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 1 6 25 0 3 16 68
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 1 2 9 942 3 10 53 2,123
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 3 13 91 3 6 41 241
A review of systemscointegration tests 0 0 5 7 0 0 18 578
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 4 171
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 3 313 0 1 7 699
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 1 20 1 1 9 44
Cointegrating smooth transition regressions with applications to the Asian currency crisis 2 2 5 35 3 3 10 186
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 2 195 1 7 22 500
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 2 44 0 6 14 216
Comparison of unit root tests for time series with level shifts 0 0 4 103 0 1 12 606
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 4 323 0 7 18 1,027
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 5 145 1 3 16 348
Forecasting with a noncausal VAR model 0 1 19 84 1 3 38 69
GMM Estimation with Noncausal Instruments 1 1 2 38 1 2 8 50
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 7 518
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 1 0 0 0 110
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 2 2 16 48 13 29 89 153
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 9 26 100 218 40 117 367 1,267
Modeling Conditional Skewness in Stock Returns 0 0 5 374 0 0 8 1,086
Modeling Expectations with Noncausal Autoregressions 0 1 3 42 1 3 8 90
Modeling Expectations with Noncausal Autoregressions 1 4 15 107 4 12 56 295
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 3 4 13 603
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 3 24 2 4 9 122
Noncausal Vector Autoregression 2 4 8 72 3 7 43 123
Noncausal autoregressions for economic time series 1 6 17 31 5 15 48 89
Noncausal vector autoregression 0 0 1 78 0 1 16 168
Nonlinear GARCH models for highly persistent volatility 0 0 4 76 1 2 17 340
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 1 2 13 0 1 3 45
Optimal Forecasting of Noncausal Autoregressive Time Series 1 2 8 71 2 3 20 112
Order selection in testing for the cointegrating rank of a VAR process 0 0 2 5 0 0 5 251
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 3 179 0 1 13 398
Parameter estimation in nonlinear AR-GARCH models 0 1 9 229 0 4 32 587
Parameter estimation in nonlinear AR-GARCH models 1 1 4 43 1 1 10 129
Parameter estimation in nonlinear AR–GARCH models 0 1 13 110 7 18 78 377
Reducing size distortions of parametric stationarity tests 0 0 1 5 0 0 4 57
Residual Autocorrelation Testing for Vector Error Correction Models 3 3 16 540 5 11 59 1,692
Stability of nonlinear AR-GARCH models 0 0 2 192 0 3 17 496
Stability of nonlinear AR-GARCH models 0 0 2 169 2 7 18 373
Stability of nonlinear AR-GARCH models 0 0 0 4 0 0 7 31
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 4 48 1 1 7 434
Supplementary appendix to "noncausal vector autoregression" 1 1 3 16 1 2 10 26
Test procedures for unit roots in time series with level shifts at unknown time 1 2 8 80 5 10 35 432
Testing for Predictability in a Noninvertible ARMA Model 1 2 7 34 3 10 37 89
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 7 399 0 2 16 739
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 71 0 1 6 306
Testing for a unit root in noncausal autoregressive models 2 6 32 32 3 12 20 20
Testing for predictability in a noninvertible ARMA model 0 3 15 63 1 6 33 87
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 1 4 126 2 4 9 333
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 119 1 2 9 246
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 4 9 206
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 3 120 0 2 14 253
Testing for the cointegrating rank of a VAR process with an intercept 0 1 4 6 0 1 6 169
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 5 95 1 6 22 439
Testing for the cointegrating rank of a VAR process with structural shifts 0 2 10 11 0 3 12 237
Testing for unit roots in time series with level shifts 0 1 1 2 0 3 6 342
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 5 22 501
Trend adjustment prior to testing for the cointegrating rank of a VAR process 1 1 3 5 1 1 13 174
Unit root tests for time series with a structural break: When the break point is known 0 0 2 259 2 4 10 945
Unit root tests in the presence of innovational outliers 0 0 1 44 1 2 4 241
Total Working Papers 33 86 425 6,662 128 378 1,533 22,657
2 registered items for which data could not be found


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 1 135 1 2 7 263
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 1 16
A REVIEW OF SYSTEMS COINTEGRATION TESTS 3 4 12 303 3 8 33 728
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 28 0 0 13 108
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 1 11 0 0 5 47
Asymptotic relative efficiency of the classical test statistics under misspecification 1 1 2 55 2 4 10 153
Asymptotically Efficient Estimation of Cointegration Regressions 3 7 38 232 7 15 62 339
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 11 1 1 2 53
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 1 5 59 2 3 18 129
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 0 0 1 21
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 1 4 6 86 4 8 21 212
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 4 13 0 0 4 25
Dependent versions of a central limit theorem for the squared length of a sample mean 0 1 1 6 0 1 2 23
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 5 32 1 2 9 75
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 3 11 38 1 5 22 65
Estimation of Cointegration Vectors with Linear Restrictions 1 2 5 18 1 2 6 31
GMM Estimation with Non‐causal Instruments 0 0 2 15 0 2 13 61
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 1 8 299 4 5 24 594
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 3 21 0 0 5 34
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 2 2 3 78 7 9 36 202
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 1 3 19 1 3 7 39
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 20 51 193 2,090
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 1 1 6 8 1 1 13 19
Modeling Conditional Skewness in Stock Returns 0 0 2 47 1 2 9 171
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 4 116
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 1 6 156
NONCAUSAL VECTOR AUTOREGRESSION 2 3 15 15 2 4 47 47
Non-linear GARCH models for highly persistent volatility 0 0 10 254 5 7 42 659
Noncausal Autoregressions for Economic Time Series 0 2 19 49 1 5 36 102
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 0 2 7 125
Optimal forecasting of noncausal autoregressive time series 4 4 7 17 4 5 22 45
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 2 2 3 24 2 4 16 62
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 13 0 1 2 37
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 14 0 0 2 55
Predicting U.S. Recessions with Dynamic Binary Response Models 9 12 39 153 12 21 81 334
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 1 2 15 0 1 4 60
Reducing size distortions of parametric stationarity tests 0 0 1 20 0 0 3 81
Residual autocorrelation testing for vector error correction models 1 5 29 97 19 36 138 373
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 41 0 1 5 82
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 0 2 7 34
Stability of nonlinear AR-GARCH models 0 0 0 19 0 0 7 76
Stability results for nonlinear error correction models 1 2 6 53 1 3 19 108
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 5 37 0 1 11 79
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 1 1 41 1 3 8 77
TESTS FOR NONLINEAR COINTEGRATION 0 1 6 49 0 4 18 103
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 2 9 187 0 2 21 486
Testing cointegration in infinite order vector autoregressive processes 0 1 4 61 0 3 11 151
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 2 15 404
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 4 45 1 3 8 120
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 3 12 398 1 5 34 1,180
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 5 17 387
Testing for the cointegrating rank of a VAR process with a time trend 0 2 11 117 0 2 26 286
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 2 6 27 4 8 30 119
Testing linearity in cointegrating smooth transition regressions 2 2 4 106 4 4 17 292
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 1 4 45 2 6 21 187
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 4 177
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 7 70 0 1 21 113
Total Journal Articles 36 75 326 3,554 116 267 1,226 12,211


Statistics updated 2014-04-04