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 1 4 26 2 7 17 75
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 2 6 944 6 17 44 2,140
A note on the geometric ergodicity of a nonlinear AR–ARCH model 2 3 11 94 7 15 40 256
A review of systemscointegration tests 1 2 6 9 2 3 15 581
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 2 313 0 0 5 699
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 1 20 0 2 4 46
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 2 6 37 2 5 13 191
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 195 1 2 13 502
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 44 0 1 12 217
Comparison of unit root tests for time series with level shifts 1 1 5 104 1 2 10 608
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 2 323 1 7 20 1,034
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 3 146 0 4 15 352
Forecasting with a noncausal VAR model 0 0 13 84 3 3 23 72
GMM Estimation with Noncausal Instruments 0 0 1 38 0 2 8 52
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 2 8 520
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 1 0 1 1 111
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 2 12 50 3 18 86 171
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 3 30 115 248 21 123 429 1,390
Modeling Conditional Skewness in Stock Returns 0 0 5 374 0 3 10 1,089
Modeling Expectations with Noncausal Autoregressions 0 0 2 42 1 2 7 92
Modeling Expectations with Noncausal Autoregressions 1 1 13 108 1 9 56 304
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 9 603
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 3 25 2 5 11 127
Noncausal Vector Autoregression 0 0 6 72 0 3 28 126
Noncausal autoregressions for economic time series 0 0 13 31 3 13 50 102
Noncausal vector autoregression 0 2 2 80 1 3 12 171
Nonlinear GARCH models for highly persistent volatility 0 0 2 76 0 1 12 341
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 13 1 2 3 47
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 5 71 1 4 15 116
Order selection in testing for the cointegrating rank of a VAR process 2 2 4 7 2 5 9 256
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 2 179 0 1 10 399
Parameter estimation in nonlinear AR-GARCH models 0 1 7 230 1 3 22 590
Parameter estimation in nonlinear AR-GARCH models 0 0 2 43 0 2 8 131
Parameter estimation in nonlinear AR–GARCH models 2 4 9 114 4 14 71 391
Reducing size distortions of parametric stationarity tests 0 0 1 5 0 1 5 58
Residual Autocorrelation Testing for Vector Error Correction Models 1 5 14 545 4 17 51 1,709
Stability of nonlinear AR-GARCH models 0 0 0 192 1 2 8 498
Stability of nonlinear AR-GARCH models 0 0 1 169 1 2 13 375
Stability of nonlinear AR-GARCH models 0 0 0 4 0 0 3 31
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 1 1 49 1 2 4 436
Supplementary appendix to "noncausal vector autoregression" 1 1 3 17 3 4 12 30
Test procedures for unit roots in time series with level shifts at unknown time 1 2 8 82 3 8 32 440
Testing for Predictability in a Noninvertible ARMA Model 1 1 5 35 2 9 32 98
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 3 7 402 2 7 18 746
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 71 0 0 4 306
Testing for a unit root in noncausal autoregressive models 0 5 37 37 0 6 26 26
Testing for predictability in a noninvertible ARMA model 1 2 15 65 1 3 27 90
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 3 127 1 2 7 335
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 119 0 0 8 246
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 2 9 208
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 2 120 1 1 11 254
Testing for the cointegrating rank of a VAR process with an intercept 0 2 5 8 0 5 10 174
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 3 96 1 3 16 442
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 8 12 0 1 9 238
Testing for unit roots in time series with level shifts 0 0 1 2 0 1 5 343
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 5 24 506
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 5 0 0 6 174
Unit root tests for time series with a structural break: When the break point is known 0 1 1 260 0 1 6 946
Unit root tests in the presence of innovational outliers 0 1 2 45 0 1 5 242
Total Working Papers 18 82 384 6,744 88 367 1,448 23,024


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 0 0 1 135 0 2 7 265
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 1 16
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 2 11 305 3 5 25 733
A lag augmentation test for the cointegrating rank of a VAR process 0 1 2 29 0 2 11 110
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 1 11 0 0 4 47
Asymptotic relative efficiency of the classical test statistics under misspecification 1 4 6 59 1 5 14 158
Asymptotically Efficient Estimation of Cointegration Regressions 2 9 33 241 2 14 56 353
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 11 0 2 4 55
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 4 60 2 4 13 133
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 1 4 9 90 3 7 23 219
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 3 13 0 0 3 25
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 1 6 0 1 3 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 1 5 76
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 3 11 41 3 10 28 75
Estimation of Cointegration Vectors with Linear Restrictions 0 0 4 18 0 1 6 32
GMM Estimation with Non‐causal Instruments 0 0 0 15 0 0 9 61
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 7 299 1 2 20 596
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 21 0 2 4 36
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 2 78 0 1 24 203
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 3 19 0 0 6 39
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 6 50 159 2,140
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 5 8 0 1 9 20
Modeling Conditional Skewness in Stock Returns 0 2 4 49 0 6 13 177
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 1 116
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 5 156
NONCAUSAL VECTOR AUTOREGRESSION 1 1 16 16 2 4 49 51
Non-linear GARCH models for highly persistent volatility 0 1 7 255 1 6 36 665
Noncausal Autoregressions for Economic Time Series 4 4 16 53 4 8 31 110
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 0 2 8 127
Optimal forecasting of noncausal autoregressive time series 0 0 6 17 1 3 21 48
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 24 1 2 15 64
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 1 1 15 1 4 6 59
Predicting U.S. Recessions with Dynamic Binary Response Models 4 8 38 161 7 14 74 348
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 2 4 17 0 3 6 63
Reducing size distortions of parametric stationarity tests 0 0 1 20 0 0 2 81
Residual autocorrelation testing for vector error correction models 5 15 35 112 15 51 150 424
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 41 0 1 2 83
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 1 1 8 2 4 7 38
Stability of nonlinear AR-GARCH models 0 0 0 19 0 0 2 76
Stability results for nonlinear error correction models 0 0 4 53 0 1 11 109
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 2 37 0 0 7 79
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 2 3 4 44 2 5 13 82
TESTS FOR NONLINEAR COINTEGRATION 0 1 4 50 0 4 13 107
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 7 187 1 3 16 489
Testing cointegration in infinite order vector autoregressive processes 1 1 3 62 1 2 9 153
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 2 2 3 7 11 11
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 5 13 409
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 5 46 1 2 9 122
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 4 11 402 0 6 21 1,186
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 1 14 388
Testing for the cointegrating rank of a VAR process with a time trend 1 1 10 118 1 3 18 289
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 5 28 0 4 22 123
Testing linearity in cointegrating smooth transition regressions 0 0 3 106 0 0 13 292
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 3 5 48 0 5 18 192
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 4 178
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 1 7 71 1 4 22 117
Total Journal Articles 23 75 311 3,631 65 271 1,098 12,486


Statistics updated 2014-07-03