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 3 6 29 0 4 19 79
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 1 5 945 2 11 47 2,151
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 1 10 95 0 8 40 264
A review of systemscointegration tests 1 2 6 11 2 5 13 586
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 1 1 3 700
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 1 1 6 38 1 1 11 192
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 195 0 1 13 503
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 44 0 1 13 218
Comparison of unit root tests for time series with level shifts 0 0 4 104 0 2 10 610
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 323 1 5 23 1,039
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 11 353
Forecasting with a noncausal VAR model 1 3 7 87 1 4 15 76
GMM Estimation with Noncausal Instruments 1 1 2 39 2 3 8 55
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 9 521
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 1 0 0 1 111
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 7 51 3 6 73 177
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 2 13 102 261 12 47 395 1,437
Modeling Conditional Skewness in Stock Returns 0 0 0 374 0 0 3 1,089
Modeling Expectations with Noncausal Autoregressions 1 1 3 43 1 1 8 93
Modeling Expectations with Noncausal Autoregressions 1 1 10 109 2 2 44 306
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 5 13 608
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 3 25 0 1 12 128
Noncausal Vector Autoregression 0 1 5 73 0 2 20 128
Noncausal autoregressions for economic time series 2 6 17 37 3 11 52 113
Noncausal vector autoregression 1 1 3 81 2 6 13 177
Nonlinear GARCH models for highly persistent volatility 0 0 2 76 0 3 13 344
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 13 0 1 4 48
Optimal Forecasting of Noncausal Autoregressive Time Series 2 4 7 75 2 6 15 122
Order selection in testing for the cointegrating rank of a VAR process 0 0 3 7 0 1 7 257
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 1 179 0 1 6 400
Parameter estimation in nonlinear AR-GARCH models 0 1 5 231 0 3 17 593
Parameter estimation in nonlinear AR-GARCH models 0 0 1 43 1 2 7 133
Parameter estimation in nonlinear AR–GARCH models 0 3 10 117 1 9 67 400
Reducing size distortions of parametric stationarity tests 0 0 1 5 0 0 3 58
Residual Autocorrelation Testing for Vector Error Correction Models 0 1 11 546 2 5 47 1,714
Stability of nonlinear AR-GARCH models 0 0 0 192 0 0 8 498
Stability of nonlinear AR-GARCH models 0 0 0 169 0 1 11 376
Stability of nonlinear AR-GARCH models 0 0 0 4 0 1 1 32
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 49 0 1 5 437
Supplementary appendix to "noncausal vector autoregression" 0 0 3 17 0 0 10 30
Test procedures for unit roots in time series with level shifts at unknown time 0 4 9 86 1 9 32 449
Testing for Predictability in a Noninvertible ARMA Model 0 0 3 35 0 3 32 101
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 5 402 1 1 17 747
Testing for a unit root in a time series with a level shift at unknown time 0 0 1 71 0 1 4 307
Testing for a unit root in noncausal autoregressive models 3 3 40 40 6 11 37 37
Testing for predictability in a noninvertible ARMA model 1 1 9 66 1 2 18 92
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 1 4 128 1 3 10 338
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 119 0 2 6 248
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 8 208
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 1 120 0 1 6 255
Testing for the cointegrating rank of a VAR process with an intercept 2 3 6 11 3 9 16 183
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 4 97 0 1 14 443
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 9 13 0 2 11 240
Testing for unit roots in time series with level shifts 0 0 1 2 0 0 5 343
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 4 25 510
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 1 45 0 0 3 242
Total Working Papers 20 59 342 6,803 56 212 1,348 23,236


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 1 2 2 137 1 5 10 270
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 0 10 305 4 6 27 739
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 29 0 0 10 110
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 1 2 12 0 2 5 49
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 5 59 0 5 16 163
Asymptotically Efficient Estimation of Cointegration Regressions 2 4 26 245 3 7 47 360
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 1 1 2 12 1 2 6 57
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 2 2 6 62 3 5 15 138
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 1 1 1 22
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 1 1 10 91 1 2 23 221
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 1 32 1 1 5 77
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 8 41 1 1 21 76
Estimation of Cointegration Vectors with Linear Restrictions 0 0 3 18 1 1 5 33
Forecasting with a noncausal VAR model 0 1 3 3 2 7 14 14
GMM Estimation with Non‐causal Instruments 0 0 0 15 0 1 7 62
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 6 300 0 5 21 601
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 21 1 1 4 37
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 2 78 0 1 13 204
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 8 27 163 2,167
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 1 3 9 0 2 7 22
Modeling Conditional Skewness in Stock Returns 0 0 3 49 0 1 13 178
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 2 117
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 4 156
NONCAUSAL VECTOR AUTOREGRESSION 0 2 10 18 3 9 31 60
Non-linear GARCH models for highly persistent volatility 0 1 5 256 0 4 33 669
Noncausal Autoregressions for Economic Time Series 1 3 15 56 3 7 31 117
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 0 3 11 130
Optimal forecasting of noncausal autoregressive time series 1 3 8 20 4 7 17 55
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 1 1 3 25 1 3 15 67
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 0 5 59
Predicting U.S. Recessions with Dynamic Binary Response Models 3 7 33 168 4 17 68 365
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 3 17 1 2 6 65
Reducing size distortions of parametric stationarity tests 0 0 1 20 0 0 1 81
Residual autocorrelation testing for vector error correction models 0 3 32 115 7 30 148 454
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 1 2 2 43 1 2 4 85
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 0 1 8 39
Stability of nonlinear AR-GARCH models 0 0 0 19 0 1 2 77
Stability results for nonlinear error correction models 1 1 5 54 2 4 12 113
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 2 37 2 6 11 85
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 4 44 1 1 13 83
TESTS FOR NONLINEAR COINTEGRATION 1 1 5 51 4 4 15 111
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 3 187 1 1 10 490
Testing cointegration in infinite order vector autoregressive processes 0 0 3 62 1 1 9 154
Testing for Linear and Nonlinear Predictability of Stock Returns 2 4 6 6 5 8 19 19
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 1 1 4 47 1 2 8 124
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 3 5 15 407 3 6 24 1,192
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 12 388
Testing for the cointegrating rank of a VAR process with a time trend 0 1 11 119 0 2 16 291
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 4 28 2 3 21 126
Testing linearity in cointegrating smooth transition regressions 0 0 3 106 0 0 9 292
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 4 48 0 1 15 193
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 2 5 180
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 4 71 0 2 14 119
Total Journal Articles 22 49 288 3,682 75 213 1,053 12,706


Statistics updated 2014-10-03