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 48 0 2 18 174
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 0 6 2,283
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 0 0 10 49
A mixture autoregressive model based on Student’s t–distribution 0 0 1 23 1 2 14 39
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 117 0 1 23 409
A review of systemscointegration tests 0 0 0 35 0 1 10 669
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 1 8 196
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 1 1 1 332 1 2 10 757
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 0 0 5 84
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 0 57 0 2 8 274
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 2 15 560
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 2 17 87
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 8 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 2 16 700
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 160 0 1 21 432
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 0 1 22 1,128
Forecasting with a noncausal VAR model 0 0 0 104 0 1 4 168
GMM Estimation with Noncausal Instruments 0 0 0 46 1 3 22 129
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 1 15 220
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 9 576
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 3 14 157
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 1 1 13 285
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 1 1 763 1 3 24 3,723
Modeling Conditional Skewness in Stock Returns 0 0 0 384 0 2 11 1,138
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 2 11 370
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 0 1 11 139
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 13 667
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 0 6 205
Noncausal Vector Autoregression 0 0 0 101 0 1 24 251
Noncausal autoregressions for economic time series 0 1 3 100 1 3 25 316
Noncausal vector autoregression 0 0 1 89 0 1 12 257
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 0 7 400
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 0 0 10 85
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 0 1 14 205
Order selection in testing for the cointegrating rank of a VAR process 0 0 0 40 0 1 14 340
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 2 11 449
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 0 1 8 197
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 0 1 12 681
Parameter estimation in nonlinear AR–GARCH models 0 0 1 144 0 1 18 591
Reducing size distortions of parametric stationarity tests 0 0 0 8 1 2 9 94
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 0 3 13 1,825
Stability of nonlinear AR-GARCH models 0 0 0 178 0 1 9 438
Stability of nonlinear AR-GARCH models 0 0 0 197 1 1 19 561
Stability of nonlinear AR-GARCH models 0 0 0 13 0 0 12 80
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 3 3 12 479
Stationarity and ergodicity of vector STAR models 0 0 0 35 0 0 7 58
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 1 1 8 28
Subgeometrically ergodic autoregressions 0 0 0 18 3 3 13 54
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 1 30 0 0 11 25
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 12 77
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 15 577
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 0 1 24 156
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 10 197
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 0 0 12 822
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 1 7 354
Testing for a unit root in noncausal autoregressive models 0 0 0 60 0 1 15 139
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 1 26 0 0 10 38
Testing for predictability in a noninvertible ARMA model 0 0 1 74 0 1 15 162
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 0 14 423
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 15 273
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 0 9 328
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 0 2 13 265
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 0 0 22 317
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 0 0 8 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 0 48 0 1 14 340
Testing for unit roots in time series with level shifts 0 0 0 12 0 0 7 390
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 1 19 581
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 9 227
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 0 1 14 1,051
Unit root tests in the presence of innovational outliers 0 0 1 60 0 1 15 320
Total Working Papers 1 3 16 8,510 16 74 911 30,878

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 1 22 0 2 21 98
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 170 1 2 14 382
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 1 2 8 38
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 0 2 16 875
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 1 1 23 167
A mixture autoregressive model based on Student’s t–distribution 0 0 0 2 1 2 13 21
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 0 0 12 83
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 1 3 8 13
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 0 0 6 13
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 0 0 3 215
Asymptotically Efficient Estimation of Cointegration Regressions 0 1 5 478 3 4 32 946
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 0 15 98
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 0 0 13 265
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 0 10 52
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 1 4 13 283
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 3 16 44
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 21 0 1 9 65
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 7 42
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 35 0 0 15 131
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 4 115 0 2 19 311
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 1 1 10 75
Forecasting with a noncausal VAR model 0 0 0 20 1 1 11 88
GMM Estimation with Non‐causal Instruments 0 0 0 20 0 2 14 107
Gaussian mixture vector autoregression 0 1 1 33 0 3 19 176
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 6 56 2 6 34 222
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 1 1 320 1 1 8 692
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 1 2 8 81
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 0 0 4 253
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 1 3 10 80
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 1 16 2,494
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 0 1 10 65
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 1 15 241
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 1 11 167
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 0 2 20 264
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 1 10 745
Noncausal Autoregressions for Economic Time Series 0 1 13 157 1 8 47 395
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 1 1 12 17
Optimal forecasting of noncausal autoregressive time series 0 0 0 56 1 3 17 160
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 1 1 10 136
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 0 3 17 92
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 1 1 12 82
Predicting U.S. Recessions with Dynamic Binary Response Models 2 7 31 478 4 17 74 1,001
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 1 1 6 111
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 0 10 110
Residual autocorrelation testing for vector error correction models 0 2 7 218 0 2 30 954
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 6 6 11 132
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 1 12 76
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 0 1 7 9
Stability of nonlinear AR‐GARCH models 0 0 0 21 0 0 11 114
Stability results for nonlinear error correction models 0 0 2 68 5 5 13 182
Stationarity and ergodicity of vector STAR models 0 0 0 2 1 2 8 26
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 0 0 16 190
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 1 16 159
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 0 1 0 0 3 8
TESTS FOR NONLINEAR COINTEGRATION 0 0 0 95 0 3 10 282
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 1 14 569
Testing cointegration in infinite order vector autoregressive processes 0 0 0 76 0 1 15 235
Testing for Linear and Nonlinear Predictability of Stock Returns 1 2 3 27 1 2 19 107
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 1 4 7 41
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 7 450
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 0 2 16 35
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 0 6 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 0 2 13 1,279
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 2 9 520
Testing for the cointegrating rank of a VAR process with a time trend 0 0 3 154 0 1 13 417
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 1 2 10 201
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 1 2 16 31
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 1 2 12 21
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 0 1 11 400
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 1 2 10 258
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 3 4 13 228
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 3 7 15
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 8 185
Total Journal Articles 4 16 84 5,242 53 141 1,021 19,304

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-08-07