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 1 5 39 0 2 16 113
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 951 4 8 35 2,223
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 1 3 102 2 6 21 319
A review of systemscointegration tests 1 1 4 22 1 6 15 612
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 1 4 178
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 1 2 4 325 1 3 8 722
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 1 4 8 56
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 2 41 1 4 16 218
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 1 2 3 202 2 5 11 524
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 46 3 5 14 236
Comparison of unit root tests for time series with level shifts 2 3 6 112 2 8 22 637
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 12 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 2 17 378
Forecasting with a noncausal VAR model 0 0 2 97 6 6 22 118
GMM Estimation with Noncausal Instruments 0 0 2 43 2 2 9 72
Identification and estimation of non-Gaussian structural vector autoregressions 2 12 34 78 7 20 64 97
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 4 7 16 541
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 1 3 0 1 10 128
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 2 59 1 2 30 233
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 6 39 156 551 36 190 672 2,682
Modeling Conditional Skewness in Stock Returns 1 1 2 376 1 5 10 1,101
Modeling Expectations with Noncausal Autoregressions 0 0 1 45 1 4 9 105
Modeling Expectations with Noncausal Autoregressions 0 1 3 115 1 3 10 322
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 7 621
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 31 0 0 2 138
Noncausal Vector Autoregression 0 0 2 83 0 2 13 155
Noncausal autoregressions for economic time series 0 2 9 59 1 5 27 172
Noncausal vector autoregression 0 0 1 83 0 3 19 204
Nonlinear GARCH models for highly persistent volatility 0 3 4 81 0 4 14 362
On the estimation of Euler equations in the presence of a potential regime shift 0 1 2 15 3 5 10 60
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 4 80 0 3 14 144
Order selection in testing for the cointegrating rank of a VAR process 1 2 8 22 1 3 13 281
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 2 12 415
Parameter estimation in nonlinear AR-GARCH models 0 0 2 46 0 2 8 155
Parameter estimation in nonlinear AR-GARCH models 0 0 1 234 1 4 20 625
Parameter estimation in nonlinear AR–GARCH models 0 0 10 131 2 7 44 488
Reducing size distortions of parametric stationarity tests 0 0 0 6 1 3 6 69
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 2 557 1 1 14 1,762
Stability of nonlinear AR-GARCH models 0 0 4 11 0 0 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 1 12 392
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 1 1 1 51 1 1 5 445
Supplementary appendix to "noncausal vector autoregression" 0 0 1 23 1 1 6 43
Test procedures for unit roots in time series with level shifts at unknown time 1 4 7 104 2 9 25 490
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 41 1 4 16 140
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 1 2 2 408 1 5 11 767
Testing for a unit root in a time series with a level shift at unknown time 1 1 1 72 1 1 7 316
Testing for a unit root in noncausal autoregressive models 2 2 2 47 2 2 19 75
Testing for predictability in a noninvertible ARMA model 0 0 0 71 0 2 9 117
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 129 0 2 11 269
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 132 0 0 21 388
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 1 11 227
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 4 132 0 4 13 283
Testing for the cointegrating rank of a VAR process with an intercept 0 0 4 19 1 2 19 216
Testing for the cointegrating rank of a VAR process with level shift at unknown time 1 2 2 103 2 6 12 465
Testing for the cointegrating rank of a VAR process with structural shifts 1 3 7 24 3 8 17 264
Testing for unit roots in time series with level shifts 0 1 2 5 0 1 5 353
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 2 9 525
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 8 3 4 12 194
Unit root tests for time series with a structural break: When the break point is known 0 1 3 269 1 2 12 970
Unit root tests in the presence of innovational outliers 0 0 1 49 3 6 12 258
Total Working Papers 23 91 330 7,512 112 409 1,556 26,093


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 4 8 1 3 14 24
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 141 1 3 16 293
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 1 9 0 2 6 23
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 2 7 319 2 7 22 772
A lag augmentation test for the cointegrating rank of a VAR process 1 1 2 34 1 4 7 120
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 3 7 59
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 2 67 1 3 14 188
Asymptotically Efficient Estimation of Cointegration Regressions 6 9 25 297 11 20 63 469
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 13 0 2 4 64
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 1 1 3 70 1 6 15 169
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 0 2 6 30
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 1 1 96 1 6 12 244
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 16 1 6 9 37
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 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 0 4 8 89
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 2 6 49 1 5 12 92
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 1 4 8 42
Forecasting with a noncausal VAR model 0 1 3 11 0 4 12 39
GMM Estimation with Non‐causal Instruments 0 0 2 17 2 4 8 73
Gaussian mixture vector autoregression 0 4 4 4 7 18 18 18
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 1 3 305 2 7 23 632
Infinite-Order Cointegrated Vector Autoregressive Processes 0 2 2 25 1 6 11 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 0 3 9 225
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 1 1 1 20 1 6 7 49
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 4 12 45 2,291
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 1 1 12 0 4 8 33
Modeling Conditional Skewness in Stock Returns 0 0 0 51 4 6 11 192
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 3 12 132
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 1 6 163
NONCAUSAL VECTOR AUTOREGRESSION 1 1 5 27 2 4 26 116
Non-linear GARCH models for highly persistent volatility 0 0 0 258 1 4 8 703
Noncausal Autoregressions for Economic Time Series 0 1 10 68 0 4 20 145
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 1 5 10 147
Optimal forecasting of noncausal autoregressive time series 0 0 1 26 0 3 8 72
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 30 0 2 8 86
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 14 1 2 6 50
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 3 3 64
Predicting U.S. Recessions with Dynamic Binary Response Models 0 6 28 213 1 14 53 450
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 4 6 8 80
Reducing size distortions of parametric stationarity tests 0 0 0 20 3 4 5 86
Residual autocorrelation testing for vector error correction models 3 6 24 170 8 27 92 702
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 1 45 1 3 7 95
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 3 4 53
Stability of nonlinear AR-GARCH models 0 0 0 20 0 4 11 90
Stability results for nonlinear error correction models 0 0 0 57 1 4 9 127
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 1 1 1 39 4 8 11 102
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 2 47 2 6 12 100
TESTS FOR NONLINEAR COINTEGRATION 1 1 5 62 1 7 22 150
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 2 2 2 193 2 4 6 509
Testing cointegration in infinite order vector autoregressive processes 0 1 1 66 0 4 9 169
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 2 15 1 4 9 47
Testing for a Unit Root in Noncausal Autoregressive Models 1 1 1 1 3 6 10 10
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 8 10 15 430
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 4 51 0 6 16 145
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 2 415 2 5 11 1,215
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 4 7 13 410
Testing for the cointegrating rank of a VAR process with a time trend 1 1 6 127 3 7 25 328
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 2 31 1 5 13 148
Testing linearity in cointegrating smooth transition regressions 0 0 3 112 4 9 21 322
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 49 0 4 12 209
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 2 3 7 193
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 74 1 3 8 130
Total Journal Articles 21 48 179 4,048 104 346 896 14,329


Statistics updated 2016-08-02