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 8 33 3 5 26 95
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 2 5 948 2 10 47 2,176
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 1 6 98 2 9 44 290
A review of systemscointegration tests 0 3 8 16 0 3 14 593
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 2 2 315 0 5 8 707
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 0 20 0 0 2 46
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 4 39 2 4 10 198
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 2 197 1 1 9 510
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 1 1 1 45 1 2 4 221
Comparison of unit root tests for time series with level shifts 0 0 2 105 0 0 5 612
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 323 2 6 19 1,048
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 2 2 3 149 2 2 10 360
Forecasting with a noncausal VAR model 1 3 9 93 3 8 22 91
GMM Estimation with Noncausal Instruments 0 0 1 39 0 2 8 60
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 2 2 3 523
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 2 1 2 5 115
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 3 5 55 0 9 30 194
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 24 50 114 345 83 204 504 1,819
Modeling Conditional Skewness in Stock Returns 0 0 0 374 1 1 2 1,090
Modeling Expectations with Noncausal Autoregressions 0 1 3 110 0 1 9 310
Modeling Expectations with Noncausal Autoregressions 0 0 1 43 0 0 5 95
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 9 612
Modeling the US short-term interest rate by mixture autoregressive processes 0 3 5 29 0 3 9 133
Noncausal Vector Autoregression 1 2 5 77 3 4 12 136
Noncausal autoregressions for economic time series 1 8 16 47 3 15 37 135
Noncausal vector autoregression 0 0 2 82 2 3 14 184
Nonlinear GARCH models for highly persistent volatility 0 0 1 77 0 1 8 348
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 13 0 0 3 49
Optimal Forecasting of Noncausal Autoregressive Time Series 1 1 5 76 3 6 14 129
Order selection in testing for the cointegrating rank of a VAR process 0 1 8 13 1 2 11 264
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 1 4 403
Parameter estimation in nonlinear AR-GARCH models 0 2 3 233 0 7 17 605
Parameter estimation in nonlinear AR-GARCH models 0 0 1 44 0 3 16 145
Parameter estimation in nonlinear AR–GARCH models 1 2 10 121 6 13 51 432
Reducing size distortions of parametric stationarity tests 0 1 1 6 0 1 1 59
Residual Autocorrelation Testing for Vector Error Correction Models 0 3 8 552 2 11 42 1,742
Stability of nonlinear AR-GARCH models 0 0 0 169 0 0 5 379
Stability of nonlinear AR-GARCH models 1 1 1 193 3 4 8 505
Stability of nonlinear AR-GARCH models 1 3 3 7 2 4 7 38
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 2 50 0 2 6 440
Supplementary appendix to "noncausal vector autoregression" 1 1 2 18 1 1 6 33
Test procedures for unit roots in time series with level shifts at unknown time 4 5 11 92 5 6 25 459
Testing for Predictability in a Noninvertible ARMA Model 2 3 7 41 3 9 26 121
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 1 1 3 404 1 3 10 753
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 6 42 0 5 23 48
Testing for predictability in a noninvertible ARMA model 2 2 7 70 3 7 18 106
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 4 7 126 2 5 10 256
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 3 130 2 9 22 356
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 2 6 213
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 2 6 126 1 3 13 266
Testing for the cointegrating rank of a VAR process with an intercept 0 1 7 14 1 3 22 194
Testing for the cointegrating rank of a VAR process with level shift at unknown time 2 3 4 100 4 5 10 450
Testing for the cointegrating rank of a VAR process with structural shifts 1 1 4 16 1 1 6 244
Testing for unit roots in time series with level shifts 1 1 1 3 1 1 4 346
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 10 514
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 1 1 6 1 2 4 178
Unit root tests for time series with a structural break: When the break point is known 1 1 3 263 1 3 7 953
Unit root tests in the presence of innovational outliers 0 1 1 46 0 1 2 244
Total Working Papers 51 126 319 7,021 158 424 1,285 24,103


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 9 274
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 1 17
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 8 311 0 2 18 747
A lag augmentation test for the cointegrating rank of a VAR process 0 0 3 32 0 0 3 113
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 2 13 0 0 5 52
Asymptotic relative efficiency of the classical test statistics under misspecification 1 1 7 63 2 2 14 169
Asymptotically Efficient Estimation of Cointegration Regressions 3 9 27 265 4 12 42 391
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 12 0 0 4 59
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 2 7 67 1 3 22 152
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 1 1 7 0 1 3 24
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 2 2 7 94 2 2 15 229
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 2 2 15 0 3 3 28
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 1 7 0 0 1 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 0 3 79
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 2 43 0 1 9 79
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 0 1 3 34
Forecasting with a noncausal VAR model 0 1 7 7 0 4 23 23
GMM Estimation with Non‐causal Instruments 0 0 0 15 0 2 4 65
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 301 2 2 11 605
Infinite-Order Cointegrated Vector Autoregressive Processes 1 1 1 22 1 1 5 40
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 1 4 82 0 2 11 214
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 0 0 3 42
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 8 23 122 2,232
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 1 2 10 0 1 5 24
Modeling Conditional Skewness in Stock Returns 0 1 2 50 1 2 4 180
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 3 119
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 1 157
NONCAUSAL VECTOR AUTOREGRESSION 0 1 7 22 2 8 34 83
Non-linear GARCH models for highly persistent volatility 0 0 4 258 1 1 28 690
Noncausal Autoregressions for Economic Time Series 1 1 8 57 1 3 17 123
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 1 1 33 1 2 6 132
Optimal forecasting of noncausal autoregressive time series 0 1 6 23 1 3 14 61
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 1 3 27 0 1 12 74
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 13 2 3 7 44
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 1 16 0 0 3 61
Predicting U.S. Recessions with Dynamic Binary Response Models 3 5 28 183 4 7 51 388
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 1 17 0 0 10 71
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 0 81
Residual autocorrelation testing for vector error correction models 3 10 42 141 17 43 180 570
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 3 44 0 0 6 88
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 0 3 14 48
Stability of nonlinear AR-GARCH models 0 0 1 20 0 1 3 79
Stability results for nonlinear error correction models 2 2 4 57 2 3 9 118
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 38 0 1 10 89
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 3 45 0 1 7 87
TESTS FOR NONLINEAR COINTEGRATION 1 4 8 57 1 5 18 124
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 2 3 190 2 4 12 499
Testing cointegration in infinite order vector autoregressive processes 0 1 4 65 0 2 7 158
Testing for Linear and Nonlinear Predictability of Stock Returns 1 1 8 10 3 4 27 31
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 5 414
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 47 1 2 5 126
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 1 1 12 412 1 3 19 1,202
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 3 3 7 395
Testing for the cointegrating rank of a VAR process with a time trend 0 0 4 121 0 1 13 300
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 2 29 1 2 10 131
Testing linearity in cointegrating smooth transition regressions 0 0 3 109 1 2 6 298
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 2 48 0 1 9 197
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 8 185
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 1 2 72 0 1 6 121
Total Journal Articles 20 55 251 3,832 66 177 910 13,241


Statistics updated 2015-05-02