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 1 7 120
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 0 0 14 2,243
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 4 107 0 0 13 336
A review of systemscointegration tests 0 2 4 26 0 2 14 631
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 2 180
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 4 329 0 1 11 733
Cointegrated vector autoregressive processes with continuous structural changes 0 1 1 22 0 1 3 60
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 3 7 49 2 4 15 238
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 1 203 0 1 9 533
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 3 3 0 1 8 8
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 2 48 0 0 9 245
Comparison of unit root tests for time series with level shifts 0 0 3 115 0 0 9 647
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 3 383
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 325 0 1 5 1,071
Forecasting with a noncausal VAR model 0 0 2 99 0 0 5 126
GMM Estimation with Noncausal Instruments 0 0 1 44 0 2 7 79
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 12 94 0 2 38 149
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 2 7 549
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 4 0 0 5 133
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 1 60 0 1 6 239
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 3 27 101 667 18 75 376 3,127
Modeling Conditional Skewness in Stock Returns 0 0 2 378 0 0 5 1,109
Modeling Expectations with Noncausal Autoregressions 0 0 2 119 0 0 8 333
Modeling Expectations with Noncausal Autoregressions 0 0 2 48 0 0 4 111
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 3 626
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 32 2 6 20 161
Noncausal Vector Autoregression 0 2 8 92 0 2 16 173
Noncausal autoregressions for economic time series 1 2 9 70 2 4 24 201
Noncausal vector autoregression 0 0 2 85 0 0 7 213
Nonlinear GARCH models for highly persistent volatility 0 0 1 82 0 1 9 372
On the estimation of Euler equations in the presence of a potential regime shift 0 0 1 16 0 0 3 64
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 4 85 1 3 14 160
Order selection in testing for the cointegrating rank of a VAR process 0 1 5 27 0 1 11 292
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 2 418
Parameter estimation in nonlinear AR-GARCH models 0 0 2 236 0 0 9 635
Parameter estimation in nonlinear AR-GARCH models 0 0 1 47 0 0 2 159
Parameter estimation in nonlinear AR–GARCH models 0 1 4 136 1 3 16 506
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 0 3 72
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 3 560 0 1 10 1,774
Stability of nonlinear AR-GARCH models 0 0 0 173 0 1 3 398
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 0 4 56
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 51 0 0 4 449
Supplementary appendix to "noncausal vector autoregression" 0 0 2 25 0 0 3 48
Test procedures for unit roots in time series with level shifts at unknown time 0 0 3 108 1 4 15 507
Testing for Predictability in a Noninvertible ARMA Model 1 1 3 44 1 1 13 154
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 408 1 1 6 773
Testing for a unit root in a time series with a level shift at unknown time 0 0 1 73 0 0 7 323
Testing for a unit root in noncausal autoregressive models 0 0 6 53 1 1 13 91
Testing for predictability in a noninvertible ARMA model 0 0 0 71 0 0 7 125
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 129 0 0 4 273
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 2 134 0 1 6 395
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 4 232
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 1 1 133 1 2 6 289
Testing for the cointegrating rank of a VAR process with an intercept 0 0 2 21 0 0 4 221
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 3 10 113 0 3 20 487
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 2 27 0 1 8 275
Testing for unit roots in time series with level shifts 0 0 1 6 0 1 7 360
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 1 12 537
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 10 0 0 3 199
Unit root tests for time series with a structural break: When the break point is known 0 0 4 274 0 1 10 982
Unit root tests in the presence of innovational outliers 0 1 2 51 0 2 10 270
Total Working Papers 7 49 234 7,782 31 135 901 27,169


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 2 11 0 1 6 31
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 6 148 0 2 16 312
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 0 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 1 4 324 1 3 16 791
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 36 0 0 7 128
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 0 2 61
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 68 0 1 2 192
Asymptotically Efficient Estimation of Cointegration Regressions 0 7 26 325 4 16 47 521
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 0 0 2 66
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 2 7 77 1 2 29 199
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 0 0 3 34
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 96 0 0 6 252
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 0 3 41
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 0 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 0 5 94
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 3 53 2 3 10 107
Estimation of Cointegration Vectors with Linear Restrictions 0 1 2 20 0 1 4 48
Forecasting with a noncausal VAR model 0 1 3 14 0 2 8 49
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 1 3 77
Gaussian mixture vector autoregression 0 1 2 7 1 5 29 52
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 5 5 1 4 30 30
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 3 310 0 1 7 643
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 25 0 0 0 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 1 1 83 0 1 6 231
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 21 1 1 5 54
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 5 8 44 2,342
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 12 0 0 4 37
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 1 5 199
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 2 137
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 3 167
NONCAUSAL VECTOR AUTOREGRESSION 0 0 7 34 1 4 20 136
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 1 4 707
Noncausal Autoregressions for Economic Time Series 0 0 7 75 0 0 16 162
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 0 148
Optimal forecasting of noncausal autoregressive time series 0 0 5 33 0 2 12 86
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 1 1 2 32 1 1 8 94
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 15 0 1 3 53
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 3 68
Predicting U.S. Recessions with Dynamic Binary Response Models 0 1 12 226 2 3 34 488
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 1 1 2 19 1 1 4 85
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 1 89
Residual autocorrelation testing for vector error correction models 0 2 12 184 2 14 61 769
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 1 2 47 0 1 8 103
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 1 2 10 0 1 2 55
Stability of nonlinear AR-GARCH models 0 0 0 20 0 0 3 93
Stability results for nonlinear error correction models 0 0 0 57 0 0 4 135
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 39 1 1 19 128
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 1 48 0 0 7 107
TESTS FOR NONLINEAR COINTEGRATION 0 1 5 71 0 1 20 176
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 194 1 1 6 515
Testing cointegration in infinite order vector autoregressive processes 0 1 3 69 1 2 10 184
Testing for Linear and Nonlinear Predictability of Stock Returns 1 1 1 16 2 2 6 53
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 3 0 0 7 21
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 0 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 53 0 0 7 152
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 2 417 0 0 9 1,225
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 6 417
Testing for the cointegrating rank of a VAR process with a time trend 0 3 8 136 0 3 16 346
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 1 5 37 2 4 15 165
Testing linearity in cointegrating smooth transition regressions 0 0 1 113 0 2 14 338
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 49 0 0 3 213
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 5 199
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 76 0 1 5 135
Total Journal Articles 5 31 151 4,222 30 99 642 15,080


Statistics updated 2017-10-05