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 0 0 2 39 0 3 10 119
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 0 5 34 2,243
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 1 4 104 0 5 20 330
A review of systemscointegration tests 1 1 3 23 4 9 22 627
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 2 4 180
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 2 2 4 327 3 5 10 729
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 0 0 8 59
Cointegrating smooth transition regressions with applications to the Asian currency crisis 2 2 6 46 3 5 23 233
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 3 203 3 6 14 532
Comparison of Unit Root Tests for Time Series with Level Shifts 0 2 2 2 1 6 6 6
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 1 2 2 48 2 6 16 245
Comparison of unit root tests for time series with level shifts 0 0 5 113 1 4 20 645
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 2 155 0 2 9 383
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 1 325 0 4 11 1,070
Forecasting with a noncausal VAR model 0 1 1 98 1 4 15 125
GMM Estimation with Noncausal Instruments 1 1 1 44 1 3 9 76
Identification and estimation of non-Gaussian structural vector autoregressions 2 3 28 91 1 9 67 140
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 2 10 544
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 3 1 3 7 132
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 1 60 0 1 7 237
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 9 26 120 610 40 94 505 2,923
Modeling Conditional Skewness in Stock Returns 0 0 2 377 0 2 12 1,108
Modeling Expectations with Noncausal Autoregressions 1 1 5 119 1 4 15 332
Modeling Expectations with Noncausal Autoregressions 0 0 2 47 0 1 8 109
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 3 7 626
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 32 1 4 11 149
Noncausal Vector Autoregression 1 1 4 87 1 4 14 166
Noncausal autoregressions for economic time series 0 0 7 64 1 9 28 191
Noncausal vector autoregression 1 1 1 84 1 2 9 210
Nonlinear GARCH models for highly persistent volatility 0 0 3 81 0 4 12 369
On the estimation of Euler equations in the presence of a potential regime shift 1 1 2 16 1 2 9 64
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 4 83 0 4 15 154
Order selection in testing for the cointegrating rank of a VAR process 0 2 7 26 1 5 12 288
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 1 6 418
Parameter estimation in nonlinear AR-GARCH models 0 0 0 46 0 1 5 158
Parameter estimation in nonlinear AR-GARCH models 1 2 2 236 1 4 13 633
Parameter estimation in nonlinear AR–GARCH models 0 0 5 134 1 5 25 501
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 2 5 71
Residual Autocorrelation Testing for Vector Error Correction Models 1 1 1 558 3 4 10 1,769
Stability of nonlinear AR-GARCH models 0 0 1 173 0 1 7 397
Stability of nonlinear AR-GARCH models 0 0 0 11 1 2 7 56
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 1 516
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 51 0 0 5 448
Supplementary appendix to "noncausal vector autoregression" 0 1 2 25 0 1 5 47
Test procedures for unit roots in time series with level shifts at unknown time 1 1 8 108 2 6 21 500
Testing for Predictability in a Noninvertible ARMA Model 0 0 1 42 0 3 17 152
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 2 408 1 3 9 770
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 73 1 2 9 321
Testing for a unit root in noncausal autoregressive models 1 4 7 52 1 5 15 87
Testing for predictability in a noninvertible ARMA model 0 0 0 71 0 4 11 124
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 129 1 3 6 273
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 1 1 133 2 5 9 394
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 4 7 232
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 1 132 1 3 9 286
Testing for the cointegrating rank of a VAR process with an intercept 0 1 1 20 1 3 8 220
Testing for the cointegrating rank of a VAR process with level shift at unknown time 2 4 7 108 3 7 22 479
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 5 25 1 4 19 273
Testing for unit roots in time series with level shifts 0 0 3 6 1 1 7 358
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 3 11 533
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 10 1 1 8 197
Unit root tests for time series with a structural break: When the break point is known 1 1 5 273 2 4 13 979
Unit root tests in the presence of innovational outliers 1 1 1 50 2 4 15 266
Total Working Papers 31 65 281 7,667 97 308 1,284 26,802


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 0 2 9 0 1 7 27
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 4 145 1 6 20 308
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 4 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 2 6 323 3 8 21 784
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 35 0 1 11 126
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 2 5 61
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 1 68 0 1 8 191
Asymptotically Efficient Estimation of Cointegration Regressions 2 4 23 307 5 8 49 491
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 0 2 4 66
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 2 71 3 5 17 178
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 1 2 6 33
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 96 1 4 16 252
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 16 1 2 10 41
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 3 31
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 33 0 2 7 91
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 7 52 0 2 17 102
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 1 2 10 46
Forecasting with a noncausal VAR model 0 1 2 12 0 2 10 45
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 2 7 76
Gaussian mixture vector autoregression 0 0 6 6 3 4 42 42
Identification and estimation of non-Gaussian structural vector autoregressions 0 2 2 2 4 15 15 15
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 4 308 1 3 18 640
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 2 25 0 0 6 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 1 3 8 229
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 20 2 3 10 52
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 7 17 48 2,323
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 1 12 0 2 8 37
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 2 12 197
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 8 137
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 5 167
NONCAUSAL VECTOR AUTOREGRESSION 1 2 6 32 1 4 15 127
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 1 7 705
Noncausal Autoregressions for Economic Time Series 0 2 7 72 0 6 20 157
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 6 148
Optimal forecasting of noncausal autoregressive time series 0 1 6 32 0 4 14 83
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 1 1 31 0 3 9 92
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 14 0 0 3 51
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 1 2 7 68
Predicting U.S. Recessions with Dynamic Binary Response Models 3 4 16 220 6 11 46 476
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 0 0 10 83
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 7 89
Residual autocorrelation testing for vector error correction models 0 1 21 179 5 14 84 744
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 2 46 0 1 10 100
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 0 3 53
Stability of nonlinear AR-GARCH models 0 0 0 20 0 0 7 93
Stability results for nonlinear error correction models 0 0 0 57 0 1 13 134
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 39 3 8 33 126
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 47 1 3 11 105
TESTS FOR NONLINEAR COINTEGRATION 0 1 8 68 1 6 30 170
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 3 194 1 2 9 514
Testing cointegration in infinite order vector autoregressive processes 0 1 2 67 2 4 18 180
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 15 0 3 10 51
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 3 3 0 1 18 20
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 12 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 1 3 53 2 4 14 152
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 1 1 3 417 2 4 16 1,224
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 3 12 415
Testing for the cointegrating rank of a VAR process with a time trend 1 1 4 130 2 7 20 338
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 5 34 1 3 18 158
Testing linearity in cointegrating smooth transition regressions 0 0 1 113 2 4 22 333
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 49 0 1 9 213
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 2 8 198
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 76 0 0 8 134
Total Journal Articles 9 28 161 4,137 65 204 941 14,831


Statistics updated 2017-04-03