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 0 0 5 39 0 0 15 113
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 951 3 9 34 2,226
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 1 4 103 2 5 23 321
A review of systemscointegration tests 0 1 3 22 5 8 19 617
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 1 4 178
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 3 325 0 1 7 722
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 0 3 8 56
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 1 3 42 4 6 20 222
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 1 3 202 0 2 11 524
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 46 0 4 14 236
Comparison of unit root tests for time series with level shifts 0 3 6 112 0 6 22 637
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 324 0 0 11 1,063
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 5 154 1 1 17 379
Forecasting with a noncausal VAR model 0 0 2 97 1 7 22 119
GMM Estimation with Noncausal Instruments 0 0 2 43 0 2 9 72
Identification and estimation of non-Gaussian structural vector autoregressions 2 10 32 80 8 22 68 105
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 5 16 541
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 3 0 1 10 128
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 2 59 0 1 28 233
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 10 32 154 561 44 141 667 2,726
Modeling Conditional Skewness in Stock Returns 0 1 2 376 0 3 10 1,101
Modeling Expectations with Noncausal Autoregressions 1 1 2 46 2 5 11 107
Modeling Expectations with Noncausal Autoregressions 1 2 4 116 2 5 12 324
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 3 7 622
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 2 32 2 2 4 140
Noncausal Vector Autoregression 1 1 3 84 1 2 14 156
Noncausal autoregressions for economic time series 1 2 10 60 3 7 29 175
Noncausal vector autoregression 0 0 1 83 1 3 20 205
Nonlinear GARCH models for highly persistent volatility 0 2 4 81 1 4 15 363
On the estimation of Euler equations in the presence of a potential regime shift 0 0 2 15 0 4 10 60
Optimal Forecasting of Noncausal Autoregressive Time Series 1 1 5 81 1 2 15 145
Order selection in testing for the cointegrating rank of a VAR process 0 2 7 22 0 3 12 281
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 2 12 416
Parameter estimation in nonlinear AR-GARCH models 0 0 1 234 1 2 20 626
Parameter estimation in nonlinear AR-GARCH models 0 0 2 46 1 2 9 156
Parameter estimation in nonlinear AR–GARCH models 0 0 8 131 1 4 42 489
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 2 5 69
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 1 557 0 1 10 1,762
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 9 516
Stability of nonlinear AR-GARCH models 1 1 3 173 1 1 13 393
Stability of nonlinear AR-GARCH models 0 0 4 11 0 0 9 51
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 1 1 51 0 1 5 445
Supplementary appendix to "noncausal vector autoregression" 0 0 1 23 2 3 8 45
Test procedures for unit roots in time series with level shifts at unknown time 0 1 7 104 0 5 25 490
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 41 1 3 17 141
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 1 2 408 0 2 11 767
Testing for a unit root in a time series with a level shift at unknown time 0 1 1 72 0 1 7 316
Testing for a unit root in noncausal autoregressive models 0 2 2 47 0 2 19 75
Testing for predictability in a noninvertible ARMA model 0 0 0 71 0 1 9 117
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 132 0 0 21 388
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 129 0 2 10 269
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 2 11 228
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 4 132 0 2 12 283
Testing for the cointegrating rank of a VAR process with an intercept 0 0 4 19 1 2 19 217
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 2 103 1 6 13 466
Testing for the cointegrating rank of a VAR process with structural shifts 1 2 7 25 3 8 19 267
Testing for unit roots in time series with level shifts 0 0 2 5 0 0 5 353
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 2 9 525
Trend adjustment prior to testing for the cointegrating rank of a VAR process 1 1 2 9 1 5 12 195
Unit root tests for time series with a structural break: When the break point is known 1 2 3 270 1 3 12 971
Unit root tests in the presence of innovational outliers 0 0 1 49 1 5 13 259
Total Working Papers 24 76 330 7,536 99 337 1,570 26,192


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 5 9 1 3 15 25
A Multivariate Generalized Orthogonal Factor GARCH Model 1 1 4 142 3 5 18 296
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 1 9 0 1 6 23
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 2 6 319 2 6 23 774
A lag augmentation test for the cointegrating rank of a VAR process 0 1 1 34 1 3 7 121
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 1 7 59
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 2 67 0 2 14 188
Asymptotically Efficient Estimation of Cointegration Regressions 1 8 26 298 2 18 64 471
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 13 0 1 4 64
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 3 70 1 4 15 170
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 1 2 7 31
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 96 2 4 14 246
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 16 1 4 10 38
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 1 5 30
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 33 0 2 8 89
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 3 6 50 5 9 16 97
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 2 5 9 44
Forecasting with a noncausal VAR model 0 0 3 11 2 4 14 41
GMM Estimation with Non‐causal Instruments 0 0 2 17 1 3 9 74
Gaussian mixture vector autoregression 1 3 5 5 1 15 19 19
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 2 4 306 3 8 26 635
Infinite-Order Cointegrated Vector Autoregressive Processes 0 1 2 25 0 3 11 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 0 2 9 225
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 1 1 20 0 5 7 49
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 6 13 46 2,297
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 1 12 0 1 6 33
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 4 11 192
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 2 11 133
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 6 163
NONCAUSAL VECTOR AUTOREGRESSION 0 1 5 27 0 3 24 116
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 1 7 703
Noncausal Autoregressions for Economic Time Series 0 1 10 68 0 3 20 145
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 1 3 9 148
Optimal forecasting of noncausal autoregressive time series 1 1 2 27 1 2 9 73
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 30 0 1 8 86
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 14 0 1 6 50
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 1 3 64
Predicting U.S. Recessions with Dynamic Binary Response Models 1 4 27 214 3 11 52 453
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 6 9 81
Reducing size distortions of parametric stationarity tests 0 0 0 20 1 4 6 87
Residual autocorrelation testing for vector error correction models 2 6 22 172 5 23 82 707
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 1 45 0 2 7 95
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 1 4 53
Stability of nonlinear AR-GARCH models 0 0 0 20 0 2 11 90
Stability results for nonlinear error correction models 0 0 0 57 1 3 10 128
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 1 1 39 2 9 12 104
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 2 47 0 3 12 100
TESTS FOR NONLINEAR COINTEGRATION 4 5 9 66 4 7 23 154
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 2 2 193 0 2 6 509
Testing cointegration in infinite order vector autoregressive processes 0 0 1 66 2 4 11 171
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 2 15 0 2 9 47
Testing for a Unit Root in Noncausal Autoregressive Models 1 2 2 2 1 5 11 11
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 10 16 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 51 0 4 13 145
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 2 415 1 4 12 1,216
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 7 12 411
Testing for the cointegrating rank of a VAR process with a time trend 0 1 4 127 1 7 24 329
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 2 31 0 4 12 148
Testing linearity in cointegrating smooth transition regressions 0 0 3 112 2 8 23 324
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 49 1 2 12 210
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 3 8 194
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 74 0 1 8 130
Total Journal Articles 15 49 181 4,063 65 280 908 14,394


Statistics updated 2016-09-03