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 8 34 1 5 22 97
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 2 6 950 5 11 45 2,185
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 4 98 3 7 39 295
A review of systemscointegration tests 0 2 9 18 0 3 15 596
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 1 1 172
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 1 5 7 320 1 6 14 713
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 1 1 1 21 2 2 2 48
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 2 39 2 6 11 202
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 1 3 198 1 3 10 512
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 1 45 0 1 4 221
Comparison of unit root tests for time series with level shifts 0 1 2 106 1 3 7 615
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 2 3 149 0 2 8 360
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 323 0 4 16 1,050
Forecasting with a noncausal VAR model 0 2 10 94 2 7 23 95
GMM Estimation with Noncausal Instruments 1 2 3 41 1 3 11 63
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 3 4 524
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 2 1 3 6 117
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 2 7 57 4 7 30 201
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 19 57 130 378 64 220 566 1,956
Modeling Conditional Skewness in Stock Returns 0 0 0 374 1 2 2 1,091
Modeling Expectations with Noncausal Autoregressions 0 1 2 44 0 1 4 96
Modeling Expectations with Noncausal Autoregressions 0 2 4 112 0 2 8 312
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 1 10 613
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 4 29 1 1 7 134
Noncausal Vector Autoregression 1 4 8 80 3 8 15 141
Noncausal autoregressions for economic time series 0 3 18 49 3 9 39 141
Noncausal vector autoregression 0 0 2 82 0 3 14 185
Nonlinear GARCH models for highly persistent volatility 0 0 1 77 0 0 7 348
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 13 1 1 3 50
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 5 76 1 4 14 130
Order selection in testing for the cointegrating rank of a VAR process 0 1 7 14 0 3 10 266
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 4 403
Parameter estimation in nonlinear AR-GARCH models 0 0 3 233 0 0 15 605
Parameter estimation in nonlinear AR-GARCH models 0 0 1 44 2 2 16 147
Parameter estimation in nonlinear AR–GARCH models 0 1 7 121 4 16 51 442
Reducing size distortions of parametric stationarity tests 0 0 1 6 4 4 5 63
Residual Autocorrelation Testing for Vector Error Correction Models 0 3 10 555 2 8 39 1,748
Stability of nonlinear AR-GARCH models 0 1 1 193 1 5 9 507
Stability of nonlinear AR-GARCH models 0 1 1 170 0 1 5 380
Stability of nonlinear AR-GARCH models 0 1 3 7 4 6 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" 0 4 4 21 0 4 6 36
Test procedures for unit roots in time series with level shifts at unknown time 1 7 13 95 1 8 22 462
Testing for Predictability in a Noninvertible ARMA Model 0 2 6 41 1 6 26 124
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 1 3 4 406 2 4 10 756
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 2 2 3 309
Testing for a unit root in noncausal autoregressive models 1 3 8 45 2 6 28 54
Testing for predictability in a noninvertible ARMA model 0 3 6 71 1 5 18 108
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 2 5 132 5 12 31 366
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 2 8 127 0 4 12 258
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 3 7 215
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 3 8 128 0 5 16 270
Testing for the cointegrating rank of a VAR process with an intercept 0 1 7 15 0 4 23 197
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 3 5 101 2 7 11 453
Testing for the cointegrating rank of a VAR process with structural shifts 0 2 5 17 0 3 8 246
Testing for unit roots in time series with level shifts 0 1 1 3 2 3 5 348
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 1 9 515
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 6 0 4 7 181
Unit root tests for time series with a structural break: When the break point is known 1 3 5 265 2 5 11 957
Unit root tests in the presence of innovational outliers 1 1 2 47 1 1 3 245
Total Working Papers 29 138 364 7,108 140 461 1,382 24,406


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 2 137 0 1 10 275
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 2 3 17 750
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 5 52
Asymptotic relative efficiency of the classical test statistics under misspecification 1 2 5 64 2 5 14 172
Asymptotically Efficient Estimation of Cointegration Regressions 2 8 29 270 7 16 50 403
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 12 1 1 5 60
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 7 67 2 3 21 154
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 3 5 95 1 5 13 232
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 1 2 5 81
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 2 43 0 0 4 79
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 0 0 2 34
Forecasting with a noncausal VAR model 1 1 6 8 4 4 20 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 1 1 3 302 2 5 12 608
Infinite-Order Cointegrated Vector Autoregressive Processes 0 2 2 23 1 4 7 43
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 4 82 2 2 13 216
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 17 101 2,241
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 0 0 1 50 0 1 3 180
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 1 4 120
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 2 8 38 89
Non-linear GARCH models for highly persistent volatility 0 0 3 258 4 6 30 695
Noncausal Autoregressions for Economic Time Series 0 2 5 58 1 3 15 125
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 33 1 2 6 133
Optimal forecasting of noncausal autoregressive time series 0 1 7 24 1 3 15 63
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 3 27 1 2 12 76
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 13 0 2 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 4 23 184 5 12 48 396
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 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 1 6 32 144 6 49 178 602
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 1 1 11 49
Stability of nonlinear AR-GARCH models 0 0 1 20 0 0 3 79
Stability results for nonlinear error correction models 0 2 4 57 0 2 9 118
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 38 1 1 11 90
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 1 45 1 1 6 88
TESTS FOR NONLINEAR COINTEGRATION 0 1 7 57 1 4 20 127
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 3 190 3 5 13 502
Testing cointegration in infinite order vector autoregressive processes 0 0 3 65 2 2 7 160
Testing for Linear and Nonlinear Predictability of Stock Returns 2 3 10 12 5 9 26 37
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 5 414
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 47 1 4 7 129
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 2 11 413 1 3 18 1,204
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 5 9 397
Testing for the cointegrating rank of a VAR process with a time trend 0 0 3 121 2 3 14 303
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 1 29 2 5 12 135
Testing linearity in cointegrating smooth transition regressions 0 0 3 109 1 4 9 301
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 48 0 0 5 197
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 7 185
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 1 72 1 1 5 122
Total Journal Articles 9 41 220 3,853 76 210 892 13,385


Statistics updated 2015-07-02