Access Statistics for Pentti Saikkonen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 39 0 0 6 119
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 0 0 26 2,243
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 2 4 106 2 4 18 334
A review of systemscointegration tests 0 2 3 24 0 6 20 629
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 1 3 180
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 3 4 328 2 6 11 732
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 0 0 6 59
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 2 5 46 0 4 18 234
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 2 203 0 3 10 532
Comparison of Unit Root Tests for Time Series with Level Shifts 1 1 3 3 1 2 7 7
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 2 48 0 2 13 245
Comparison of unit root tests for time series with level shifts 2 2 6 115 2 3 16 647
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 325 0 0 7 1,070
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 155 0 0 5 383
Forecasting with a noncausal VAR model 0 1 2 99 0 2 14 126
GMM Estimation with Noncausal Instruments 0 1 1 44 0 2 7 77
Identification and estimation of non-Gaussian structural vector autoregressions 1 5 24 94 2 8 64 147
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 2 4 11 547
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 1 1 1 4 1 2 6 133
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 1 60 0 1 6 238
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 7 26 98 627 51 129 427 3,012
Modeling Conditional Skewness in Stock Returns 0 1 3 378 0 1 11 1,109
Modeling Expectations with Noncausal Autoregressions 0 1 5 119 0 1 13 332
Modeling Expectations with Noncausal Autoregressions 0 1 3 48 0 2 9 111
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 7 626
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 32 2 5 15 153
Noncausal Vector Autoregression 1 3 6 89 1 5 16 170
Noncausal autoregressions for economic time series 2 3 9 67 3 6 28 196
Noncausal vector autoregression 0 1 1 84 1 3 10 212
Nonlinear GARCH models for highly persistent volatility 0 1 3 82 0 2 12 371
On the estimation of Euler equations in the presence of a potential regime shift 0 1 1 16 0 1 8 64
Optimal Forecasting of Noncausal Autoregressive Time Series 1 1 4 84 2 3 14 157
Order selection in testing for the cointegrating rank of a VAR process 0 0 6 26 1 2 11 289
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 4 418
Parameter estimation in nonlinear AR-GARCH models 0 1 1 47 0 1 5 159
Parameter estimation in nonlinear AR-GARCH models 0 1 2 236 2 3 11 635
Parameter estimation in nonlinear AR–GARCH models 0 1 4 135 0 2 17 502
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 0 4 71
Residual Autocorrelation Testing for Vector Error Correction Models 1 3 3 560 1 7 12 1,773
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 0 516
Stability of nonlinear AR-GARCH models 0 0 0 11 0 1 5 56
Stability of nonlinear AR-GARCH models 0 0 1 173 0 0 5 397
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 51 0 1 5 449
Supplementary appendix to "noncausal vector autoregression" 0 0 2 25 0 1 6 48
Test procedures for unit roots in time series with level shifts at unknown time 0 1 5 108 1 4 17 502
Testing for Predictability in a Noninvertible ARMA Model 1 1 2 43 1 1 15 153
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 1 408 1 3 7 772
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 73 1 3 8 323
Testing for a unit root in noncausal autoregressive models 0 2 8 53 1 4 17 90
Testing for predictability in a noninvertible ARMA model 0 0 0 71 0 1 9 125
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 129 0 1 6 273
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 1 133 0 2 6 394
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 6 232
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 132 0 2 6 287
Testing for the cointegrating rank of a VAR process with an intercept 0 1 2 21 0 2 6 221
Testing for the cointegrating rank of a VAR process with level shift at unknown time 2 4 8 110 3 8 24 484
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 3 26 0 2 15 274
Testing for unit roots in time series with level shifts 0 0 1 6 0 2 6 359
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 3 13 536
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 10 1 3 9 199
Unit root tests for time series with a structural break: When the break point is known 0 1 5 273 0 3 12 980
Unit root tests in the presence of innovational outliers 0 1 1 50 0 3 13 267
Total Working Papers 21 79 255 7,715 87 274 1,124 26,979


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Gaussian Mixture Autoregressive Model for Univariate Time Series 1 1 2 10 3 3 8 30
A Multivariate Generalized Orthogonal Factor GARCH Model 1 1 5 146 1 2 18 309
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 2 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 6 323 2 6 19 787
A lag augmentation test for the cointegrating rank of a VAR process 0 1 3 36 0 1 9 127
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 0 3 61
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 1 68 0 0 5 191
Asymptotically Efficient Estimation of Cointegration Regressions 4 9 24 314 7 15 48 501
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 0 0 3 66
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 3 4 6 75 14 20 29 195
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 1 1 8 0 2 5 34
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 96 0 1 10 252
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 16 0 1 7 41
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 2 31
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 33 2 2 6 93
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 1 6 53 2 2 16 104
Estimation of Cointegration Vectors with Linear Restrictions 0 1 1 19 0 2 8 47
Forecasting with a noncausal VAR model 1 1 2 13 1 2 10 47
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 0 5 76
Gaussian mixture vector autoregression 0 0 4 6 2 7 42 46
Identification and estimation of non-Gaussian structural vector autoregressions 2 3 5 5 5 14 25 25
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 4 308 1 2 14 641
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 25 0 0 3 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 1 2 7 230
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 20 0 2 8 52
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 4 16 48 2,332
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 12 0 0 5 37
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 1 10 198
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 6 137
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 4 167
NONCAUSAL VECTOR AUTOREGRESSION 2 3 8 34 3 4 17 130
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 1 4 706
Noncausal Autoregressions for Economic Time Series 0 2 7 74 2 4 19 161
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 3 148
Optimal forecasting of noncausal autoregressive time series 1 1 7 33 1 1 13 84
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 1 31 0 1 8 93
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 14 0 0 2 51
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 1 5 68
Predicting U.S. Recessions with Dynamic Binary Response Models 3 6 13 223 4 12 40 482
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 1 1 18 0 1 9 84
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 6 89
Residual autocorrelation testing for vector error correction models 1 3 16 182 3 13 68 752
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 1 46 1 2 9 102
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 1 1 9 0 1 2 54
Stability of nonlinear AR-GARCH models 0 0 0 20 0 0 5 93
Stability results for nonlinear error correction models 0 0 0 57 0 1 10 135
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 39 0 4 32 127
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 1 1 48 0 3 10 107
TESTS FOR NONLINEAR COINTEGRATION 1 2 9 70 2 4 26 173
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 3 194 0 1 7 514
Testing cointegration in infinite order vector autoregressive processes 0 0 1 67 1 3 14 181
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 0 15 0 0 6 51
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 3 3 0 1 15 21
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 10 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 2 53 0 2 11 152
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 2 417 0 3 13 1,225
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 1 11 415
Testing for the cointegrating rank of a VAR process with a time trend 1 4 7 133 2 7 21 343
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 1 5 35 2 3 16 160
Testing linearity in cointegrating smooth transition regressions 0 0 1 113 1 4 19 335
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 49 0 0 5 213
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 8 199
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 76 0 0 5 134
Total Journal Articles 23 50 164 4,178 68 182 834 14,948


Statistics updated 2017-06-02