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 2 5 39 0 4 16 113
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 951 2 10 34 2,219
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 2 4 102 1 7 22 317
A review of systemscointegration tests 0 1 3 21 2 6 15 611
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 1 5 177
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 4 324 0 2 8 721
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 0 21 2 4 7 55
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 2 41 1 7 15 217
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 1 3 201 0 4 10 522
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 46 1 4 12 233
Comparison of unit root tests for time series with level shifts 1 2 4 110 4 10 20 635
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 324 0 4 13 1,063
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 5 154 0 4 18 378
Forecasting with a noncausal VAR model 0 0 3 97 0 2 17 112
GMM Estimation with Noncausal Instruments 0 0 2 43 0 3 7 70
Identification and estimation of non-Gaussian structural vector autoregressions 6 13 33 76 7 17 60 90
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 3 13 537
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 3 1 3 11 128
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 2 59 0 2 31 232
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 16 55 167 545 61 228 690 2,646
Modeling Conditional Skewness in Stock Returns 0 0 1 375 2 4 9 1,100
Modeling Expectations with Noncausal Autoregressions 1 1 3 115 2 4 9 321
Modeling Expectations with Noncausal Autoregressions 0 0 1 45 2 3 8 104
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 2 8 621
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 2 31 0 0 4 138
Noncausal Vector Autoregression 0 0 3 83 1 3 14 155
Noncausal autoregressions for economic time series 1 2 10 59 3 8 30 171
Noncausal vector autoregression 0 0 1 83 0 1 17 202
Nonlinear GARCH models for highly persistent volatility 2 3 4 81 3 5 14 362
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 1 2 15 1 2 7 57
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 4 80 1 5 14 144
Order selection in testing for the cointegrating rank of a VAR process 1 2 7 21 2 4 14 280
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 3 12 415
Parameter estimation in nonlinear AR-GARCH models 0 0 1 234 0 4 19 624
Parameter estimation in nonlinear AR-GARCH models 0 0 2 46 1 2 8 155
Parameter estimation in nonlinear AR–GARCH models 0 2 10 131 1 10 44 486
Reducing size distortions of parametric stationarity tests 0 0 0 6 1 2 5 68
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 2 557 0 2 13 1,761
Stability of nonlinear AR-GARCH models 0 0 4 11 0 2 9 51
Stability of nonlinear AR-GARCH models 0 0 0 193 0 1 9 516
Stability of nonlinear AR-GARCH models 0 0 2 172 0 2 12 392
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 50 0 1 4 444
Supplementary appendix to "noncausal vector autoregression" 0 0 2 23 0 0 6 42
Test procedures for unit roots in time series with level shifts at unknown time 0 3 8 103 3 9 26 488
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 41 1 4 15 139
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 1 1 407 1 5 10 766
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 71 0 3 6 315
Testing for a unit root in noncausal autoregressive models 0 0 0 45 0 1 19 73
Testing for predictability in a noninvertible ARMA model 0 0 0 71 1 4 9 117
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 129 2 2 11 269
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 132 0 3 22 388
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 11 226
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 1 4 132 2 6 13 283
Testing for the cointegrating rank of a VAR process with an intercept 0 0 4 19 0 3 18 215
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 1 1 102 3 6 10 463
Testing for the cointegrating rank of a VAR process with structural shifts 0 3 6 23 2 7 15 261
Testing for unit roots in time series with level shifts 0 2 2 5 0 2 5 353
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 1 8 523
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 8 1 2 10 191
Unit root tests for time series with a structural break: When the break point is known 1 1 4 269 1 3 12 969
Unit root tests in the presence of innovational outliers 0 0 2 49 1 4 10 255
Total Working Papers 29 103 338 7,489 124 461 1,543 25,979


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 1 6 8 1 3 16 23
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 4 141 1 4 17 292
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 1 9 1 3 6 23
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 1 6 318 2 7 20 770
A lag augmentation test for the cointegrating rank of a VAR process 0 0 1 33 1 4 6 119
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 1 3 7 59
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 3 67 1 4 15 187
Asymptotically Efficient Estimation of Cointegration Regressions 1 7 21 291 5 16 55 458
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 13 1 2 4 64
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 2 69 2 7 14 168
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 1 3 6 30
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 1 96 1 7 11 243
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 16 2 5 8 36
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 1 2 5 30
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 33 2 5 8 89
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 2 4 6 49 3 6 12 91
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 2 5 7 41
Forecasting with a noncausal VAR model 0 1 3 11 2 4 12 39
GMM Estimation with Non‐causal Instruments 0 0 2 17 0 2 6 71
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 304 3 8 22 630
Infinite-Order Cointegrated Vector Autoregressive Processes 1 2 2 25 2 5 10 53
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 2 4 9 225
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 19 4 6 6 48
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 3 12 46 2,287
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 1 1 12 1 4 8 33
Modeling Conditional Skewness in Stock Returns 0 0 1 51 0 3 8 188
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 3 12 132
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 1 6 163
NONCAUSAL VECTOR AUTOREGRESSION 0 0 4 26 1 2 25 114
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 4 7 702
Noncausal Autoregressions for Economic Time Series 1 3 10 68 3 8 20 145
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 1 4 13 146
Optimal forecasting of noncausal autoregressive time series 0 0 2 26 1 3 9 72
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 3 30 1 3 10 86
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 14 0 1 5 49
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 1 3 3 64
Predicting U.S. Recessions with Dynamic Binary Response Models 3 9 29 213 7 19 53 449
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 3 4 76
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 1 2 83
Residual autocorrelation testing for vector error correction models 1 9 23 167 10 34 92 694
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 1 1 45 1 4 6 94
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 1 3 4 53
Stability of nonlinear AR-GARCH models 0 0 0 20 2 4 11 90
Stability results for nonlinear error correction models 0 0 0 57 1 5 8 126
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 38 3 5 8 98
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 2 47 1 4 10 98
TESTS FOR NONLINEAR COINTEGRATION 0 1 4 61 2 9 22 149
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 191 0 2 5 507
Testing cointegration in infinite order vector autoregressive processes 0 1 1 66 2 7 9 169
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 3 15 1 5 9 46
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 0 1 5 7 7
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 3 8 422
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 4 51 4 7 16 145
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 2 415 1 5 9 1,213
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 2 3 9 406
Testing for the cointegrating rank of a VAR process with a time trend 0 0 5 126 3 7 22 325
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 2 2 31 3 7 12 147
Testing linearity in cointegrating smooth transition regressions 0 0 3 112 2 7 17 318
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 49 1 5 12 209
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 6 191
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 74 0 3 7 129
Total Journal Articles 11 47 168 4,023 104 324 822 14,214


Statistics updated 2016-07-02