Access Statistics for Pentti Saikkonen

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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 2 3 7 29 3 6 20 79
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 1 1 6 945 6 15 48 2,149
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 3 10 95 1 15 41 264
A review of systemscointegration tests 1 2 6 10 3 5 13 584
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 1 171
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 1 313 0 0 2 699
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 1 20 0 0 4 46
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 5 37 0 2 12 191
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 195 1 2 14 503
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 44 1 1 13 218
Comparison of unit root tests for time series with level shifts 0 1 4 104 2 3 10 610
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 2 323 2 5 23 1,038
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 3 146 0 1 12 353
Forecasting with a noncausal VAR model 0 2 7 86 0 6 17 75
GMM Estimation with Noncausal Instruments 0 0 1 38 0 1 6 53
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 9 521
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 1 0 0 1 111
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 1 1 7 51 2 6 76 174
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 7 14 109 259 18 56 410 1,425
Modeling Conditional Skewness in Stock Returns 0 0 1 374 0 0 4 1,089
Modeling Expectations with Noncausal Autoregressions 0 0 2 42 0 1 7 92
Modeling Expectations with Noncausal Autoregressions 0 1 11 108 0 1 50 304
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 3 12 606
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 3 25 0 3 12 128
Noncausal Vector Autoregression 0 1 7 73 1 2 25 128
Noncausal autoregressions for economic time series 3 4 15 35 6 11 55 110
Noncausal vector autoregression 0 0 2 80 3 5 12 175
Nonlinear GARCH models for highly persistent volatility 0 0 2 76 2 3 13 344
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 13 1 2 4 48
Optimal Forecasting of Noncausal Autoregressive Time Series 1 2 5 73 1 5 13 120
Order selection in testing for the cointegrating rank of a VAR process 0 2 3 7 0 3 8 257
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 2 179 0 1 7 400
Parameter estimation in nonlinear AR-GARCH models 1 1 5 231 2 4 17 593
Parameter estimation in nonlinear AR-GARCH models 0 0 1 43 0 1 6 132
Parameter estimation in nonlinear AR–GARCH models 2 5 11 117 5 12 69 399
Reducing size distortions of parametric stationarity tests 0 0 1 5 0 0 3 58
Residual Autocorrelation Testing for Vector Error Correction Models 0 2 14 546 2 7 51 1,712
Stability of nonlinear AR-GARCH models 0 0 0 192 0 1 8 498
Stability of nonlinear AR-GARCH models 0 0 0 169 0 2 11 376
Stability of nonlinear AR-GARCH models 0 0 0 4 1 1 1 32
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 49 1 2 5 437
Supplementary appendix to "noncausal vector autoregression" 0 1 3 17 0 3 12 30
Test procedures for unit roots in time series with level shifts at unknown time 1 5 10 86 3 11 35 448
Testing for Predictability in a Noninvertible ARMA Model 0 1 3 35 1 5 33 101
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 6 402 0 2 17 746
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 71 1 1 5 307
Testing for a unit root in noncausal autoregressive models 0 0 37 37 3 5 31 31
Testing for predictability in a noninvertible ARMA model 0 1 9 65 1 2 20 91
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 3 127 0 3 9 337
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 119 1 2 7 248
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 9 208
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 1 120 1 2 8 255
Testing for the cointegrating rank of a VAR process with an intercept 0 1 5 9 0 6 14 180
Testing for the cointegrating rank of a VAR process with level shift at unknown time 1 1 4 97 1 2 15 443
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 9 13 1 2 11 240
Testing for unit roots in time series with level shifts 0 0 1 2 0 0 5 343
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 3 24 508
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 5 0 0 5 174
Unit root tests for time series with a structural break: When the break point is known 0 0 1 260 0 0 6 946
Unit root tests in the presence of innovational outliers 0 0 1 45 0 0 3 242
Total Working Papers 21 57 353 6,783 81 244 1,394 23,180


Journal Article 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 1 1 2 136 3 4 10 269
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 0 16
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 1 10 305 0 5 23 735
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 29 0 0 10 110
A note on the geometric ergodicity of a nonlinear AR-ARCH model 1 1 2 12 1 2 5 49
Asymptotic relative efficiency of the classical test statistics under misspecification 0 1 5 59 5 6 17 163
Asymptotically Efficient Estimation of Cointegration Regressions 2 4 25 243 4 6 47 357
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 11 1 1 5 56
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 4 60 1 4 14 135
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 0 0 0 21
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 9 90 0 4 22 220
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 2 13 0 0 2 25
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 1 6 0 0 2 24
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 2 32 0 0 5 76
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 9 41 0 3 22 75
Estimation of Cointegration Vectors with Linear Restrictions 0 0 3 18 0 0 4 32
Forecasting with a noncausal VAR model 1 3 3 3 2 12 12 12
GMM Estimation with Non‐causal Instruments 0 0 0 15 1 1 8 62
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 1 7 300 2 6 23 601
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 21 0 0 3 36
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 2 78 0 1 14 204
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 2 19 0 0 5 39
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 12 25 163 2,159
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 1 1 3 9 2 2 7 22
Modeling Conditional Skewness in Stock Returns 0 0 3 49 1 1 13 178
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 2 117
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 4 156
NONCAUSAL VECTOR AUTOREGRESSION 2 3 11 18 5 8 33 57
Non-linear GARCH models for highly persistent volatility 0 1 6 256 2 5 35 669
Noncausal Autoregressions for Economic Time Series 1 6 15 55 2 8 30 114
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 2 3 11 130
Optimal forecasting of noncausal autoregressive time series 0 2 7 19 0 4 16 51
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 24 0 3 15 66
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 13 0 0 2 37
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 1 15 0 1 6 59
Predicting U.S. Recessions with Dynamic Binary Response Models 3 8 32 165 7 20 71 361
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 3 17 1 1 6 64
Reducing size distortions of parametric stationarity tests 0 0 1 20 0 0 1 81
Residual autocorrelation testing for vector error correction models 1 8 34 115 13 38 154 447
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 1 1 1 42 1 1 3 84
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 1 3 8 39
Stability of nonlinear AR-GARCH models 0 0 0 19 0 1 2 77
Stability results for nonlinear error correction models 0 0 4 53 1 2 11 111
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 2 37 3 4 9 83
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 2 4 44 0 2 12 82
TESTS FOR NONLINEAR COINTEGRATION 0 0 4 50 0 0 11 107
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 5 187 0 1 13 489
Testing cointegration in infinite order vector autoregressive processes 0 1 3 62 0 1 8 153
Testing for Linear and Nonlinear Predictability of Stock Returns 1 2 4 4 1 6 14 14
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 10 409
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 3 46 1 2 8 123
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 2 13 404 1 3 23 1,189
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 13 388
Testing for the cointegrating rank of a VAR process with a time trend 0 2 11 119 0 3 16 291
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 4 28 1 1 19 124
Testing linearity in cointegrating smooth transition regressions 0 0 3 106 0 0 11 292
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 4 48 0 1 15 193
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 4 179
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 4 71 2 3 14 119
Total Journal Articles 16 52 281 3,660 80 210 1,046 12,631


Statistics updated 2014-09-03