peter C.B. Phillips), January 2006. Forthcoming in Econometric Theory Notes and Problems.            Unpublished appendix with further calculations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 (formerly Jumps in the Conditional Variance of Financial Markets - forthcoming in a special issue of L'Actualité économique in honor of Marcel Dagenais), Dec. 2003.

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)

Code for simulations of panel unit root tests with dynamic factors

Routine to compute the Moon, Perron et Phillips statistic