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 2 39 2 4 12 119
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 1 9 35 2,243
A note on the geometric ergodicity of a nonlinear AR–ARCH model 1 1 4 104 3 6 22 330
A review of systemscointegration tests 0 0 3 22 2 5 20 623
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 1 4 179
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 2 325 2 4 7 726
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 21 0 0 9 59
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 5 44 1 4 22 230
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 3 203 3 3 12 529
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 1 1 1 47 3 5 14 243
Comparison of unit root tests for time series with level shifts 0 1 6 113 2 6 20 644
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 3 155 2 3 11 383
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 1 1 1 325 4 4 11 1,070
Forecasting with a noncausal VAR model 1 1 1 98 3 3 17 124
GMM Estimation with Noncausal Instruments 0 0 0 43 1 3 9 75
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 26 89 4 13 69 139
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 9 543
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 3 2 2 6 131
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 2 60 1 1 10 237
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 6 25 132 601 24 80 538 2,883
Modeling Conditional Skewness in Stock Returns 0 0 2 377 2 2 13 1,108
Modeling Expectations with Noncausal Autoregressions 0 0 2 47 1 1 10 109
Modeling Expectations with Noncausal Autoregressions 0 0 4 118 1 3 15 331
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 3 9 626
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 2 32 2 4 11 148
Noncausal Vector Autoregression 0 0 3 86 3 5 15 165
Noncausal autoregressions for economic time series 0 0 8 64 4 8 31 190
Noncausal vector autoregression 0 0 0 83 1 1 8 209
Nonlinear GARCH models for highly persistent volatility 0 0 3 81 3 5 14 369
On the estimation of Euler equations in the presence of a potential regime shift 0 0 2 15 1 1 9 63
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 4 83 3 6 16 154
Order selection in testing for the cointegrating rank of a VAR process 0 3 7 26 2 5 13 287
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 2 7 418
Parameter estimation in nonlinear AR-GARCH models 1 1 2 235 3 6 13 632
Parameter estimation in nonlinear AR-GARCH models 0 0 1 46 1 1 6 158
Parameter estimation in nonlinear AR–GARCH models 0 1 6 134 1 8 29 500
Reducing size distortions of parametric stationarity tests 0 0 0 6 2 2 5 71
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 557 0 1 8 1,766
Stability of nonlinear AR-GARCH models 0 0 1 11 1 2 7 55
Stability of nonlinear AR-GARCH models 0 0 1 173 1 1 8 397
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 1 516
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 51 0 0 6 448
Supplementary appendix to "noncausal vector autoregression" 0 1 2 25 0 1 7 47
Test procedures for unit roots in time series with level shifts at unknown time 0 1 7 107 4 5 20 498
Testing for Predictability in a Noninvertible ARMA Model 0 1 1 42 3 7 19 152
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 2 408 2 2 8 769
Testing for a unit root in a time series with a level shift at unknown time 0 0 2 73 1 3 8 320
Testing for a unit root in noncausal autoregressive models 1 3 6 51 2 4 15 86
Testing for predictability in a noninvertible ARMA model 0 0 0 71 3 5 13 124
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 129 2 2 7 272
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 132 3 3 8 392
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 3 3 6 231
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 2 132 2 2 9 285
Testing for the cointegrating rank of a VAR process with an intercept 1 1 1 20 2 2 8 219
Testing for the cointegrating rank of a VAR process with level shift at unknown time 2 2 5 106 4 4 19 476
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 5 25 3 3 19 272
Testing for unit roots in time series with level shifts 0 1 3 6 0 2 6 357
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 3 12 533
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 2 10 0 0 8 196
Unit root tests for time series with a structural break: When the break point is known 0 0 4 272 1 2 13 977
Unit root tests in the presence of innovational outliers 0 0 0 49 2 2 14 264
Total Working Papers 15 47 282 7,634 136 279 1,330 26,700


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 2 9 1 1 8 27
A Multivariate Generalized Orthogonal Factor GARCH Model 1 1 4 145 4 7 19 307
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 5 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 3 6 323 2 6 18 781
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 35 1 1 11 126
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 2 2 6 61
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 2 68 1 1 9 191
Asymptotically Efficient Estimation of Cointegration Regressions 0 3 21 305 1 6 45 486
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 2 2 5 66
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 3 71 2 3 15 175
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 7 1 1 6 32
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 96 3 3 16 251
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 16 1 1 9 40
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 4 31
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 33 2 2 8 91
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 7 52 0 2 17 102
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 18 1 1 9 45
Forecasting with a noncausal VAR model 1 1 3 12 2 2 11 45
GMM Estimation with Non‐causal Instruments 0 0 0 17 2 2 8 76
Gaussian mixture vector autoregression 0 0 6 6 1 1 39 39
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 4 308 2 2 18 639
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 2 25 0 0 7 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 82 2 2 8 228
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 20 1 1 8 50
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 8 11 42 2,316
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 1 12 2 2 8 37
Modeling Conditional Skewness in Stock Returns 0 0 0 51 2 2 12 197
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 1 8 137
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 7 167
NONCAUSAL VECTOR AUTOREGRESSION 1 2 5 31 3 4 15 126
Non-linear GARCH models for highly persistent volatility 0 0 0 258 1 2 7 705
Noncausal Autoregressions for Economic Time Series 0 3 8 72 2 9 21 157
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 6 148
Optimal forecasting of noncausal autoregressive time series 1 1 6 32 4 4 14 83
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 1 1 2 31 3 4 13 92
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 14 0 0 5 51
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 1 1 6 67
Predicting U.S. Recessions with Dynamic Binary Response Models 0 2 15 217 3 8 45 470
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 17 0 1 10 83
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 7 89
Residual autocorrelation testing for vector error correction models 0 2 22 179 5 15 85 739
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 1 2 46 1 3 11 100
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 0 3 53
Stability of nonlinear AR-GARCH models 0 0 0 20 0 1 8 93
Stability results for nonlinear error correction models 0 0 0 57 1 2 13 134
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 39 2 6 30 123
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 47 2 4 11 104
TESTS FOR NONLINEAR COINTEGRATION 1 2 8 68 3 8 31 169
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 1 3 194 1 2 10 513
Testing cointegration in infinite order vector autoregressive processes 0 1 2 67 1 2 16 178
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 15 2 3 10 51
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 3 3 1 2 19 20
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 13 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 2 52 2 3 13 150
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 2 416 1 4 14 1,222
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 2 2 11 414
Testing for the cointegrating rank of a VAR process with a time trend 0 0 3 129 3 5 19 336
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 1 2 5 34 1 4 17 157
Testing linearity in cointegrating smooth transition regressions 0 1 3 113 2 6 24 331
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 49 1 1 10 213
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 2 3 8 198
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 2 76 0 1 9 134
Total Journal Articles 7 31 161 4,126 97 175 920 14,755


Statistics updated 2017-03-07