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 1 2 5 39 2 6 17 113
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 951 2 9 37 2,217
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 2 4 102 3 8 24 316
A review of systemscointegration tests 0 2 3 21 3 6 13 609
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 2 6 177
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 1 1 5 324 2 2 9 721
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 1 21 1 3 7 53
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 2 2 41 2 8 16 216
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 1 1 3 201 3 5 11 522
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 46 1 3 11 232
Comparison of unit root tests for time series with level shifts 0 2 3 109 2 7 17 631
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 324 4 4 13 1,063
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 1 2 5 154 2 6 18 378
Forecasting with a noncausal VAR model 0 0 3 97 0 5 19 112
GMM Estimation with Noncausal Instruments 0 0 3 43 0 4 8 70
Identification and estimation of non-Gaussian structural vector autoregressions 4 7 33 70 6 13 62 83
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 2 2 13 536
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 3 0 2 11 127
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 2 59 1 5 35 232
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 17 60 170 529 93 240 693 2,585
Modeling Conditional Skewness in Stock Returns 0 0 1 375 2 3 8 1,098
Modeling Expectations with Noncausal Autoregressions 0 0 1 45 1 3 6 102
Modeling Expectations with Noncausal Autoregressions 0 0 2 114 0 3 7 319
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 7 619
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 2 31 0 1 5 138
Noncausal Vector Autoregression 0 0 4 83 1 4 16 154
Noncausal autoregressions for economic time series 1 2 9 58 1 9 30 168
Noncausal vector autoregression 0 0 1 83 1 1 17 202
Nonlinear GARCH models for highly persistent volatility 1 1 2 79 1 4 11 359
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 1 2 2 15 1 2 7 56
Optimal Forecasting of Noncausal Autoregressive Time Series 1 1 4 80 2 5 14 143
Order selection in testing for the cointegrating rank of a VAR process 0 1 6 20 0 4 12 278
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 3 11 414
Parameter estimation in nonlinear AR-GARCH models 0 1 1 234 3 5 19 624
Parameter estimation in nonlinear AR-GARCH models 0 1 2 46 1 2 9 154
Parameter estimation in nonlinear AR–GARCH models 0 3 10 131 4 14 47 485
Reducing size distortions of parametric stationarity tests 0 0 0 6 1 1 8 67
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 2 557 0 3 15 1,761
Stability of nonlinear AR-GARCH models 0 0 0 193 1 1 10 516
Stability of nonlinear AR-GARCH models 0 0 2 172 1 3 12 392
Stability of nonlinear AR-GARCH models 0 1 4 11 0 3 13 51
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 50 0 2 4 444
Supplementary appendix to "noncausal vector autoregression" 0 0 2 23 0 2 6 42
Test procedures for unit roots in time series with level shifts at unknown time 3 3 9 103 4 7 24 485
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 41 2 5 15 138
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 1 1 2 407 3 4 11 765
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 0 3 8 315
Testing for a unit root in noncausal autoregressive models 0 0 1 45 0 2 21 73
Testing for predictability in a noninvertible ARMA model 0 0 0 71 1 5 9 116
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 129 0 2 9 267
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 132 0 4 27 388
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 11 226
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 2 4 132 2 5 11 281
Testing for the cointegrating rank of a VAR process with an intercept 0 0 4 19 1 4 18 215
Testing for the cointegrating rank of a VAR process with level shift at unknown time 1 1 1 102 1 3 9 460
Testing for the cointegrating rank of a VAR process with structural shifts 2 3 6 23 3 6 13 259
Testing for unit roots in time series with level shifts 1 2 2 5 1 2 7 353
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 2 9 523
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 8 0 2 9 190
Unit root tests for time series with a structural break: When the break point is known 0 0 4 268 0 4 13 968
Unit root tests in the presence of innovational outliers 0 0 3 49 2 4 10 254
Total Working Papers 39 108 344 7,460 171 485 1,568 25,855


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 0 1 6 8 1 3 17 22
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 4 141 1 3 16 291
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 1 9 1 3 5 22
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 5 317 3 5 20 768
A lag augmentation test for the cointegrating rank of a VAR process 0 0 1 33 2 3 5 118
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 2 3 6 58
Asymptotic relative efficiency of the classical test statistics under misspecification 0 1 4 67 1 4 16 186
Asymptotically Efficient Estimation of Cointegration Regressions 2 6 22 290 4 12 57 453
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 13 1 2 4 63
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 2 69 3 6 14 166
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 1 3 5 29
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 1 1 1 96 4 7 11 242
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 16 3 3 6 34
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 1 2 4 29
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 1 1 33 2 4 7 87
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 2 4 47 1 3 9 88
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 1 3 5 39
Forecasting with a noncausal VAR model 1 2 4 11 2 3 14 37
GMM Estimation with Non‐causal Instruments 0 0 2 17 2 3 6 71
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 3 304 2 6 21 627
Infinite-Order Cointegrated Vector Autoregressive Processes 1 1 1 24 3 4 9 51
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 1 3 9 223
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 1 2 2 44
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 5 10 48 2,284
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 1 1 1 12 3 3 7 32
Modeling Conditional Skewness in Stock Returns 0 0 1 51 2 3 8 188
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 2 12 131
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 1 3 6 163
NONCAUSAL VECTOR AUTOREGRESSION 0 0 4 26 1 2 26 113
Non-linear GARCH models for highly persistent volatility 0 0 0 258 3 4 11 702
Noncausal Autoregressions for Economic Time Series 0 3 9 67 1 6 18 142
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 3 3 13 145
Optimal forecasting of noncausal autoregressive time series 0 0 2 26 2 2 9 71
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 1 3 30 1 6 10 85
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 14 1 3 5 49
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 2 2 2 63
Predicting U.S. Recessions with Dynamic Binary Response Models 3 8 27 210 6 17 51 442
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 2 4 75
Reducing size distortions of parametric stationarity tests 0 0 0 20 1 1 2 83
Residual autocorrelation testing for vector error correction models 2 9 23 166 9 30 88 684
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 1 1 45 1 4 5 93
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 2 2 4 52
Stability of nonlinear AR-GARCH models 0 0 0 20 2 3 9 88
Stability results for nonlinear error correction models 0 0 0 57 2 4 7 125
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 38 1 2 6 95
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 2 47 3 4 10 97
TESTS FOR NONLINEAR COINTEGRATION 0 1 4 61 4 9 21 147
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 191 2 4 8 507
Testing cointegration in infinite order vector autoregressive processes 1 1 1 66 2 5 9 167
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 5 15 2 4 13 45
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 0 2 5 6 6
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 3 7 421
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 4 51 2 4 13 141
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 2 415 2 4 9 1,212
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 1 8 404
Testing for the cointegrating rank of a VAR process with a time trend 0 0 5 126 1 5 21 322
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 1 30 1 4 11 144
Testing linearity in cointegrating smooth transition regressions 0 2 3 112 3 9 16 316
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 49 3 5 11 208
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 6 191
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 74 2 4 8 129
Total Journal Articles 12 47 166 4,012 127 275 796 14,110


Statistics updated 2016-06-03