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 2 7 31 0 4 18 83
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 1 6 946 3 9 47 2,160
A note on the geometric ergodicity of a nonlinear AR–ARCH model 2 2 9 97 5 12 41 276
A review of systemscointegration tests 0 1 5 12 0 3 11 589
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 0 2 700
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 0 5 38 0 2 11 194
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 195 0 0 10 503
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 44 0 1 9 219
Comparison of unit root tests for time series with level shifts 1 1 2 105 2 2 7 612
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 323 0 1 20 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 0 1 9 354
Forecasting with a noncausal VAR model 0 2 6 89 1 6 16 82
GMM Estimation with Noncausal Instruments 0 0 2 39 3 3 10 58
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 4 521
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 1 1 1 2 1 2 3 113
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 6 52 1 4 57 181
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 8 28 97 289 43 134 421 1,571
Modeling Conditional Skewness in Stock Returns 0 0 0 374 0 0 3 1,089
Modeling Expectations with Noncausal Autoregressions 0 0 2 43 0 0 6 93
Modeling Expectations with Noncausal Autoregressions 0 0 6 109 2 2 25 308
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 2 11 610
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 3 26 0 2 12 130
Noncausal Vector Autoregression 0 1 6 74 1 2 14 130
Noncausal autoregressions for economic time series 1 1 13 38 1 2 41 115
Noncausal vector autoregression 0 1 4 82 1 2 12 179
Nonlinear GARCH models for highly persistent volatility 0 0 0 76 2 2 8 346
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 13 0 1 5 49
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 6 75 1 1 14 123
Order selection in testing for the cointegrating rank of a VAR process 4 5 7 12 4 5 11 262
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 1 4 401
Parameter estimation in nonlinear AR-GARCH models 0 0 3 231 1 1 11 594
Parameter estimation in nonlinear AR-GARCH models 1 1 2 44 1 2 7 135
Parameter estimation in nonlinear AR–GARCH models 0 2 10 119 2 18 59 418
Reducing size distortions of parametric stationarity tests 0 0 0 5 0 0 1 58
Residual Autocorrelation Testing for Vector Error Correction Models 1 3 12 549 3 8 41 1,722
Stability of nonlinear AR-GARCH models 0 0 0 192 0 0 5 498
Stability of nonlinear AR-GARCH models 0 0 0 169 1 1 11 377
Stability of nonlinear AR-GARCH models 0 0 0 4 1 2 3 34
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 1 2 50 0 1 5 438
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 87 1 3 30 452
Testing for Predictability in a Noninvertible ARMA Model 1 3 6 38 5 11 33 112
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 1 4 403 0 2 12 749
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 0 0 2 307
Testing for a unit root in noncausal autoregressive models 0 0 14 40 2 5 34 42
Testing for predictability in a noninvertible ARMA model 0 2 8 68 1 4 15 96
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 3 128 0 3 12 341
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 1 1 120 1 1 5 249
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 3 9 211
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 2 2 122 1 3 7 258
Testing for the cointegrating rank of a VAR process with an intercept 0 1 7 12 0 5 20 188
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 3 97 0 2 12 445
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 4 13 0 1 7 241
Testing for unit roots in time series with level shifts 0 0 1 2 0 2 6 345
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 3 17 513
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 5 1 2 3 176
Unit root tests for time series with a structural break: When the break point is known 0 0 1 260 0 2 7 948
Unit root tests in the presence of innovational outliers 0 0 1 45 1 1 4 243
Total Working Papers 21 66 293 6,869 97 292 1,249 23,528


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 2 11 272
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 0 3 9 308 0 3 22 742
A lag augmentation test for the cointegrating rank of a VAR process 0 2 3 31 0 2 4 112
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 1 12 1 2 4 51
Asymptotic relative efficiency of the classical test statistics under misspecification 0 3 8 62 1 4 18 167
Asymptotically Efficient Estimation of Cointegration Regressions 4 10 30 255 7 16 52 376
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 12 0 0 5 57
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 3 7 65 3 10 22 148
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 0 0 1 22
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 9 91 3 4 21 225
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 0 1 2 7 0 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 1 1 5 78
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 7 42 1 2 18 78
Estimation of Cointegration Vectors with Linear Restrictions 0 0 2 18 0 0 4 33
Forecasting with a noncausal VAR model 1 2 5 5 1 2 16 16
GMM Estimation with Non‐causal Instruments 0 0 0 15 1 1 4 63
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 3 301 0 2 14 603
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 21 1 2 5 39
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 1 3 5 81 2 7 18 211
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 19 0 0 3 39
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 17 33 161 2,200
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 2 9 0 1 5 23
Modeling Conditional Skewness in Stock Returns 0 0 2 49 0 0 9 178
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 1 2 118
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 1 2 157
NONCAUSAL VECTOR AUTOREGRESSION 2 3 9 21 4 8 25 68
Non-linear GARCH models for highly persistent volatility 0 1 3 257 6 13 30 682
Noncausal Autoregressions for Economic Time Series 0 0 9 56 2 3 23 120
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 0 0 7 130
Optimal forecasting of noncausal autoregressive time series 0 1 8 21 0 2 17 57
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 1 4 26 2 4 13 71
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 13 1 2 3 39
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 1 15 1 1 5 60
Predicting U.S. Recessions with Dynamic Binary Response Models 2 7 34 175 5 13 65 378
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 3 17 0 2 8 67
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 0 81
Residual autocorrelation testing for vector error correction models 4 12 35 127 24 53 170 507
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 1 3 44 0 2 6 87
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 1 1 8 40
Stability of nonlinear AR-GARCH models 0 1 1 20 0 1 2 78
Stability results for nonlinear error correction models 0 1 4 55 1 2 10 115
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 1 1 38 0 2 9 87
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 4 44 0 0 9 83
TESTS FOR NONLINEAR COINTEGRATION 0 2 5 53 1 6 18 117
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 1 3 188 2 5 11 495
Testing cointegration in infinite order vector autoregressive processes 1 2 4 64 1 2 8 156
Testing for Linear and Nonlinear Predictability of Stock Returns 0 3 9 9 0 7 26 26
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 3 5 12 414
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 3 47 0 0 7 124
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 1 4 16 411 1 6 23 1,198
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 1 7 389
Testing for the cointegrating rank of a VAR process with a time trend 1 1 5 120 3 6 13 297
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 4 29 1 2 17 128
Testing linearity in cointegrating smooth transition regressions 0 3 5 109 0 4 8 296
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 4 48 2 2 14 195
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 3 7 183
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 1 71 0 1 8 120
Total Journal Articles 17 75 278 3,757 102 256 1,018 12,962


Statistics updated 2015-01-03