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 0 39 0 0 6 119
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 0 0 20 2,243
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 2 5 107 0 4 17 336
A review of systemscointegration tests 1 1 3 25 1 1 18 630
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 2 180
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 3 328 0 2 10 732
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 0 0 3 59
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 1 6 47 1 1 17 235
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 1 203 0 0 8 532
Comparison of Unit Root Tests for Time Series with Level Shifts 0 1 3 3 0 1 7 7
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 2 48 0 0 9 245
Comparison of unit root tests for time series with level shifts 0 2 3 115 0 2 10 647
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 325 1 1 8 1,071
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 155 0 0 5 383
Forecasting with a noncausal VAR model 0 0 2 99 0 0 8 126
GMM Estimation with Noncausal Instruments 0 0 1 44 1 1 6 78
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 16 94 2 4 52 149
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 3 7 548
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 1 1 4 0 1 5 133
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 1 60 0 0 5 238
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 12 32 101 652 29 120 399 3,081
Modeling Conditional Skewness in Stock Returns 0 0 2 378 0 0 8 1,109
Modeling Expectations with Noncausal Autoregressions 0 0 3 48 0 0 6 111
Modeling Expectations with Noncausal Autoregressions 0 0 4 119 0 1 11 333
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 5 626
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 32 2 6 19 157
Noncausal Vector Autoregression 0 2 7 90 0 2 16 171
Noncausal autoregressions for economic time series 0 3 9 68 1 5 26 198
Noncausal vector autoregression 0 1 2 85 0 2 9 213
Nonlinear GARCH models for highly persistent volatility 0 0 1 82 0 0 9 371
On the estimation of Euler equations in the presence of a potential regime shift 0 0 1 16 0 0 4 64
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 4 84 1 3 14 158
Order selection in testing for the cointegrating rank of a VAR process 1 1 5 27 1 4 11 292
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 3 418
Parameter estimation in nonlinear AR-GARCH models 0 0 1 47 0 0 4 159
Parameter estimation in nonlinear AR-GARCH models 0 0 2 236 0 2 10 635
Parameter estimation in nonlinear AR–GARCH models 1 1 5 136 2 3 17 505
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 1 3 72
Residual Autocorrelation Testing for Vector Error Correction Models 0 1 3 560 0 1 11 1,773
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 0 516
Stability of nonlinear AR-GARCH models 0 0 0 11 0 0 5 56
Stability of nonlinear AR-GARCH models 0 0 1 173 0 0 5 397
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 51 0 0 4 449
Supplementary appendix to "noncausal vector autoregression" 0 0 2 25 0 0 5 48
Test procedures for unit roots in time series with level shifts at unknown time 0 0 4 108 2 4 15 505
Testing for Predictability in a Noninvertible ARMA Model 0 1 2 43 0 1 13 153
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 408 0 1 5 772
Testing for a unit root in a time series with a level shift at unknown time 0 0 1 73 0 1 7 323
Testing for a unit root in noncausal autoregressive models 0 0 6 53 0 1 15 90
Testing for predictability in a noninvertible ARMA model 0 0 0 71 0 0 8 125
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 129 0 0 4 273
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 133 0 0 6 394
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 5 232
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 132 0 0 4 287
Testing for the cointegrating rank of a VAR process with an intercept 0 0 2 21 0 0 5 221
Testing for the cointegrating rank of a VAR process with level shift at unknown time 1 3 8 111 1 4 20 485
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 2 26 0 0 10 274
Testing for unit roots in time series with level shifts 0 0 1 6 1 1 7 360
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 2 11 536
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 10 0 1 5 199
Unit root tests for time series with a structural break: When the break point is known 0 1 5 274 1 2 12 982
Unit root tests in the presence of innovational outliers 0 0 1 50 1 2 11 269
Total Working Papers 17 56 238 7,750 49 191 990 27,083


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 1 2 3 11 1 4 7 31
A Multivariate Generalized Orthogonal Factor GARCH Model 0 2 6 147 1 3 18 311
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 1 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 1 5 324 2 5 18 790
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 36 0 1 8 128
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 0 2 61
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 1 68 0 0 3 191
Asymptotically Efficient Estimation of Cointegration Regressions 5 13 26 323 9 20 45 514
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 0 0 2 66
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 3 5 75 0 16 28 197
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 0 0 4 34
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 96 0 0 8 252
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 0 4 41
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 1 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 3 5 94
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 4 53 1 3 13 105
Estimation of Cointegration Vectors with Linear Restrictions 0 0 1 19 0 0 5 47
Forecasting with a noncausal VAR model 0 1 2 13 1 2 9 48
GMM Estimation with Non‐causal Instruments 0 0 0 17 1 1 4 77
Gaussian mixture vector autoregression 1 1 3 7 4 7 33 51
Identification and estimation of non-Gaussian structural vector autoregressions 0 2 5 5 2 8 28 28
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 2 5 310 1 3 11 643
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 25 0 0 0 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 1 1 1 83 1 2 6 231
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 1 1 21 0 1 4 53
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 7 44 2,335
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 12 0 0 4 37
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 0 6 198
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 5 137
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 4 167
NONCAUSAL VECTOR AUTOREGRESSION 0 2 7 34 2 7 18 134
Non-linear GARCH models for highly persistent volatility 0 0 0 258 1 1 4 707
Noncausal Autoregressions for Economic Time Series 0 1 7 75 0 3 17 162
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 1 148
Optimal forecasting of noncausal autoregressive time series 0 1 7 33 0 1 12 84
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 1 31 0 0 7 93
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 1 1 15 0 1 2 52
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 4 68
Predicting U.S. Recessions with Dynamic Binary Response Models 0 5 12 225 0 7 35 485
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 1 18 0 0 4 84
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 3 89
Residual autocorrelation testing for vector error correction models 1 2 13 183 7 13 60 762
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 1 46 0 1 7 102
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 9 0 0 1 54
Stability of nonlinear AR-GARCH models 0 0 0 20 0 0 3 93
Stability results for nonlinear error correction models 0 0 0 57 0 0 8 135
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 39 0 0 25 127
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 1 48 0 0 7 107
TESTS FOR NONLINEAR COINTEGRATION 0 1 8 70 0 4 25 175
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 194 0 0 5 514
Testing cointegration in infinite order vector autoregressive processes 0 1 2 68 0 2 13 182
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 0 15 0 0 4 51
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 2 3 0 0 11 21
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 1 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 53 0 0 7 152
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 2 417 0 0 10 1,225
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 2 7 417
Testing for the cointegrating rank of a VAR process with a time trend 2 3 8 135 2 4 17 345
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 2 5 36 2 5 15 163
Testing linearity in cointegrating smooth transition regressions 0 0 1 113 2 4 16 338
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 49 0 0 4 213
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 6 199
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 76 1 1 5 135
Total Journal Articles 13 49 156 4,204 42 143 694 15,023


Statistics updated 2017-08-03