Benoit Perron
Biographic Data
| ID | 8879631 |
|---|---|
| NAME | Benoit Perron |
| GIVEN NAMES | Benoit |
| FAMILY NAME | Perron |
| SIGNATURE | PERRON B |
| AFFILIATIONS | Université de Montréal |
| VERIFIED | No |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2003 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 0 |
Bootstrap Prediction Intervals for Factor Models
We propose bootstrap prediction intervals for an observation h periods into the future and its conditional mean. We assume that these forecasts are made using a set of factors extracted from a large panel of variables. Because we treat these factors as latent, our forecasts depend both on estimated factors and estimated regression coefficients. Under regularity conditions, asymptotic intervals have been shown to be valid under Gaussianity of the …
Testing for a unit root in panels with dynamic factors
The Shape of the Risk Premium
We examine the relationship between the risk premium on the Center for Research on Security Prices (CRSP) value-weighted index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric and the conditional mean is an arbitrary function of the conditional variance. For monthly CRSP value-weighted excess returns, the relationship between the two moments that we uncover is…
Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff
We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between instruments and disturbances. This framework is applicable to linear models with expectation variables that are estimated nonparametrically, such as the risk-return tradeoff in finance and the effect of inflation uncertainty on real economic activity. Our simulation evidence suggests tha…
No prominent works on this page.
The Shape of the Risk Premium
We examine the relationship between the risk premium on the Center for Research on Security Prices (CRSP) value-weighted index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric and the conditional mean is an arbitrary function of the conditional variance. For monthly CRSP value-weighted excess returns, the relationship between the two moments that we uncover is…
Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff
We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between instruments and disturbances. This framework is applicable to linear models with expectation variables that are estimated nonparametrically, such as the risk-return tradeoff in finance and the effect of inflation uncertainty on real economic activity. Our simulation evidence suggests tha…
Testing for a unit root in panels with dynamic factors
Bootstrap Prediction Intervals for Factor Models
We propose bootstrap prediction intervals for an observation h periods into the future and its conditional mean. We assume that these forecasts are made using a set of factors extracted from a large panel of variables. Because we treat these factors as latent, our forecasts depend both on estimated factors and estimated regression coefficients. Under regularity conditions, asymptotic intervals have been shown to be valid under Gaussianity of the …
Econometrics (4 works) · Mathematics (4 works) · Statistics (4 works) · Computer Science (3 works) · Monetary Policy and Economic Impact (3 works) · Economics (2 works) · Financial Risk and Volatility Modeling (2 works) · Statistical Methods and Inference (2 works) · Applied Mathematics (1 work) · Autoregressive conditional heteroskedasticity (1 work)