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 0 2 8 33 0 9 24 92
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 1 2 6 948 6 14 51 2,174
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 1 7 98 5 12 47 288
A review of systemscointegration tests 1 4 9 16 1 4 15 593
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 7 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 1 1 4 39 2 2 10 196
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 2 2 197 0 6 9 509
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 44 1 1 4 220
Comparison of unit root tests for time series with level shifts 0 0 2 105 0 0 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 1 6 19 1,046
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 10 358
Forecasting with a noncausal VAR model 0 3 8 92 0 6 19 88
GMM Estimation with Noncausal Instruments 0 0 1 39 1 2 10 60
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 3 521
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 2 0 1 4 114
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 1 3 7 55 6 13 41 194
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 23 32 103 321 86 165 469 1,736
Modeling Conditional Skewness in Stock Returns 0 0 0 374 0 0 3 1,089
Modeling Expectations with Noncausal Autoregressions 1 1 3 110 1 2 15 310
Modeling Expectations with Noncausal Autoregressions 0 0 1 43 0 2 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 2 3 5 29 2 3 11 133
Noncausal Vector Autoregression 0 2 4 76 0 3 10 133
Noncausal autoregressions for economic time series 6 8 15 46 9 17 43 132
Noncausal vector autoregression 0 0 4 82 1 3 14 182
Nonlinear GARCH models for highly persistent volatility 0 1 1 77 0 2 8 348
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 4 75 2 3 14 126
Order selection in testing for the cointegrating rank of a VAR process 1 1 8 13 1 1 12 263
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 2 5 403
Parameter estimation in nonlinear AR-GARCH models 0 0 1 44 0 10 16 145
Parameter estimation in nonlinear AR-GARCH models 1 2 4 233 2 11 18 605
Parameter estimation in nonlinear AR–GARCH models 1 1 10 120 5 8 49 426
Reducing size distortions of parametric stationarity tests 0 1 1 6 0 1 2 59
Residual Autocorrelation Testing for Vector Error Correction Models 2 3 12 552 4 18 48 1,740
Stability of nonlinear AR-GARCH models 0 0 0 169 0 2 6 379
Stability of nonlinear AR-GARCH models 0 0 0 192 0 4 6 502
Stability of nonlinear AR-GARCH models 0 2 2 6 0 2 5 36
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 2 50 2 2 6 440
Supplementary appendix to "noncausal vector autoregression" 0 0 1 17 0 2 6 32
Test procedures for unit roots in time series with level shifts at unknown time 0 1 8 88 0 2 22 454
Testing for Predictability in a Noninvertible ARMA Model 1 1 5 39 3 6 29 118
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 4 403 0 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 1 2 10 42 2 6 28 48
Testing for predictability in a noninvertible ARMA model 0 0 5 68 0 7 16 103
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 1 5 6 125 1 5 8 254
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 2 4 130 2 13 21 354
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 6 212
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 3 5 125 1 7 12 265
Testing for the cointegrating rank of a VAR process with an intercept 1 2 8 14 2 5 24 193
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 3 98 0 1 7 446
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 13 514
Trend adjustment prior to testing for the cointegrating rank of a VAR process 1 1 1 6 1 1 3 177
Unit root tests for time series with a structural break: When the break point is known 0 2 3 262 0 4 7 952
Unit root tests in the presence of innovational outliers 0 1 2 46 0 1 3 244
Total Working Papers 47 101 308 6,970 150 417 1,288 23,945


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 1 2 11 274
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 8 311 2 5 19 747
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 1 5 52
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 7 62 0 0 14 167
Asymptotically Efficient Estimation of Cointegration Regressions 2 7 30 262 3 11 48 387
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 12 0 2 6 59
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 1 7 66 1 3 22 151
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 1 1 1 7 1 2 3 24
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 6 92 0 2 15 227
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 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 1 4 79
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 1 5 43 1 1 14 79
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 1 1 3 34
Forecasting with a noncausal VAR model 0 2 7 7 1 7 23 23
GMM Estimation with Non‐causal Instruments 0 0 0 15 1 2 4 65
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 301 0 0 9 603
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 21 0 0 5 39
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 1 1 4 82 1 3 12 214
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 0 3 3 42
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 8 24 134 2,224
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 1 1 2 10 1 1 5 24
Modeling Conditional Skewness in Stock Returns 0 1 3 50 0 1 8 179
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 1 13 34 81
Non-linear GARCH models for highly persistent volatility 0 1 4 258 0 7 30 689
Noncausal Autoregressions for Economic Time Series 0 0 7 56 2 2 20 122
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 1 1 1 33 1 1 6 131
Optimal forecasting of noncausal autoregressive time series 0 2 6 23 1 3 15 60
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 1 1 3 27 1 3 12 74
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 13 0 3 5 42
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 1 2 16 0 1 6 61
Predicting U.S. Recessions with Dynamic Binary Response Models 2 5 27 180 3 6 50 384
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 5 11 41 138 17 46 180 553
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 0 8 14 48
Stability of nonlinear AR-GARCH models 0 0 1 20 0 1 3 79
Stability results for nonlinear error correction models 0 0 2 55 0 1 8 116
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 38 1 2 10 89
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 1 4 45 1 4 10 87
TESTS FOR NONLINEAR COINTEGRATION 1 3 7 56 1 6 20 123
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 2 3 190 0 2 11 497
Testing cointegration in infinite order vector autoregressive processes 1 1 4 65 2 2 7 158
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 7 9 0 2 24 28
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 10 414
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 47 1 1 5 125
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 13 411 1 3 21 1,201
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 3 5 392
Testing for the cointegrating rank of a VAR process with a time trend 0 1 4 121 0 3 14 300
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 2 29 1 2 11 130
Testing linearity in cointegrating smooth transition regressions 0 0 3 109 0 1 5 297
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 3 48 1 2 10 197
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? 0 1 2 72 0 1 8 121
Total Journal Articles 18 55 256 3,812 57 213 960 13,175


Statistics updated 2015-04-05