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 1 4 16 117
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 4 10 39 2,239
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 3 103 1 2 21 325
A review of systemscointegration tests 0 0 3 22 0 2 17 619
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 4 178
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 2 325 2 2 6 724
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 1 3 11 60
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 2 5 44 2 6 22 229
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 1 3 203 0 2 10 526
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 46 1 3 11 239
Comparison of unit root tests for time series with level shifts 1 1 7 113 3 3 20 641
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 1 1 4 155 1 1 12 381
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 324 0 0 9 1,066
Forecasting with a noncausal VAR model 0 0 1 97 0 0 19 121
GMM Estimation with Noncausal Instruments 0 0 0 43 1 1 8 73
Identification and estimation of non-Gaussian structural vector autoregressions 0 6 32 88 5 20 76 131
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 12 542
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 3 0 1 6 129
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 2 60 0 3 12 236
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 8 18 138 584 27 80 585 2,831
Modeling Conditional Skewness in Stock Returns 0 1 2 377 0 2 14 1,106
Modeling Expectations with Noncausal Autoregressions 0 1 2 47 0 1 10 108
Modeling Expectations with Noncausal Autoregressions 0 1 4 118 0 3 14 328
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 7 623
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 2 32 2 5 9 146
Noncausal Vector Autoregression 0 2 3 86 2 5 14 162
Noncausal autoregressions for economic time series 0 3 10 64 0 5 27 182
Noncausal vector autoregression 0 0 1 83 0 2 10 208
Nonlinear GARCH models for highly persistent volatility 0 0 3 81 1 2 12 365
On the estimation of Euler equations in the presence of a potential regime shift 0 0 2 15 0 1 9 62
Optimal Forecasting of Noncausal Autoregressive Time Series 0 2 4 83 2 5 14 151
Order selection in testing for the cointegrating rank of a VAR process 1 2 9 24 1 3 15 284
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 2 11 418
Parameter estimation in nonlinear AR-GARCH models 0 0 1 46 0 1 10 158
Parameter estimation in nonlinear AR-GARCH models 0 0 1 234 3 3 14 629
Parameter estimation in nonlinear AR–GARCH models 1 2 6 134 4 7 31 497
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 1 6 70
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 557 0 1 9 1,765
Stability of nonlinear AR-GARCH models 0 0 2 11 1 2 9 54
Stability of nonlinear AR-GARCH models 0 0 2 173 0 1 9 396
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 3 516
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 51 0 3 7 448
Supplementary appendix to "noncausal vector autoregression" 0 1 2 24 0 1 9 46
Test procedures for unit roots in time series with level shifts at unknown time 1 2 7 107 1 3 19 495
Testing for Predictability in a Noninvertible ARMA Model 1 1 1 42 4 8 18 149
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 2 408 0 0 7 767
Testing for a unit root in a time series with a level shift at unknown time 0 1 2 73 4 5 10 321
Testing for a unit root in noncausal autoregressive models 0 1 3 48 0 4 23 82
Testing for predictability in a noninvertible ARMA model 0 0 0 71 1 2 10 120
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 132 0 0 17 389
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 129 0 1 7 270
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 6 228
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 3 132 0 0 8 283
Testing for the cointegrating rank of a VAR process with an intercept 0 0 2 19 0 0 10 217
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 3 104 0 5 17 472
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 5 25 0 2 17 269
Testing for unit roots in time series with level shifts 1 1 3 6 2 4 7 357
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 5 11 530
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 3 10 0 1 11 197
Unit root tests for time series with a structural break: When the break point is known 0 2 5 272 0 3 13 975
Unit root tests in the presence of innovational outliers 0 0 0 49 0 3 14 263
Total Working Papers 15 54 302 7,602 78 245 1,414 26,513


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 0 0 2 9 0 1 10 26
A Multivariate Generalized Orthogonal Factor GARCH Model 0 2 5 144 2 7 23 303
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 1 9 0 0 6 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 1 6 321 1 2 17 777
A lag augmentation test for the cointegrating rank of a VAR process 0 1 2 35 1 5 11 126
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 0 6 59
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 3 68 0 0 10 190
Asymptotically Efficient Estimation of Cointegration Regressions 1 4 25 303 3 9 52 483
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 0 0 3 64
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 1 3 71 1 4 16 174
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 0 1 7 32
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 96 0 3 15 249
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 16 0 1 9 39
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 5 31
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 33 0 0 7 89
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 7 51 0 3 16 100
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 0 0 8 44
Forecasting with a noncausal VAR model 0 0 2 11 0 2 10 43
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 0 6 74
Gaussian mixture vector autoregression 0 1 6 6 0 15 38 38
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 5 308 0 2 23 638
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 2 25 0 0 8 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 0 1 7 226
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 20 0 1 8 50
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 8 38 2,306
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 1 12 0 3 7 36
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 1 12 195
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 7 136
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 3 8 167
NONCAUSAL VECTOR AUTOREGRESSION 1 3 6 30 1 8 25 124
Non-linear GARCH models for highly persistent volatility 0 0 0 258 1 1 6 704
Noncausal Autoregressions for Economic Time Series 1 2 9 70 3 5 21 151
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 1 7 149
Optimal forecasting of noncausal autoregressive time series 0 3 5 31 0 5 12 79
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 30 1 5 13 91
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 14 0 2 7 52
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 1 5 66
Predicting U.S. Recessions with Dynamic Binary Response Models 1 2 19 216 3 11 48 465
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 2 11 83
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 1 7 89
Residual autocorrelation testing for vector error correction models 1 6 22 178 6 23 85 731
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 1 1 2 46 2 4 10 99
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 0 3 53
Stability of nonlinear AR-GARCH models 0 0 0 20 1 3 8 93
Stability results for nonlinear error correction models 0 0 0 57 1 2 13 133
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 39 1 9 25 118
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 47 2 2 9 102
TESTS FOR NONLINEAR COINTEGRATION 1 1 8 67 3 8 29 164
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 1 1 3 194 1 3 9 512
Testing cointegration in infinite order vector autoregressive processes 0 0 1 66 0 2 15 176
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 15 0 1 8 48
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 3 3 1 5 19 19
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 14 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 1 3 52 1 3 13 148
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 1 1 2 416 2 4 13 1,220
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 1 10 412
Testing for the cointegrating rank of a VAR process with a time trend 0 1 4 129 0 2 19 332
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 1 4 33 2 6 19 156
Testing linearity in cointegrating smooth transition regressions 1 1 3 113 4 5 26 329
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 49 0 2 11 212
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 2 8 196
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 2 3 76 1 4 10 134
Total Journal Articles 14 38 177 4,109 48 206 931 14,644


Statistics updated 2017-01-03