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 1 1 3 35 2 4 13 103
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 5 951 3 7 37 2,203
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 1 3 100 2 6 25 306
A review of systemscointegration tests 0 0 6 19 0 1 12 602
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 1 4 175
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 10 323 0 3 16 718
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 1 21 0 0 3 49
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 39 0 2 13 207
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 1 3 200 0 2 7 516
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 2 46 0 2 9 228
Comparison of unit root tests for time series with level shifts 0 0 1 106 0 1 9 621
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 324 1 3 16 1,058
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 1 1 5 152 1 3 12 370
Forecasting with a noncausal VAR model 0 0 6 96 1 4 20 103
GMM Estimation with Noncausal Instruments 0 1 4 43 0 1 7 65
Identification and estimation of non-Gaussian structural vector autoregressions 1 3 57 57 3 8 58 58
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 3 9 530
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 3 0 3 10 123
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 6 58 1 7 40 225
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 15 39 166 461 54 157 685 2,300
Modeling Conditional Skewness in Stock Returns 0 0 1 375 2 2 5 1,094
Modeling Expectations with Noncausal Autoregressions 0 0 2 45 0 0 3 98
Modeling Expectations with Noncausal Autoregressions 0 1 5 114 1 2 6 315
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 6 616
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 4 30 0 1 7 137
Noncausal Vector Autoregression 0 2 8 83 0 5 16 148
Noncausal autoregressions for economic time series 0 1 15 54 1 6 36 156
Noncausal vector autoregression 0 0 0 82 1 8 18 199
Nonlinear GARCH models for highly persistent volatility 0 0 1 78 0 1 6 353
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 13 0 2 4 53
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 4 79 0 3 14 137
Order selection in testing for the cointegrating rank of a VAR process 0 0 3 15 0 0 7 269
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 5 407
Parameter estimation in nonlinear AR-GARCH models 0 0 1 45 1 1 7 149
Parameter estimation in nonlinear AR-GARCH models 0 0 2 233 0 1 17 615
Parameter estimation in nonlinear AR–GARCH models 0 2 9 128 0 6 47 466
Reducing size distortions of parametric stationarity tests 0 0 1 6 0 0 6 64
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 8 557 0 0 25 1,756
Stability of nonlinear AR-GARCH models 0 0 1 193 1 2 13 514
Stability of nonlinear AR-GARCH models 0 1 5 9 0 2 11 45
Stability of nonlinear AR-GARCH models 0 0 2 171 0 3 8 387
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 50 0 1 3 441
Supplementary appendix to "noncausal vector autoregression" 0 0 5 22 0 0 5 37
Test procedures for unit roots in time series with level shifts at unknown time 0 2 13 100 1 6 24 477
Testing for Predictability in a Noninvertible ARMA Model 0 0 3 41 0 3 19 131
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 3 406 0 1 10 760
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 0 0 4 311
Testing for a unit root in noncausal autoregressive models 0 0 4 45 2 3 18 61
Testing for predictability in a noninvertible ARMA model 0 0 3 71 0 1 11 110
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 3 132 5 9 30 377
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 6 128 0 2 12 263
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 3 11 222
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 1 5 129 0 1 12 275
Testing for the cointegrating rank of a VAR process with an intercept 1 2 5 18 2 4 18 209
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 4 101 0 1 10 455
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 5 20 0 1 9 252
Testing for unit roots in time series with level shifts 0 0 1 3 0 1 5 350
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 3 7 521
Trend adjustment prior to testing for the cointegrating rank of a VAR process 1 1 3 8 1 3 11 187
Unit root tests for time series with a structural break: When the break point is known 1 1 6 268 1 4 13 963
Unit root tests in the presence of innovational outliers 0 1 4 49 0 3 6 249
Total Working Papers 21 66 426 7,321 90 314 1,510 25,189


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 7 7 2 4 18 18
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 2 139 2 4 9 282
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 1 1 18
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 2 5 316 2 6 17 762
A lag augmentation test for the cointegrating rank of a VAR process 0 0 1 33 0 1 2 115
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 1 1 2 54
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 3 65 1 2 14 181
Asymptotically Efficient Estimation of Cointegration Regressions 1 4 23 279 3 16 55 434
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 1 1 13 0 1 2 61
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 3 68 1 3 10 159
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 7 0 1 2 25
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 3 95 1 1 8 235
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 1 5 30
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 1 2 2 27
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 32 1 1 4 83
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 1 3 45 1 2 7 85
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 0 0 3 36
Forecasting with a noncausal VAR model 0 1 3 9 0 4 14 33
GMM Estimation with Non‐causal Instruments 0 2 2 17 0 2 5 68
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 2 303 2 6 14 617
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 2 23 1 4 8 47
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 1 82 0 2 7 219
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 4 10 63 2,272
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 2 11 0 2 6 29
Modeling Conditional Skewness in Stock Returns 0 0 2 51 1 2 6 184
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 11 129
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 2 2 159
NONCAUSAL VECTOR AUTOREGRESSION 1 3 4 25 4 11 28 103
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 1 9 698
Noncausal Autoregressions for Economic Time Series 0 1 5 61 1 3 11 131
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 33 0 0 12 142
Optimal forecasting of noncausal autoregressive time series 0 1 4 26 1 3 10 68
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 28 0 0 5 78
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 1 1 1 14 1 2 5 46
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 1 9 20 198 2 11 38 419
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 1 2 73
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 1 1 82
Residual autocorrelation testing for vector error correction models 1 4 26 157 4 11 123 650
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 44 0 1 1 89
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 1 5 50
Stability of nonlinear AR-GARCH models 0 0 0 20 0 2 7 85
Stability results for nonlinear error correction models 0 0 2 57 0 1 5 120
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 38 0 0 5 93
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 2 2 47 0 3 7 93
TESTS FOR NONLINEAR COINTEGRATION 1 3 7 60 3 6 19 138
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 3 191 0 0 8 503
Testing cointegration in infinite order vector autoregressive processes 0 0 1 65 0 0 5 161
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 5 14 1 3 14 41
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 1 4 418
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 49 0 2 11 135
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 3 414 1 3 9 1,208
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 2 11 403
Testing for the cointegrating rank of a VAR process with a time trend 0 2 4 125 1 5 15 314
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 29 2 3 10 139
Testing linearity in cointegrating smooth transition regressions 0 1 1 110 2 4 9 305
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 1 1 1 49 2 2 7 203
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 2 5 189
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 1 2 73 0 1 4 124
Total Journal Articles 9 45 164 3,941 53 169 702 13,766


Statistics updated 2016-02-03