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 5 39 0 0 14 113
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 2 8 35 2,231
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 1 4 103 1 5 24 324
A review of systemscointegration tests 0 0 3 22 1 6 17 618
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 4 178
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 3 325 0 0 7 722
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 1 2 9 58
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 2 4 43 2 7 20 225
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 3 202 1 1 11 525
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 46 2 2 12 238
Comparison of unit root tests for time series with level shifts 0 0 6 112 0 1 18 638
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 324 0 3 11 1,066
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 3 154 0 2 13 380
Forecasting with a noncausal VAR model 0 0 1 97 0 3 22 121
GMM Estimation with Noncausal Instruments 0 0 1 43 0 0 8 72
Identification and estimation of non-Gaussian structural vector autoregressions 3 7 31 85 7 21 68 118
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 15 542
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 3 1 1 9 129
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 1 1 2 60 2 2 17 235
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 7 22 151 573 33 102 641 2,784
Modeling Conditional Skewness in Stock Returns 0 0 1 376 1 4 13 1,105
Modeling Expectations with Noncausal Autoregressions 0 2 4 117 1 4 13 326
Modeling Expectations with Noncausal Autoregressions 0 1 1 46 0 2 9 107
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 8 623
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 2 32 2 5 7 143
Noncausal Vector Autoregression 2 3 5 86 3 5 17 160
Noncausal autoregressions for economic time series 1 3 9 62 2 7 29 179
Noncausal vector autoregression 0 0 1 83 1 3 16 207
Nonlinear GARCH models for highly persistent volatility 0 0 3 81 1 2 12 364
On the estimation of Euler equations in the presence of a potential regime shift 0 0 2 15 1 2 11 62
Optimal Forecasting of Noncausal Autoregressive Time Series 1 2 4 82 1 3 13 147
Order selection in testing for the cointegrating rank of a VAR process 1 1 8 23 1 1 13 282
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 1 9 416
Parameter estimation in nonlinear AR-GARCH models 0 0 1 46 0 2 9 157
Parameter estimation in nonlinear AR-GARCH models 0 0 1 234 0 1 12 626
Parameter estimation in nonlinear AR–GARCH models 1 2 7 133 1 3 31 491
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 0 5 69
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 557 1 3 9 1,765
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 4 516
Stability of nonlinear AR-GARCH models 0 0 3 11 1 2 10 53
Stability of nonlinear AR-GARCH models 0 1 2 173 0 3 11 395
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 51 3 3 8 448
Supplementary appendix to "noncausal vector autoregression" 1 1 2 24 1 3 9 46
Test procedures for unit roots in time series with level shifts at unknown time 0 1 7 105 0 2 21 492
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 41 2 3 15 143
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 2 408 0 0 8 767
Testing for a unit root in a time series with a level shift at unknown time 1 1 2 73 1 1 6 317
Testing for a unit root in noncausal autoregressive models 0 0 2 47 2 5 22 80
Testing for predictability in a noninvertible ARMA model 0 0 0 71 1 2 10 119
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 132 0 1 21 389
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 129 0 0 8 269
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 9 228
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 4 132 0 0 9 283
Testing for the cointegrating rank of a VAR process with an intercept 0 0 3 19 0 1 12 217
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 2 103 3 5 16 470
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 6 25 1 4 17 268
Testing for unit roots in time series with level shifts 0 0 2 5 2 2 6 355
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 1 8 526
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 2 3 10 0 2 12 196
Unit root tests for time series with a structural break: When the break point is known 2 3 5 272 2 4 15 974
Unit root tests in the presence of innovational outliers 0 0 1 49 0 2 14 260
Total Working Papers 22 58 315 7,570 89 264 1,482 26,357


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 3 9 1 2 12 26
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 4 142 1 4 19 297
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 1 9 0 1 7 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 1 6 320 0 3 19 775
A lag augmentation test for the cointegrating rank of a VAR process 1 1 2 35 4 5 11 125
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 0 6 59
Asymptotic relative efficiency of the classical test statistics under misspecification 0 1 3 68 0 2 11 190
Asymptotically Efficient Estimation of Cointegration Regressions 3 5 27 302 5 10 61 479
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 1 13 0 0 4 64
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 2 70 1 2 15 171
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 0 1 7 31
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 96 1 3 13 247
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 2 10 39
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 1 6 31
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 33 0 0 7 89
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 6 50 2 7 16 99
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 0 2 8 44
Forecasting with a noncausal VAR model 0 0 3 11 1 3 13 42
GMM Estimation with Non‐causal Instruments 0 0 2 17 0 1 8 74
Gaussian mixture vector autoregression 0 1 5 5 13 18 36 36
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 2 5 307 0 4 25 636
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 2 25 0 0 11 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 0 0 8 225
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 20 0 0 7 49
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 3 10 39 2,301
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 1 12 2 2 8 35
Modeling Conditional Skewness in Stock Returns 0 0 0 51 1 3 13 195
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 4 9 136
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 3 4 10 167
NONCAUSAL VECTOR AUTOREGRESSION 1 1 6 28 4 4 28 120
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 0 6 703
Noncausal Autoregressions for Economic Time Series 1 1 9 69 2 3 20 148
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 1 6 148
Optimal forecasting of noncausal autoregressive time series 2 4 5 30 2 4 11 76
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 2 30 2 2 10 88
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 14 1 1 7 51
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 1 2 5 66
Predicting U.S. Recessions with Dynamic Binary Response Models 1 2 26 215 4 8 50 458
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 1 2 10 82
Reducing size distortions of parametric stationarity tests 0 0 0 20 1 3 8 89
Residual autocorrelation testing for vector error correction models 3 5 22 175 8 14 77 716
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 1 45 2 2 9 97
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 0 4 53
Stability of nonlinear AR-GARCH models 0 0 0 20 1 1 8 91
Stability results for nonlinear error correction models 0 0 0 57 1 5 13 132
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 39 5 12 21 114
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 2 47 0 0 10 100
TESTS FOR NONLINEAR COINTEGRATION 0 4 9 66 4 10 28 160
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 2 193 2 2 8 511
Testing cointegration in infinite order vector autoregressive processes 0 0 1 66 2 7 15 176
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 2 15 1 1 10 48
Testing for a Unit Root in Noncausal Autoregressive Models 0 2 3 3 3 7 17 17
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 1 14 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 51 1 1 13 146
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 2 415 1 2 12 1,217
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 2 11 412
Testing for the cointegrating rank of a VAR process with a time trend 0 1 5 128 0 2 21 330
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 3 32 1 3 15 151
Testing linearity in cointegrating smooth transition regressions 0 0 3 112 1 3 24 325
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 49 1 2 10 211
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 7 194
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 1 1 3 75 1 1 8 131
Total Journal Articles 13 36 188 4,084 94 203 935 14,532


Statistics updated 2016-11-03