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 1 39 0 2 8 119
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 0 1 28 2,243
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 2 4 105 2 5 19 332
A review of systemscointegration tests 1 2 3 24 2 8 23 629
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 2 3 180
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 1 3 5 328 1 6 11 730
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 0 0 7 59
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 2 6 46 1 5 20 234
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 3 203 0 6 13 532
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 2 2 0 2 6 6
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 2 2 48 0 5 14 245
Comparison of unit root tests for time series with level shifts 0 0 4 113 0 3 16 645
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 1 325 0 4 11 1,070
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 2 155 0 2 7 383
Forecasting with a noncausal VAR model 1 2 2 99 1 5 14 126
GMM Estimation with Noncausal Instruments 0 1 1 44 1 3 7 77
Identification and estimation of non-Gaussian structural vector autoregressions 2 4 27 93 5 10 68 145
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 3 11 545
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 3 0 3 5 132
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 1 60 1 2 7 238
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 10 25 108 620 38 102 469 2,961
Modeling Conditional Skewness in Stock Returns 1 1 3 378 1 3 13 1,109
Modeling Expectations with Noncausal Autoregressions 1 1 3 48 2 3 10 111
Modeling Expectations with Noncausal Autoregressions 0 1 5 119 0 2 13 332
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 7 626
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 32 2 5 13 151
Noncausal Vector Autoregression 1 2 5 88 3 7 16 169
Noncausal autoregressions for economic time series 1 1 8 65 2 7 26 193
Noncausal vector autoregression 0 1 1 84 1 3 10 211
Nonlinear GARCH models for highly persistent volatility 1 1 4 82 2 5 13 371
On the estimation of Euler equations in the presence of a potential regime shift 0 1 2 16 0 2 9 64
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 4 83 1 4 14 155
Order selection in testing for the cointegrating rank of a VAR process 0 0 6 26 0 3 10 288
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 1 5 418
Parameter estimation in nonlinear AR-GARCH models 1 1 1 47 1 2 6 159
Parameter estimation in nonlinear AR-GARCH models 0 2 2 236 0 4 12 633
Parameter estimation in nonlinear AR–GARCH models 1 1 4 135 1 3 21 502
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 2 5 71
Residual Autocorrelation Testing for Vector Error Correction Models 1 2 2 559 3 6 11 1,772
Stability of nonlinear AR-GARCH models 0 0 1 173 0 1 6 397
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 1 516
Stability of nonlinear AR-GARCH models 0 0 0 11 0 2 5 56
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 51 1 1 5 449
Supplementary appendix to "noncausal vector autoregression" 0 0 2 25 1 1 6 48
Test procedures for unit roots in time series with level shifts at unknown time 0 1 8 108 1 7 20 501
Testing for Predictability in a Noninvertible ARMA Model 0 0 1 42 0 3 16 152
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 2 408 1 4 9 771
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 73 1 3 7 322
Testing for a unit root in noncausal autoregressive models 1 3 8 53 2 5 16 89
Testing for predictability in a noninvertible ARMA model 0 0 0 71 1 4 10 125
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 1 133 0 5 6 394
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 129 0 3 6 273
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 4 6 232
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 132 1 4 8 287
Testing for the cointegrating rank of a VAR process with an intercept 1 2 2 21 1 4 7 221
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 4 7 108 2 9 22 481
Testing for the cointegrating rank of a VAR process with structural shifts 1 1 5 26 1 5 18 274
Testing for unit roots in time series with level shifts 0 0 2 6 1 2 7 359
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 3 11 534
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 10 1 2 8 198
Unit root tests for time series with a structural break: When the break point is known 0 1 5 273 1 4 12 980
Unit root tests in the presence of innovational outliers 0 1 1 50 1 5 15 267
Total Working Papers 27 73 273 7,694 90 324 1,208 26,892


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 1 9 0 1 6 27
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 4 145 0 5 18 308
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 3 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 6 323 1 6 20 785
A lag augmentation test for the cointegrating rank of a VAR process 1 1 3 36 1 2 11 127
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 2 5 61
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 1 68 0 1 6 191
Asymptotically Efficient Estimation of Cointegration Regressions 3 5 22 310 3 9 45 494
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 0 2 4 66
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 1 3 72 3 8 18 181
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 1 1 1 8 1 3 6 34
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 96 0 4 14 252
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 16 0 2 10 41
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 3 31
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 33 0 2 6 91
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 5 52 0 0 15 102
Estimation of Cointegration Vectors with Linear Restrictions 1 1 1 19 1 3 9 47
Forecasting with a noncausal VAR model 0 1 2 12 1 3 11 46
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 2 7 76
Gaussian mixture vector autoregression 0 0 6 6 2 6 44 44
Identification and estimation of non-Gaussian structural vector autoregressions 1 2 3 3 5 14 20 20
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 4 308 0 3 15 640
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 2 25 0 0 6 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 0 3 7 229
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 20 0 3 9 52
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 5 20 49 2,328
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 1 12 0 2 8 37
Modeling Conditional Skewness in Stock Returns 0 0 0 51 1 3 12 198
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 8 137
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 5 167
NONCAUSAL VECTOR AUTOREGRESSION 0 2 6 32 0 4 15 127
Non-linear GARCH models for highly persistent volatility 0 0 0 258 1 2 7 706
Noncausal Autoregressions for Economic Time Series 2 2 7 74 2 4 18 159
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 6 148
Optimal forecasting of noncausal autoregressive time series 0 1 6 32 0 4 14 83
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 1 1 31 1 4 9 93
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 14 0 0 3 51
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 2 7 68
Predicting U.S. Recessions with Dynamic Binary Response Models 0 3 13 220 2 11 42 478
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 1 1 1 18 1 1 10 84
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 7 89
Residual autocorrelation testing for vector error correction models 2 2 17 181 5 15 74 749
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 1 46 1 2 9 101
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 1 1 1 9 1 1 4 54
Stability of nonlinear AR-GARCH models 0 0 0 20 0 0 7 93
Stability results for nonlinear error correction models 0 0 0 57 1 2 12 135
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 39 1 6 33 127
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 1 1 1 48 2 5 13 107
TESTS FOR NONLINEAR COINTEGRATION 1 2 8 69 1 5 28 171
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 3 194 0 2 9 514
Testing cointegration in infinite order vector autoregressive processes 0 0 2 67 0 3 15 180
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 0 15 0 2 8 51
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 3 3 1 2 17 21
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 11 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 2 53 0 4 13 152
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 2 417 1 4 15 1,225
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 3 12 415
Testing for the cointegrating rank of a VAR process with a time trend 2 3 6 132 3 8 20 341
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 4 34 0 2 15 158
Testing linearity in cointegrating smooth transition regressions 0 0 1 113 1 5 21 334
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 49 0 1 8 213
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 2 8 198
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 76 0 0 7 134
Total Journal Articles 18 35 155 4,155 49 216 897 14,880


Statistics updated 2017-05-02