Access Statistics for Pentti Saikkonen

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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 3 4 37 2 8 17 109
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 3 951 1 9 35 2,209
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 2 100 2 6 22 310
A review of systemscointegration tests 1 1 4 20 2 3 12 605
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 2 5 176
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 8 323 0 1 12 719
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 1 21 1 2 5 51
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 1 1 40 2 3 14 210
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 3 200 1 2 9 518
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 2 46 0 1 9 229
Comparison of unit root tests for time series with level shifts 1 2 3 108 1 4 13 625
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 1 2 6 153 2 5 16 374
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 324 0 2 13 1,059
Forecasting with a noncausal VAR model 0 1 5 97 3 8 22 110
GMM Estimation with Noncausal Instruments 0 0 4 43 1 2 7 67
Identification and estimation of non-Gaussian structural vector autoregressions 0 7 63 63 3 18 73 73
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 4 13 534
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 3 0 2 11 125
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 1 1 4 59 3 6 36 230
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 21 44 169 490 73 172 682 2,418
Modeling Conditional Skewness in Stock Returns 0 0 1 375 1 4 7 1,096
Modeling Expectations with Noncausal Autoregressions 0 0 2 45 2 3 6 101
Modeling Expectations with Noncausal Autoregressions 0 0 4 114 1 3 7 317
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 3 7 619
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 2 31 1 1 5 138
Noncausal Vector Autoregression 0 0 7 83 2 4 19 152
Noncausal autoregressions for economic time series 1 3 11 57 4 8 31 163
Noncausal vector autoregression 0 1 1 83 0 3 19 201
Nonlinear GARCH models for highly persistent volatility 0 0 1 78 2 4 9 357
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 1 1 1 14 1 2 6 55
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 4 79 1 2 13 139
Order selection in testing for the cointegrating rank of a VAR process 0 4 6 19 2 7 13 276
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 5 9 412
Parameter estimation in nonlinear AR-GARCH models 1 1 1 234 1 5 15 620
Parameter estimation in nonlinear AR-GARCH models 1 1 2 46 1 5 8 153
Parameter estimation in nonlinear AR–GARCH models 1 1 9 129 5 10 50 476
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 2 7 66
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 5 557 1 3 19 1,759
Stability of nonlinear AR-GARCH models 0 0 1 193 0 2 13 515
Stability of nonlinear AR-GARCH models 1 2 5 11 1 4 13 49
Stability of nonlinear AR-GARCH models 0 1 3 172 1 3 11 390
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 50 1 2 3 443
Supplementary appendix to "noncausal vector autoregression" 0 1 6 23 2 5 10 42
Test procedures for unit roots in time series with level shifts at unknown time 0 0 12 100 1 3 25 479
Testing for Predictability in a Noninvertible ARMA Model 0 0 2 41 2 4 17 135
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 3 406 0 1 9 761
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 0 1 5 312
Testing for a unit root in noncausal autoregressive models 0 0 3 45 1 13 24 72
Testing for predictability in a noninvertible ARMA model 0 0 3 71 2 3 10 113
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 4 129 2 4 13 267
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 132 1 13 31 385
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 3 13 225
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 2 6 131 1 2 12 277
Testing for the cointegrating rank of a VAR process with an intercept 0 2 5 19 1 5 19 212
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 3 101 0 2 11 457
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 5 20 1 2 11 254
Testing for unit roots in time series with level shifts 0 0 1 3 0 1 6 351
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 3 8 522
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 1 2 8 1 3 12 189
Unit root tests for time series with a structural break: When the break point is known 0 1 6 268 2 4 14 966
Unit root tests in the presence of innovational outliers 0 0 3 49 1 2 7 251
Total Working Papers 34 86 416 7,386 148 419 1,573 25,518


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 0 6 7 1 4 18 20
A Multivariate Generalized Orthogonal Factor GARCH Model 0 2 4 141 0 8 14 288
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 1 1 9 1 2 3 20
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 2 6 317 0 3 16 763
A lag augmentation test for the cointegrating rank of a VAR process 0 0 1 33 0 0 2 115
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 1 3 4 56
Asymptotic relative efficiency of the classical test statistics under misspecification 1 2 5 67 1 3 16 183
Asymptotically Efficient Estimation of Cointegration Regressions 0 6 22 284 1 11 55 442
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 13 1 1 3 62
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 1 3 69 1 3 10 161
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 1 2 3 27
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 3 95 1 2 9 236
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 1 1 16 0 1 3 31
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 1 2 3 28
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 1 1 1 33 1 2 5 84
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 2 45 0 1 6 85
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 0 0 2 36
Forecasting with a noncausal VAR model 1 1 3 10 1 2 12 35
GMM Estimation with Non‐causal Instruments 0 0 2 17 1 1 4 69
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 3 304 1 7 19 622
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 2 23 1 2 9 48
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 1 2 7 221
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 0 0 0 42
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 7 51 2,275
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 1 11 0 0 5 29
Modeling Conditional Skewness in Stock Returns 0 0 1 51 0 2 6 185
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 10 129
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 2 3 5 162
NONCAUSAL VECTOR AUTOREGRESSION 0 2 4 26 1 13 31 112
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 0 9 698
Noncausal Autoregressions for Economic Time Series 1 4 9 65 1 7 15 137
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 11 142
Optimal forecasting of noncausal autoregressive time series 0 0 3 26 0 2 9 69
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 1 2 3 30 4 5 9 83
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 1 1 14 2 3 6 48
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 0 61
Predicting U.S. Recessions with Dynamic Binary Response Models 2 7 24 204 5 13 46 430
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 0 1 2 73
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 1 82
Residual autocorrelation testing for vector error correction models 1 2 20 158 6 14 107 660
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 44 1 1 2 90
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 0 2 50
Stability of nonlinear AR-GARCH models 0 0 0 20 1 1 7 86
Stability results for nonlinear error correction models 0 0 2 57 0 1 5 121
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 38 0 0 4 93
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 2 47 1 1 7 94
TESTS FOR NONLINEAR COINTEGRATION 0 1 4 60 2 5 17 140
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 191 2 2 8 505
Testing cointegration in infinite order vector autoregressive processes 0 0 0 65 0 1 4 162
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 5 14 0 1 13 41
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 0 1 2 2 2
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 2 5 419
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 3 50 1 3 13 138
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 3 414 0 1 7 1,208
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 1 11 403
Testing for the cointegrating rank of a VAR process with a time trend 0 1 5 126 1 5 18 318
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 29 0 3 10 140
Testing linearity in cointegrating smooth transition regressions 2 2 3 112 4 8 14 311
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 1 1 49 1 3 7 204
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 2 6 190
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 1 2 74 1 2 5 126
Total Journal Articles 11 44 163 3,976 55 177 713 13,890


Statistics updated 2016-04-02