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 1 3 5 38 2 8 16 111
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 3 951 6 12 39 2,215
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 1 3 101 3 7 23 313
A review of systemscointegration tests 1 2 5 21 1 4 13 606
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 2 6 177
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 3 6 52
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 1 40 4 7 16 214
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 3 200 1 3 9 519
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 46 2 3 10 231
Comparison of unit root tests for time series with level shifts 1 3 4 109 4 8 17 629
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 4 153 2 6 16 376
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 324 0 1 11 1,059
Forecasting with a noncausal VAR model 0 1 4 97 2 9 21 112
GMM Estimation with Noncausal Instruments 0 0 4 43 3 5 10 70
Identification and estimation of non-Gaussian structural vector autoregressions 3 9 35 66 4 19 66 77
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 4 11 534
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 3 2 4 12 127
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 4 59 1 6 37 231
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 22 51 167 512 74 192 673 2,492
Modeling Conditional Skewness in Stock Returns 0 0 1 375 0 2 6 1,096
Modeling Expectations with Noncausal Autoregressions 0 0 4 114 2 4 9 319
Modeling Expectations with Noncausal Autoregressions 0 0 2 45 0 3 6 101
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 3 7 619
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 2 31 0 1 5 138
Noncausal Vector Autoregression 0 0 6 83 1 5 17 153
Noncausal autoregressions for economic time series 0 3 10 57 4 11 32 167
Noncausal vector autoregression 0 1 1 83 0 2 17 201
Nonlinear GARCH models for highly persistent volatility 0 0 1 78 1 5 10 358
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 1 1 14 0 2 6 55
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 3 79 2 4 12 141
Order selection in testing for the cointegrating rank of a VAR process 1 5 7 20 2 9 14 278
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 6 10 413
Parameter estimation in nonlinear AR-GARCH models 0 1 1 234 1 6 16 621
Parameter estimation in nonlinear AR-GARCH models 0 1 2 46 0 4 8 153
Parameter estimation in nonlinear AR–GARCH models 2 3 10 131 5 15 49 481
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 2 5 19 1,761
Stability of nonlinear AR-GARCH models 0 0 0 193 0 1 10 515
Stability of nonlinear AR-GARCH models 0 2 4 11 2 6 13 51
Stability of nonlinear AR-GARCH models 0 1 3 172 1 4 12 391
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 50 1 3 4 444
Supplementary appendix to "noncausal vector autoregression" 0 1 5 23 0 5 9 42
Test procedures for unit roots in time series with level shifts at unknown time 0 0 8 100 2 4 22 481
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 41 1 5 15 136
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 2 406 1 2 9 762
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 3 4 8 315
Testing for a unit root in noncausal autoregressive models 0 0 3 45 1 12 25 73
Testing for predictability in a noninvertible ARMA model 0 0 1 71 2 5 9 115
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 132 3 11 32 388
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 3 129 0 4 11 267
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 4 13 226
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 3 6 132 2 4 13 279
Testing for the cointegrating rank of a VAR process with an intercept 0 1 5 19 2 5 20 214
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 1 101 2 4 9 459
Testing for the cointegrating rank of a VAR process with structural shifts 1 1 5 21 2 4 12 256
Testing for unit roots in time series with level shifts 1 1 1 4 1 2 6 352
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 2 9 523
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 8 1 3 12 190
Unit root tests for time series with a structural break: When the break point is known 0 0 5 268 2 5 15 968
Unit root tests in the presence of innovational outliers 0 0 3 49 1 3 8 252
Total Working Papers 35 100 369 7,421 166 495 1,570 25,684


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 1 1 7 8 1 3 18 21
A Multivariate Generalized Orthogonal Factor GARCH Model 0 2 4 141 2 8 16 290
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 1 1 9 1 3 4 21
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 1 6 317 2 3 18 765
A lag augmentation test for the cointegrating rank of a VAR process 0 0 1 33 1 1 3 116
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 2 4 56
Asymptotic relative efficiency of the classical test statistics under misspecification 0 2 4 67 2 4 16 185
Asymptotically Efficient Estimation of Cointegration Regressions 4 9 23 288 7 15 58 449
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 13 0 1 3 62
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 2 69 2 4 11 163
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 1 3 4 28
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 95 2 3 9 238
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 0 1 3 28
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 1 1 33 1 2 6 85
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 2 2 4 47 2 2 8 87
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 2 2 4 38
Forecasting with a noncausal VAR model 0 1 3 10 0 2 12 35
GMM Estimation with Non‐causal Instruments 0 0 2 17 0 1 4 69
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 3 304 3 8 20 625
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 23 0 1 8 48
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 1 3 8 222
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 1 1 1 43
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 4 7 47 2,279
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 1 2 6 186
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 0 3 5 162
NONCAUSAL VECTOR AUTOREGRESSION 0 1 4 26 0 9 29 112
Non-linear GARCH models for highly persistent volatility 0 0 0 258 1 1 9 699
Noncausal Autoregressions for Economic Time Series 2 6 10 67 4 10 18 141
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 10 142
Optimal forecasting of noncausal autoregressive time series 0 0 3 26 0 1 8 69
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 2 3 30 1 6 10 84
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 14 0 2 4 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 3 9 24 207 6 17 48 436
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 1 3 74
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 1 82
Residual autocorrelation testing for vector error correction models 6 7 23 164 15 25 105 675
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 1 1 1 45 2 3 4 92
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 0 1 7 86
Stability results for nonlinear error correction models 0 0 0 57 2 3 5 123
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 38 1 1 5 94
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 2 47 0 1 7 94
TESTS FOR NONLINEAR COINTEGRATION 1 1 4 61 3 5 19 143
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 191 0 2 6 505
Testing cointegration in infinite order vector autoregressive processes 0 0 0 65 3 4 7 165
Testing for Linear and Nonlinear Predictability of Stock Returns 1 1 5 15 2 2 12 43
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 0 2 4 4 4
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 2 6 420
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 2 4 51 1 4 13 139
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 1 1 3 415 2 2 8 1,210
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 8 403
Testing for the cointegrating rank of a VAR process with a time trend 0 1 5 126 3 7 21 321
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 1 1 30 3 4 12 143
Testing linearity in cointegrating smooth transition regressions 0 2 3 112 2 8 15 313
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 49 1 2 8 205
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 5 190
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 1 2 74 1 3 6 127
Total Journal Articles 24 59 167 4,000 93 217 739 13,983


Statistics updated 2016-05-03