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 2 8 33 2 9 24 92
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 1 1 6 947 2 11 48 2,168
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 2 7 97 2 12 45 283
A review of systemscointegration tests 2 3 8 15 2 3 14 592
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 2 2 2 315 5 7 8 707
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 0 11 194
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 2 2 197 0 6 10 509
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 44 0 0 3 219
Comparison of unit root tests for time series with level shifts 0 1 2 105 0 2 6 612
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 323 3 5 18 1,045
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 2 147 0 4 11 358
Forecasting with a noncausal VAR model 2 3 8 92 5 7 20 88
GMM Estimation with Noncausal Instruments 0 0 2 39 1 4 10 59
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 0 1 1 2 1 2 4 114
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 2 2 8 54 3 8 48 188
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 3 17 89 298 35 122 423 1,650
Modeling Conditional Skewness in Stock Returns 0 0 0 374 0 0 3 1,089
Modeling Expectations with Noncausal Autoregressions 0 0 3 109 0 3 18 309
Modeling Expectations with Noncausal Autoregressions 0 0 1 43 0 2 6 95
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 4 12 612
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 4 27 1 1 11 131
Noncausal Vector Autoregression 1 2 6 76 1 4 13 133
Noncausal autoregressions for economic time series 1 3 10 40 3 9 39 123
Noncausal vector autoregression 0 0 4 82 0 3 13 181
Nonlinear GARCH models for highly persistent volatility 0 1 1 77 1 4 9 348
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 13 0 0 4 49
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 5 75 1 2 14 124
Order selection in testing for the cointegrating rank of a VAR process 0 4 7 12 0 4 11 262
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 3 5 403
Parameter estimation in nonlinear AR-GARCH models 1 1 3 232 5 10 16 603
Parameter estimation in nonlinear AR-GARCH models 0 1 2 44 3 11 17 145
Parameter estimation in nonlinear AR–GARCH models 0 0 9 119 2 5 51 421
Reducing size distortions of parametric stationarity tests 1 1 1 6 1 1 2 59
Residual Autocorrelation Testing for Vector Error Correction Models 1 2 13 550 5 17 49 1,736
Stability of nonlinear AR-GARCH models 2 2 2 6 2 3 5 36
Stability of nonlinear AR-GARCH models 0 0 0 169 0 3 8 379
Stability of nonlinear AR-GARCH models 0 0 0 192 1 4 6 502
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 2 50 0 0 5 438
Supplementary appendix to "noncausal vector autoregression" 0 0 2 17 0 2 7 32
Test procedures for unit roots in time series with level shifts at unknown time 1 1 9 88 1 3 27 454
Testing for Predictability in a Noninvertible ARMA Model 0 1 5 38 3 8 29 115
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 4 403 2 3 13 752
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 0 0 1 307
Testing for a unit root in noncausal autoregressive models 0 1 11 41 3 6 29 46
Testing for predictability in a noninvertible ARMA model 0 0 5 68 4 8 17 103
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 2 5 130 5 11 21 352
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 2 5 5 124 2 5 8 253
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 2 7 212
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 3 5 125 1 7 11 264
Testing for the cointegrating rank of a VAR process with an intercept 0 1 7 13 0 3 22 191
Testing for the cointegrating rank of a VAR process with level shift at unknown time 1 1 3 98 1 1 8 446
Testing for the cointegrating rank of a VAR process with structural shifts 0 2 4 15 0 2 6 243
Testing for unit roots in time series with level shifts 0 0 0 2 0 0 3 345
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 1 14 514
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 5 0 1 3 176
Unit root tests for time series with a structural break: When the break point is known 0 2 3 262 2 4 9 952
Unit root tests in the presence of innovational outliers 1 1 2 46 1 2 4 244
Total Working Papers 28 75 294 6,923 116 364 1,266 23,795


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 1 11 273
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 1 1 17
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 3 11 311 0 3 20 745
A lag augmentation test for the cointegrating rank of a VAR process 0 1 4 32 0 1 5 113
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 1 2 13 0 2 5 52
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 8 62 0 1 16 167
Asymptotically Efficient Estimation of Cointegration Regressions 4 9 31 260 5 15 52 384
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 12 0 2 7 59
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 7 65 1 5 23 150
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 0 1 2 23
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 7 92 0 5 19 227
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 2 2 2 15 3 3 3 28
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 1 7 0 0 2 25
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 32 0 2 5 79
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 4 42 0 1 14 78
Estimation of Cointegration Vectors with Linear Restrictions 0 0 1 18 0 0 3 33
Forecasting with a noncausal VAR model 1 3 7 7 3 7 22 22
GMM Estimation with Non‐causal Instruments 0 0 0 15 1 2 3 64
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 3 301 0 0 13 603
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 21 0 1 5 39
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 1 5 81 1 4 18 213
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 0 3 4 42
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 7 33 146 2,216
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 2 9 0 0 5 23
Modeling Conditional Skewness in Stock Returns 1 1 3 50 1 1 9 179
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 2 3 119
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 1 157
NONCAUSAL VECTOR AUTOREGRESSION 1 3 9 22 5 16 35 80
Non-linear GARCH models for highly persistent volatility 0 1 4 258 0 13 35 689
Noncausal Autoregressions for Economic Time Series 0 0 7 56 0 2 19 120
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 0 0 5 130
Optimal forecasting of noncausal autoregressive time series 1 2 10 23 1 2 18 59
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 4 26 0 4 13 73
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 13 1 4 5 42
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 1 2 16 0 2 6 61
Predicting U.S. Recessions with Dynamic Binary Response Models 0 5 34 178 0 8 59 381
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 2 17 0 4 11 71
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 0 81
Residual autocorrelation testing for vector error correction models 2 10 37 133 9 53 182 536
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 3 44 0 1 6 88
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 3 9 14 48
Stability of nonlinear AR-GARCH models 0 0 1 20 1 1 3 79
Stability results for nonlinear error correction models 0 0 3 55 1 2 9 116
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 38 0 1 9 88
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 1 4 45 0 3 10 86
TESTS FOR NONLINEAR COINTEGRATION 2 2 6 55 3 6 19 122
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 2 2 3 190 2 4 11 497
Testing cointegration in infinite order vector autoregressive processes 0 1 3 64 0 1 5 156
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 8 9 1 2 26 28
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 3 10 414
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 47 0 0 5 124
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 13 411 1 3 21 1,200
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 4 5 392
Testing for the cointegrating rank of a VAR process with a time trend 0 2 4 121 1 6 14 300
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 3 29 0 2 14 129
Testing linearity in cointegrating smooth transition regressions 0 0 5 109 1 1 9 297
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 3 48 0 3 11 196
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 7 184
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 1 1 2 72 1 1 8 121
Total Journal Articles 17 54 275 3,794 54 258 1,021 13,118


Statistics updated 2015-03-02