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 7 34 0 2 21 97
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 2 6 950 3 12 45 2,188
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 1 4 99 3 8 35 298
A review of systemscointegration tests 0 2 9 18 1 4 16 597
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 2 3 3 174
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 1 6 8 321 1 7 15 714
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 1 1 21 0 2 2 48
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 2 39 0 4 11 202
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 1 2 4 199 1 3 11 513
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 45 1 1 5 222
Comparison of unit root tests for time series with level shifts 0 1 2 106 0 3 7 615
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 323 1 3 15 1,051
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 3 149 1 1 8 361
Forecasting with a noncausal VAR model 1 2 9 95 1 5 21 96
GMM Estimation with Noncausal Instruments 0 2 3 41 0 3 10 63
Identification and estimation of non-Gaussian structural vector autoregressions 1 13 44 44 3 22 33 33
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 2 5 525
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 2 1 3 7 118
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 2 7 57 2 9 31 203
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 17 50 143 395 54 191 603 2,010
Modeling Conditional Skewness in Stock Returns 0 0 0 374 0 1 2 1,091
Modeling Expectations with Noncausal Autoregressions 0 2 4 112 0 2 8 312
Modeling Expectations with Noncausal Autoregressions 0 1 2 44 0 1 4 96
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 2 10 614
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 5 30 2 3 8 136
Noncausal Vector Autoregression 1 4 8 81 1 6 15 142
Noncausal autoregressions for economic time series 1 3 18 50 4 10 41 145
Noncausal vector autoregression 0 0 2 82 0 1 13 185
Nonlinear GARCH models for highly persistent volatility 0 0 1 77 0 0 6 348
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 13 0 1 3 50
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 4 76 0 1 11 130
Order selection in testing for the cointegrating rank of a VAR process 0 1 7 14 2 4 11 268
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 3 403
Parameter estimation in nonlinear AR-GARCH models 0 0 1 44 0 2 15 147
Parameter estimation in nonlinear AR-GARCH models 0 0 3 233 0 0 14 605
Parameter estimation in nonlinear AR–GARCH models 0 0 6 121 2 12 50 444
Reducing size distortions of parametric stationarity tests 0 0 1 6 0 4 5 63
Residual Autocorrelation Testing for Vector Error Correction Models 0 3 9 555 0 6 38 1,748
Stability of nonlinear AR-GARCH models 0 1 1 170 0 1 4 380
Stability of nonlinear AR-GARCH models 0 0 1 193 0 2 9 507
Stability of nonlinear AR-GARCH models 0 0 3 7 0 4 11 42
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 50 0 0 4 440
Supplementary appendix to "noncausal vector autoregression" 1 4 5 22 1 4 7 37
Test procedures for unit roots in time series with level shifts at unknown time 2 5 12 97 3 6 20 465
Testing for Predictability in a Noninvertible ARMA Model 0 0 6 41 0 3 24 124
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 2 4 406 0 3 10 756
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 0 2 3 309
Testing for a unit root in noncausal autoregressive models 0 3 8 45 2 8 28 56
Testing for predictability in a noninvertible ARMA model 0 1 6 71 0 2 18 108
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 2 5 132 1 11 30 367
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 8 127 0 2 11 258
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 3 8 216
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 2 8 128 0 4 16 270
Testing for the cointegrating rank of a VAR process with an intercept 0 1 6 15 0 3 17 197
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 5 101 0 3 11 453
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 4 17 1 3 8 247
Testing for unit roots in time series with level shifts 0 0 1 3 0 2 5 348
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 2 9 516
Trend adjustment prior to testing for the cointegrating rank of a VAR process 1 1 2 7 1 4 8 182
Unit root tests for time series with a structural break: When the break point is known 1 3 6 266 1 5 12 958
Unit root tests in the presence of innovational outliers 1 2 3 48 1 2 4 246
Total Working Papers 31 130 420 7,182 101 423 1,438 24,537


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 2 3 4 4 3 7 10 10
A Multivariate Generalized Orthogonal Factor GARCH Model 1 1 3 138 2 3 11 277
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 1 17
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 1 7 312 0 3 15 750
A lag augmentation test for the cointegrating rank of a VAR process 0 0 3 32 0 0 3 113
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 2 13 0 0 4 52
Asymptotic relative efficiency of the classical test statistics under misspecification 1 2 6 65 2 5 16 174
Asymptotically Efficient Estimation of Cointegration Regressions 2 7 31 272 3 15 53 406
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 12 0 1 5 60
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 7 67 0 2 20 154
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 7 0 0 3 24
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 5 95 0 3 12 232
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 2 15 0 0 3 28
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 1 7 0 0 1 25
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 32 0 2 5 81
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 2 43 1 1 5 80
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 0 0 2 34
Forecasting with a noncausal VAR model 0 1 6 8 0 4 17 27
GMM Estimation with Non‐causal Instruments 0 0 0 15 0 0 4 65
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 3 302 1 4 10 609
Infinite-Order Cointegrated Vector Autoregressive Processes 0 1 2 23 0 3 7 43
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 4 82 0 2 12 216
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 0 0 3 42
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 5 14 99 2,246
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 1 3 11 0 1 5 25
Modeling Conditional Skewness in Stock Returns 1 1 2 51 1 1 4 181
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 3 120
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 1 157
NONCAUSAL VECTOR AUTOREGRESSION 0 0 6 22 1 7 38 90
Non-linear GARCH models for highly persistent volatility 0 0 2 258 0 5 28 695
Noncausal Autoregressions for Economic Time Series 0 1 4 58 0 2 13 125
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 33 4 5 9 137
Optimal forecasting of noncausal autoregressive time series 1 2 6 25 1 3 13 64
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 1 1 4 28 2 4 12 78
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 13 0 0 7 44
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 1 16 0 0 2 61
Predicting U.S. Recessions with Dynamic Binary Response Models 1 2 23 185 1 9 43 397
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 0 1 9 72
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 0 81
Residual autocorrelation testing for vector error correction models 2 5 32 146 8 40 176 610
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 3 44 0 0 5 88
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 1 11 49
Stability of nonlinear AR-GARCH models 0 0 1 20 0 0 2 79
Stability results for nonlinear error correction models 0 0 4 57 0 0 8 118
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 38 1 2 11 91
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 1 45 0 1 6 88
TESTS FOR NONLINEAR COINTEGRATION 0 0 7 57 1 4 21 128
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 1 1 4 191 1 4 14 503
Testing cointegration in infinite order vector autoregressive processes 0 0 3 65 0 2 7 160
Testing for Linear and Nonlinear Predictability of Stock Returns 1 3 10 13 1 7 25 38
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 1 6 415
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 47 0 3 7 129
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 9 413 0 2 16 1,204
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 2 9 397
Testing for the cointegrating rank of a VAR process with a time trend 0 0 2 121 0 3 12 303
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 1 29 0 4 12 135
Testing linearity in cointegrating smooth transition regressions 0 0 3 109 0 3 9 301
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 48 0 0 4 197
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 8 186
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 1 72 0 1 5 122
Total Journal Articles 14 36 225 3,869 41 189 882 13,433


Statistics updated 2015-08-02