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 0 1 19 1 3 10 53
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 2 3 18 935 13 32 81 2,083
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 2 12 78 1 9 60 201
A review of systemscointegration tests 0 1 2 2 3 5 16 563
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 2 2 6 169
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 6 310 1 1 19 693
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 3 19 5 6 12 40
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 2 2 31 1 3 7 177
Cointegration Vector Autoregressive Processes with Continuous Structural Changes 0 0 0 0 0 2 6 342
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 2 2 6 195 9 22 30 487
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 2 2 42 1 3 7 203
Comparison of unit root tests for time series with level shifts 0 1 1 99 2 6 19 596
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 1 2 2 320 3 5 30 1,012
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 2 3 8 142 3 5 23 335
Forecasting with a noncausal VAR model 2 6 67 67 7 17 38 38
GMM Estimation with Noncausal Instruments 1 3 6 37 1 6 21 43
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 5 11 512
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 1 1 1 0 3 5 110
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 3 6 35 35 9 20 73 73
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 7 17 19 125 24 54 91 924
Modeling Conditional Skewness in Stock Returns 0 0 4 369 1 1 23 1,079
Modeling Expectations with Noncausal Autoregressions 1 1 2 40 3 4 7 85
Modeling Expectations with Noncausal Autoregressions 1 4 11 93 3 9 51 242
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 3 10 19 593
Modeling the US short-term interest rate by mixture autoregressive processes 1 2 2 22 3 5 7 116
Noncausal Vector Autoregression 0 3 10 64 6 12 30 86
Noncausal autoregressions for economic time series 0 8 10 14 1 14 25 42
Noncausal vector autoregression 0 2 5 77 0 3 17 152
Nonlinear GARCH models for highly persistent volatility 1 3 4 73 1 5 11 324
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 1 1 3 12 2 3 9 44
On the Estimation of Euler Equations in the Presence of a Potential Regime Shifts 0 0 0 1 0 1 5 250
Optimal Forecasting of Noncausal Autoregressive Time Series 0 4 6 63 1 9 27 93
Order selection in testing for the cointegrating rank of a VAR process 0 2 3 3 1 7 14 247
Parameter Estimation in Nonlinear AR-GARCH Models 1 1 3 177 4 5 24 389
Parameter estimation in nonlinear AR-GARCH models 1 4 19 221 5 17 53 560
Parameter estimation in nonlinear AR-GARCH models 1 2 2 40 3 5 12 122
Parameter estimation in nonlinear AR–GARCH models 2 5 15 99 4 18 82 303
Reducing size distortions of parametric stationarity tests 0 0 0 4 0 1 2 53
Residual Autocorrelation Testing for Vector Error Correction Models 5 9 21 529 13 24 66 1,646
Stability of nonlinear AR-GARCH models 1 1 3 191 8 20 34 487
Stability of nonlinear AR-GARCH models 0 2 5 167 6 23 39 361
Stability of nonlinear AR-GARCH models 0 0 0 4 1 7 10 25
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 3 4 5 47 3 5 11 430
Supplementary appendix to "noncausal vector autoregression" 0 2 4 13 0 5 9 16
Test procedures for unit roots in time series with level shifts at unknown time 0 3 3 72 3 9 19 400
Testing for Predictability in a Noninvertible ARMA Model 1 1 28 28 2 11 54 54
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 1 4 19 393 1 8 39 724
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 69 1 1 9 301
Testing for predictability in a noninvertible ARMA model 2 2 21 50 3 13 44 57
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 2 3 12 124 3 10 28 327
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 2 9 119 0 7 19 237
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 3 10 198
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 1 6 118 3 5 23 242
Testing for the cointegrating rank of a VAR process with an intercept 0 2 2 2 0 3 9 163
Testing for the cointegrating rank of a VAR process with level shift at unknown time 1 2 2 91 3 7 16 420
Testing for the cointegrating rank of a VAR process with structural shifts 2 3 3 3 2 5 14 227
Testing for unit roots in time series with level shifts 0 1 1 1 2 3 12 338
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 3 4 8 482
Trend adjustment prior to testing for the cointegrating rank of a VAR process 1 3 3 3 3 11 13 164
Unit root tests for time series with a structural break: When the break point is known 0 1 1 257 2 5 16 937
Unit root tests in the presence of innovational outliers 0 0 0 43 0 0 1 237
Total Working Papers 51 139 438 6,289 191 527 1,486 21,907

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 1 1 134 1 4 5 257
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 2 8 0 0 2 15
A REVIEW OF SYSTEMS COINTEGRATION TESTS 3 5 21 294 9 18 52 704
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 26 2 5 9 97
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 3 10 1 6 10 43
Asymptotic relative efficiency of the classical test statistics under misspecification 0 2 4 53 0 2 5 143
Asymptotically Efficient Estimation of Cointegration Regressions 4 6 49 198 7 12 66 284
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 2 10 0 1 9 51
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 2 7 55 4 8 20 115
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 1 2 3 21
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 3 14 80 3 9 25 194
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 1 2 2 10 1 2 4 22
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 5 0 0 3 21
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 2 2 8 29 3 3 12 69
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 2 5 14 29 3 7 21 46
Estimation of Cointegration Vectors with Linear Restrictions 1 1 1 14 1 2 4 26
GMM Estimation with Non‐causal Instruments 2 2 7 15 3 5 23 51
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 14 291 1 5 30 571
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 5 18 0 0 6 29
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 1 1 4 76 2 3 18 168
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 3 16 0 0 8 32
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 62 109 281 1,959
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 2 2 2 3 6 9 9
Modeling Conditional Skewness in Stock Returns 0 0 5 45 1 3 19 163
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 2 5 113
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 3 150
Non-linear GARCH models for highly persistent volatility 3 5 18 247 5 9 47 622
Noncausal Autoregressions for Economic Time Series 1 10 21 31 3 17 36 69
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 32 0 0 1 118
Optimal forecasting of noncausal autoregressive time series 1 4 11 11 1 8 24 24
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 3 9 21 1 6 24 47
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 12 0 0 6 35
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 1 14 0 0 2 53
Predicting U.S. Recessions with Dynamic Binary Response Models 3 11 38 117 7 23 79 260
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 1 2 13 1 3 9 57
Reducing size distortions of parametric stationarity tests 0 0 0 19 0 0 0 78
Residual autocorrelation testing for vector error correction models 3 8 22 71 16 37 74 251
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 1 5 41 2 6 17 79
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 2 7 2 5 10 29
Stability of nonlinear AR-GARCH models 0 0 2 19 3 11 16 72
Stability results for nonlinear error correction models 1 1 6 48 5 6 19 94
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 2 14 32 1 7 24 69
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 7 40 0 3 14 69
TESTS FOR NONLINEAR COINTEGRATION 1 2 7 44 2 4 27 87
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 3 178 3 5 14 468
Testing cointegration in infinite order vector autoregressive processes 0 0 6 57 1 2 11 141
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 3 10 389
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 3 41 0 2 11 112
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 2 7 25 388 8 17 69 1,154
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 4 7 18 374
Testing for the cointegrating rank of a VAR process with a time trend 1 2 14 107 5 10 29 265
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 1 6 22 4 6 23 93
Testing linearity in cointegrating smooth transition regressions 0 0 6 102 0 1 16 275
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 2 3 8 43 3 9 29 169
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 3 4 173
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 1 3 9 64 2 6 13 94
Total Journal Articles 37 99 417 3,265 188 430 1,328 11,173

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Statistics updated 2013-05-03