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 2 2 7 31 4 4 19 83
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 1 1 6 946 3 8 46 2,157
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 8 95 6 7 41 271
A review of systemscointegration tests 1 2 7 12 3 5 15 589
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 0 1 313 0 1 2 700
Cointegrated Vector Autoregressive Processes with Continuous Structural Changes 0 0 0 20 0 0 3 46
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 5 38 1 3 12 194
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 195 0 0 11 503
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 44 1 1 11 219
Comparison of unit root tests for time series with level shifts 0 0 1 104 0 0 6 610
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 323 0 2 21 1,040
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 2 146 0 1 9 354
Forecasting with a noncausal VAR model 0 3 6 89 3 6 15 81
GMM Estimation with Noncausal Instruments 0 1 2 39 0 2 7 55
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 7 521
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 1 0 1 2 112
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 1 1 6 52 2 6 60 180
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 10 22 105 281 49 103 421 1,528
Modeling Conditional Skewness in Stock Returns 0 0 0 374 0 0 3 1,089
Modeling Expectations with Noncausal Autoregressions 0 1 2 43 0 1 6 93
Modeling Expectations with Noncausal Autoregressions 0 1 7 109 0 2 27 306
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 10 608
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 3 26 0 2 13 130
Noncausal Vector Autoregression 0 1 6 74 0 1 13 129
Noncausal autoregressions for economic time series 0 2 13 37 1 4 42 114
Noncausal vector autoregression 0 2 4 82 0 3 12 178
Nonlinear GARCH models for highly persistent volatility 0 0 1 76 0 0 8 344
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 1 13 0 1 5 49
Optimal Forecasting of Noncausal Autoregressive Time Series 0 2 6 75 0 2 14 122
Order selection in testing for the cointegrating rank of a VAR process 1 1 3 8 1 1 7 258
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 4 400
Parameter estimation in nonlinear AR-GARCH models 0 0 4 231 0 0 12 593
Parameter estimation in nonlinear AR-GARCH models 0 0 1 43 0 2 7 134
Parameter estimation in nonlinear AR–GARCH models 1 2 10 119 8 17 60 416
Reducing size distortions of parametric stationarity tests 0 0 0 5 0 0 2 58
Residual Autocorrelation Testing for Vector Error Correction Models 1 2 13 548 3 7 41 1,719
Stability of nonlinear AR-GARCH models 0 0 0 192 0 0 7 498
Stability of nonlinear AR-GARCH models 0 0 0 169 0 0 10 376
Stability of nonlinear AR-GARCH models 0 0 0 4 0 1 2 33
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 1 1 2 50 1 1 5 438
Supplementary appendix to "noncausal vector autoregression" 0 0 2 17 0 0 6 30
Test procedures for unit roots in time series with level shifts at unknown time 1 1 9 87 1 3 30 451
Testing for Predictability in a Noninvertible ARMA Model 1 2 5 37 5 6 33 107
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 1 5 403 1 3 14 749
Testing for a unit root in a time series with a level shift at unknown time 0 0 1 71 0 0 4 307
Testing for a unit root in noncausal autoregressive models 0 3 39 40 2 9 39 40
Testing for predictability in a noninvertible ARMA model 1 3 8 68 2 4 16 95
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 3 128 1 4 12 341
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 119 0 0 5 248
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 2 10 210
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 1 2 2 122 1 2 6 257
Testing for the cointegrating rank of a VAR process with an intercept 0 3 7 12 2 8 20 188
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 3 97 1 2 13 445
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 5 13 1 1 8 241
Testing for unit roots in time series with level shifts 0 0 1 2 0 2 6 345
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 5 27 513
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 5 1 1 2 175
Unit root tests for time series with a structural break: When the break point is known 0 0 1 260 1 2 7 948
Unit root tests in the presence of innovational outliers 0 0 1 45 0 0 3 242
Total Working Papers 23 65 325 6,848 107 251 1,279 23,431


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 2 137 1 3 11 272
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 8 0 0 0 16
A REVIEW OF SYSTEMS COINTEGRATION TESTS 2 3 11 308 2 7 24 742
A lag augmentation test for the cointegrating rank of a VAR process 1 2 3 31 1 2 6 112
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 1 12 1 1 4 50
Asymptotic relative efficiency of the classical test statistics under misspecification 0 3 8 62 0 3 17 166
Asymptotically Efficient Estimation of Cointegration Regressions 1 8 27 251 3 12 47 369
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 1 1 12 0 1 5 57
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 2 5 7 65 2 10 20 145
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 6 0 1 1 22
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 10 91 1 2 20 222
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 13 0 0 0 25
Dependent versions of a central limit theorem for the squared length of a sample mean 0 1 2 7 0 1 3 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 77
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 7 42 0 2 17 77
Estimation of Cointegration Vectors with Linear Restrictions 0 0 3 18 0 1 5 33
Forecasting with a noncausal VAR model 0 1 4 4 0 3 15 15
GMM Estimation with Non‐causal Instruments 0 0 0 15 0 0 4 62
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 5 301 1 2 18 603
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 21 0 2 4 38
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 2 4 80 1 5 17 209
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 19 0 0 4 39
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 7 24 160 2,183
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 2 9 1 1 5 23
Modeling Conditional Skewness in Stock Returns 0 0 3 49 0 0 12 178
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 2 117
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 1 2 157
NONCAUSAL VECTOR AUTOREGRESSION 0 1 8 19 2 7 22 64
Non-linear GARCH models for highly persistent volatility 0 1 4 257 5 7 29 676
Noncausal Autoregressions for Economic Time Series 0 1 9 56 1 4 21 118
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 32 0 0 10 130
Optimal forecasting of noncausal autoregressive time series 1 2 8 21 1 6 17 57
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 2 4 26 1 3 11 69
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 13 1 1 2 38
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 1 15 0 0 4 59
Predicting U.S. Recessions with Dynamic Binary Response Models 3 8 33 173 6 12 61 373
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 3 17 0 3 8 67
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 0 81
Residual autocorrelation testing for vector error correction models 4 8 33 123 19 36 155 483
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 2 3 44 1 3 6 87
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 0 0 7 39
Stability of nonlinear AR-GARCH models 0 1 1 20 0 1 2 78
Stability results for nonlinear error correction models 0 2 4 55 0 3 9 114
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 1 1 38 1 4 10 87
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 4 44 0 1 9 83
TESTS FOR NONLINEAR COINTEGRATION 2 3 6 53 4 9 18 116
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 1 3 188 2 4 10 493
Testing cointegration in infinite order vector autoregressive processes 0 1 3 63 0 2 7 155
Testing for Linear and Nonlinear Predictability of Stock Returns 1 5 9 9 2 12 26 26
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 2 10 411
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 4 47 0 1 8 124
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 2 6 16 410 4 8 25 1,197
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 6 388
Testing for the cointegrating rank of a VAR process with a time trend 0 0 5 119 2 3 11 294
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 4 29 0 3 17 127
Testing linearity in cointegrating smooth transition regressions 1 3 6 109 2 4 10 296
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 4 48 0 0 14 193
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 4 7 183
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 1 71 0 1 8 120
Total Journal Articles 20 80 279 3,740 76 229 987 12,860


Statistics updated 2014-12-03