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 2 5 27 1 7 18 76
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 1 6 944 3 14 46 2,143
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 3 11 95 7 17 43 263
A review of systemscointegration tests 0 1 5 9 0 2 13 581
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 1 171
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 1 313 0 0 4 699
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 1 20 0 2 4 46
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 2 5 37 0 3 12 191
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 195 0 1 13 502
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 44 0 0 12 217
Comparison of unit root tests for time series with level shifts 0 1 4 104 0 1 9 608
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 2 323 2 7 22 1,036
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 3 146 1 3 13 353
Forecasting with a noncausal VAR model 2 2 11 86 3 6 23 75
GMM Estimation with Noncausal Instruments 0 0 1 38 1 1 8 53
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 8 520
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 1 0 1 1 111
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 6 50 1 8 79 172
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 4 21 113 252 17 92 426 1,407
Modeling Conditional Skewness in Stock Returns 0 0 3 374 0 1 7 1,089
Modeling Expectations with Noncausal Autoregressions 0 0 2 42 0 2 7 92
Modeling Expectations with Noncausal Autoregressions 0 1 12 108 0 3 53 304
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 1 10 604
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 3 25 1 4 12 128
Noncausal Vector Autoregression 1 1 7 73 1 3 28 127
Noncausal autoregressions for economic time series 1 1 13 32 2 6 50 104
Noncausal vector autoregression 0 0 2 80 1 2 12 172
Nonlinear GARCH models for highly persistent volatility 0 0 2 76 1 2 12 342
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 13 0 1 3 47
Optimal Forecasting of Noncausal Autoregressive Time Series 1 1 5 72 3 4 15 119
Order selection in testing for the cointegrating rank of a VAR process 0 2 3 7 1 4 9 257
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 2 179 1 1 10 400
Parameter estimation in nonlinear AR-GARCH models 0 0 6 230 1 3 20 591
Parameter estimation in nonlinear AR-GARCH models 0 0 1 43 1 3 6 132
Parameter estimation in nonlinear AR–GARCH models 1 4 10 115 3 13 68 394
Reducing size distortions of parametric stationarity tests 0 0 1 5 0 0 3 58
Residual Autocorrelation Testing for Vector Error Correction Models 1 2 15 546 1 10 50 1,710
Stability of nonlinear AR-GARCH models 0 0 0 192 0 1 8 498
Stability of nonlinear AR-GARCH models 0 0 1 169 1 2 14 376
Stability of nonlinear AR-GARCH models 0 0 0 4 0 0 2 31
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 1 1 49 0 2 4 436
Supplementary appendix to "noncausal vector autoregression" 0 1 3 17 0 3 12 30
Test procedures for unit roots in time series with level shifts at unknown time 3 4 10 85 5 11 34 445
Testing for Predictability in a Noninvertible ARMA Model 0 1 3 35 2 5 33 100
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 1 6 402 0 3 17 746
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 71 0 0 4 306
Testing for a unit root in noncausal autoregressive models 0 1 37 37 2 3 28 28
Testing for predictability in a noninvertible ARMA model 0 2 9 65 0 2 21 90
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 3 127 2 3 9 337
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 119 1 1 7 247
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 9 208
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 1 120 0 1 8 254
Testing for the cointegrating rank of a VAR process with an intercept 1 2 5 9 6 8 15 180
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 3 96 0 2 15 442
Testing for the cointegrating rank of a VAR process with structural shifts 1 1 9 13 1 1 10 239
Testing for unit roots in time series with level shifts 0 0 1 2 0 1 5 343
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 3 23 507
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 5 0 0 5 174
Unit root tests for time series with a structural break: When the break point is known 0 0 1 260 0 0 6 946
Unit root tests in the presence of innovational outliers 0 0 2 45 0 0 5 242
Total Working Papers 18 60 361 6,762 75 281 1,424 23,099


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 1 135 1 1 7 266
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 1 16
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 2 11 305 2 6 24 735
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 29 0 0 11 110
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 1 11 1 1 4 48
Asymptotic relative efficiency of the classical test statistics under misspecification 0 3 5 59 0 3 12 158
Asymptotically Efficient Estimation of Cointegration Regressions 0 3 27 241 0 4 47 353
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 11 0 0 4 55
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 4 60 1 4 13 134
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 0 0 0 21
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 3 9 90 1 6 22 220
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 2 13 0 0 2 25
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 1 6 0 0 2 24
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 2 32 0 0 5 76
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 11 41 0 5 25 75
Estimation of Cointegration Vectors with Linear Restrictions 0 0 3 18 0 1 5 32
GMM Estimation with Non‐causal Instruments 0 0 0 15 0 0 7 61
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 6 299 3 5 21 599
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 21 0 1 3 36
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 2 78 1 1 22 204
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 7 37 159 2,147
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 3 8 0 1 7 20
Modeling Conditional Skewness in Stock Returns 0 1 3 49 0 1 12 177
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 1 2 117
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 5 156
NONCAUSAL VECTOR AUTOREGRESSION 0 1 12 16 1 3 40 52
Non-linear GARCH models for highly persistent volatility 1 2 7 256 2 5 36 667
Noncausal Autoregressions for Economic Time Series 1 5 16 54 2 6 30 112
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 1 2 9 128
Optimal forecasting of noncausal autoregressive time series 2 2 8 19 3 4 20 51
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 24 2 4 16 66
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 1 6 59
Predicting U.S. Recessions with Dynamic Binary Response Models 1 7 34 162 6 17 72 354
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 1 3 17 0 2 5 63
Reducing size distortions of parametric stationarity tests 0 0 1 20 0 0 2 81
Residual autocorrelation testing for vector error correction models 2 15 35 114 10 44 151 434
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 41 0 1 2 83
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 1 1 8 0 4 7 38
Stability of nonlinear AR-GARCH models 0 0 0 19 1 1 3 77
Stability results for nonlinear error correction models 0 0 4 53 1 1 11 110
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 2 37 1 1 7 80
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 2 4 44 0 2 13 82
TESTS FOR NONLINEAR COINTEGRATION 0 1 4 50 0 1 11 107
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 5 187 0 2 14 489
Testing cointegration in infinite order vector autoregressive processes 0 1 3 62 0 2 8 153
Testing for Linear and Nonlinear Predictability of Stock Returns 1 1 3 3 2 9 13 13
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 10 409
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 4 46 0 1 8 122
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 2 4 13 404 2 5 23 1,188
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 13 388
Testing for the cointegrating rank of a VAR process with a time trend 1 2 11 119 2 4 18 291
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 5 28 0 2 20 123
Testing linearity in cointegrating smooth transition regressions 0 0 3 106 0 0 11 292
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 2 5 48 1 5 16 193
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 3 178
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 1 7 71 0 2 22 117
Total Journal Articles 11 61 291 3,642 55 210 1,049 12,541


Statistics updated 2014-08-03