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 2 6 29 0 3 17 79
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 1 5 945 3 11 46 2,154
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 9 95 1 2 37 265
A review of systemscointegration tests 0 2 6 11 0 5 12 586
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 0 171
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 1 313 0 1 3 700
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 0 20 0 0 3 46
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 6 38 1 2 12 193
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 195 0 1 13 503
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 44 0 1 10 218
Comparison of unit root tests for time series with level shifts 0 0 1 104 0 2 6 610
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 323 1 4 22 1,040
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 2 146 1 1 11 354
Forecasting with a noncausal VAR model 2 3 7 89 2 3 14 78
GMM Estimation with Noncausal Instruments 0 1 2 39 0 2 8 55
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 7 521
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 1 1 1 2 112
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 6 51 1 6 65 178
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 10 19 104 271 42 72 403 1,479
Modeling Conditional Skewness in Stock Returns 0 0 0 374 0 0 3 1,089
Modeling Expectations with Noncausal Autoregressions 0 1 2 43 0 1 6 93
Modeling Expectations with Noncausal Autoregressions 0 1 10 109 0 2 37 306
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 4 11 608
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 3 26 2 2 13 130
Noncausal Vector Autoregression 1 1 6 74 1 2 16 129
Noncausal autoregressions for economic time series 0 5 14 37 0 9 46 113
Noncausal vector autoregression 1 2 4 82 1 6 13 178
Nonlinear GARCH models for highly persistent volatility 0 0 1 76 0 2 8 344
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 13 1 2 5 49
Optimal Forecasting of Noncausal Autoregressive Time Series 0 3 6 75 0 3 14 122
Order selection in testing for the cointegrating rank of a VAR process 0 0 2 7 0 0 6 257
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 5 400
Parameter estimation in nonlinear AR-GARCH models 0 1 4 231 0 2 16 593
Parameter estimation in nonlinear AR-GARCH models 0 0 1 43 1 2 8 134
Parameter estimation in nonlinear AR–GARCH models 1 3 9 118 8 14 67 408
Reducing size distortions of parametric stationarity tests 0 0 1 5 0 0 3 58
Residual Autocorrelation Testing for Vector Error Correction Models 1 1 12 547 2 6 44 1,716
Stability of nonlinear AR-GARCH models 0 0 0 192 0 0 7 498
Stability of nonlinear AR-GARCH models 0 0 0 169 0 0 11 376
Stability of nonlinear AR-GARCH models 0 0 0 4 1 2 2 33
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 49 0 1 5 437
Supplementary appendix to "noncausal vector autoregression" 0 0 2 17 0 0 6 30
Test procedures for unit roots in time series with level shifts at unknown time 0 1 9 86 1 5 31 450
Testing for Predictability in a Noninvertible ARMA Model 1 1 4 36 1 2 30 102
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 1 1 6 403 1 2 16 748
Testing for a unit root in a time series with a level shift at unknown time 0 0 1 71 0 1 4 307
Testing for a unit root in noncausal autoregressive models 0 3 40 40 1 10 38 38
Testing for predictability in a noninvertible ARMA model 1 2 7 67 1 3 14 93
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 3 128 2 3 11 340
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 119 0 1 6 248
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 2 10 210
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 1 1 121 1 2 5 256
Testing for the cointegrating rank of a VAR process with an intercept 1 3 7 12 3 6 18 186
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 3 97 1 2 13 444
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 6 13 0 1 8 240
Testing for unit roots in time series with level shifts 0 0 1 2 2 2 6 345
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 4 25 511
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 5 0 0 3 174
Unit root tests for time series with a structural break: When the break point is known 0 0 1 260 1 1 6 947
Unit root tests in the presence of innovational outliers 0 0 1 45 0 0 3 242
Total Working Papers 22 63 325 6,825 88 225 1,290 23,324


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 2 2 137 1 5 10 271
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 0 16
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 1 10 306 1 5 26 740
A lag augmentation test for the cointegrating rank of a VAR process 1 1 3 30 1 1 6 111
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 1 1 12 0 1 4 49
Asymptotic relative efficiency of the classical test statistics under misspecification 3 3 8 62 3 8 17 166
Asymptotically Efficient Estimation of Cointegration Regressions 5 9 27 250 6 13 46 366
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 1 1 12 0 2 5 57
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 3 7 63 5 9 20 143
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 0 1 1 22
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 10 91 0 1 22 221
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 13 0 0 0 25
Dependent versions of a central limit theorem for the squared length of a sample mean 1 1 2 7 1 1 3 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 1 4 77
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 1 9 42 1 2 20 77
Estimation of Cointegration Vectors with Linear Restrictions 0 0 3 18 0 1 5 33
Forecasting with a noncausal VAR model 1 2 4 4 1 5 15 15
GMM Estimation with Non‐causal Instruments 0 0 0 15 0 1 4 62
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 2 6 301 1 3 21 602
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 21 1 2 5 38
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 2 2 4 80 4 4 16 208
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 2 19 0 0 5 39
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 9 29 164 2,176
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 1 2 9 0 2 5 22
Modeling Conditional Skewness in Stock Returns 0 0 3 49 0 1 12 178
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 2 117
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 1 1 3 157
NONCAUSAL VECTOR AUTOREGRESSION 1 3 10 19 2 10 25 62
Non-linear GARCH models for highly persistent volatility 1 1 6 257 2 4 27 671
Noncausal Autoregressions for Economic Time Series 0 2 13 56 0 5 25 117
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 0 2 10 130
Optimal forecasting of noncausal autoregressive time series 0 1 8 20 1 5 18 56
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 1 2 4 26 1 2 13 68
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 0 1 15 0 0 4 59
Predicting U.S. Recessions with Dynamic Binary Response Models 2 8 32 170 2 13 59 367
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 3 17 2 4 8 67
Reducing size distortions of parametric stationarity tests 0 0 1 20 0 0 1 81
Residual autocorrelation testing for vector error correction models 4 5 33 119 10 30 148 464
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 1 3 3 44 1 3 5 86
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 0 1 7 39
Stability of nonlinear AR-GARCH models 1 1 1 20 1 1 2 78
Stability results for nonlinear error correction models 1 2 4 55 1 4 9 114
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 1 1 3 38 1 6 11 86
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 4 44 0 1 9 83
TESTS FOR NONLINEAR COINTEGRATION 0 1 4 51 1 5 15 112
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 1 1 4 188 1 2 10 491
Testing cointegration in infinite order vector autoregressive processes 1 1 4 63 1 2 10 155
Testing for Linear and Nonlinear Predictability of Stock Returns 2 5 8 8 5 11 24 24
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 2 2 12 411
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 4 47 0 2 8 124
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 1 4 15 408 1 5 23 1,193
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 9 388
Testing for the cointegrating rank of a VAR process with a time trend 0 0 7 119 1 1 12 292
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 1 4 29 1 4 18 127
Testing linearity in cointegrating smooth transition regressions 2 2 5 108 2 2 8 294
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 4 48 0 0 14 193
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 2 4 6 182
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 3 71 1 3 11 120
Total Journal Articles 38 76 295 3,720 78 233 1,004 12,784


Statistics updated 2014-11-03