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 46 0 0 8 140
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 1 1 2 957 2 2 7 2,263
A mixture autoregressive model based on Student's $t$-distribution 1 1 1 51 1 1 8 28
A mixture autoregressive model based on Student’s t–distribution 1 2 3 18 1 3 11 12
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 111 0 0 5 357
A review of systemscointegration tests 0 1 2 33 1 2 6 648
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 1 182
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 1 1 3 742
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 22 1 4 7 70
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 55 4 4 9 261
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 0 2 537
Comparison of Unit Root Tests for Time Series with Level Shifts 1 1 7 11 3 5 21 38
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 2 250
Comparison of unit root tests for time series with level shifts 0 0 1 117 0 0 5 671
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 156 2 4 6 399
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 326 3 4 7 1,088
Forecasting with a noncausal VAR model 0 0 1 101 0 0 7 152
GMM Estimation with Noncausal Instruments 0 0 0 45 2 2 4 92
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 2 98 0 1 8 182
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 6 559
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 1 3 139
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 1 62 0 2 8 258
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 1 9 744 2 10 89 3,543
Modeling Conditional Skewness in Stock Returns 0 0 0 380 0 1 4 1,117
Modeling Expectations with Noncausal Autoregressions 0 1 3 124 1 3 14 352
Modeling Expectations with Noncausal Autoregressions 0 0 1 49 0 1 6 120
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 10 645
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 33 0 1 5 190
Noncausal Vector Autoregression 0 0 1 96 0 1 8 196
Noncausal autoregressions for economic time series 1 1 7 81 3 5 21 245
Noncausal vector autoregression 0 0 1 86 0 0 9 228
Nonlinear GARCH models for highly persistent volatility 0 0 1 85 0 0 3 382
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 0 0 2 69
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 2 87 2 3 10 177
Order selection in testing for the cointegrating rank of a VAR process 1 2 3 35 2 5 12 312
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 1 6 432
Parameter estimation in nonlinear AR-GARCH models 0 0 0 236 2 2 10 651
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 1 2 8 176
Parameter estimation in nonlinear AR–GARCH models 0 0 0 142 2 2 15 558
Reducing size distortions of parametric stationarity tests 0 1 1 8 0 1 4 79
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 1 566 1 2 8 1,796
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 7 528
Stability of nonlinear AR-GARCH models 0 0 0 13 0 0 5 66
Stability of nonlinear AR-GARCH models 0 0 0 173 1 1 3 410
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 52 1 1 3 455
Stationarity and ergodicity of vector STAR models 0 0 1 31 1 1 10 32
Subgeometric ergodicity and $\beta$-mixing 0 0 0 12 0 0 7 10
Subgeometrically ergodic autoregressions 0 0 4 11 2 3 16 24
Supplementary appendix to "noncausal vector autoregression" 0 0 2 28 2 2 5 58
Test procedures for unit roots in time series with level shifts at unknown time 1 1 5 116 3 6 24 542
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 2 15 78 6 11 39 87
Testing for Predictability in a Noninvertible ARMA Model 0 0 1 46 1 2 10 176
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 409 0 0 6 793
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 0 8 339
Testing for a unit root in noncausal autoregressive models 0 0 0 57 0 0 5 113
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 23 1 1 5 20
Testing for predictability in a noninvertible ARMA model 0 0 1 72 0 0 6 137
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 133 0 0 5 286
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 139 1 1 4 405
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 9 250
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 1 138 2 2 7 305
Testing for the cointegrating rank of a VAR process with an intercept 0 0 1 22 0 0 11 243
Testing for the cointegrating rank of a VAR process with level shift at unknown time 1 1 2 120 1 2 8 519
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 2 39 1 2 12 309
Testing for unit roots in time series with level shifts 1 1 2 10 1 1 6 375
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 5 550
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 13 3 3 9 212
Unit root tests for time series with a structural break: When the break point is known 1 1 5 283 1 3 18 1,019
Unit root tests in the presence of innovational outliers 1 1 5 57 1 1 7 296
Total Working Papers 11 22 105 8,269 68 121 648 28,895


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 2 14 0 4 13 53
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 1 161 0 1 5 344
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 2 27
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 4 4 335 1 5 12 824
A lag augmentation test for the cointegrating rank of a VAR process 0 0 0 39 0 0 2 137
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 0 0 2 66
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 0 0 0 0 1
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 0 0 0 0 1
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 1 69 0 0 4 199
Asymptotically Efficient Estimation of Cointegration Regressions 1 6 17 407 7 18 67 729
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 1 3 17 0 2 6 75
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 4 81 2 3 10 220
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 8 0 0 4 39
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 96 0 0 0 258
Comparison of unit root tests for time series with level shifts 0 1 2 2 0 1 10 12
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 17 0 0 3 45
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 1 33
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 33 1 2 6 104
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 4 5 84 1 6 22 196
Estimation of Cointegration Vectors with Linear Restrictions 0 0 2 23 0 0 6 56
Forecasting with a noncausal VAR model 0 0 3 17 0 0 7 68
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 0 2 81
Gaussian mixture vector autoregression 1 3 9 17 2 8 32 102
Identification and estimation of non-Gaussian structural vector autoregressions 3 3 4 14 5 7 17 85
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 1 311 0 0 8 655
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 27 0 0 3 63
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 85 0 0 2 243
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 21 0 0 3 59
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 3 7 30 2,417
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 12 0 0 7 48
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 1 4 208
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 3 143
NONCAUSAL VECTOR AUTOREGRESSION 0 2 11 67 0 3 24 197
Non-linear GARCH models for highly persistent volatility 0 0 0 261 2 3 7 724
Noncausal Autoregressions for Economic Time Series 2 4 10 102 3 6 29 230
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 0 0 0 0
Optimal forecasting of noncausal autoregressive time series 0 1 7 48 2 6 16 118
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 34 0 0 5 107
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 17 0 1 7 67
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 0 69
Predicting U.S. Recessions with Dynamic Binary Response Models 3 9 32 266 5 18 59 577
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 2 22 0 2 10 98
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 1 91
Residual autocorrelation testing for vector error correction models 0 0 1 196 0 6 29 865
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 1 1 2 50 1 1 6 114
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 2 3 58
Stability of nonlinear AR‐GARCH models 0 0 0 21 0 0 4 98
Stability results for nonlinear error correction models 1 1 2 64 1 1 7 157
Stationarity and ergodicity of vector STAR models 0 0 0 0 0 0 1 1
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 41 0 0 6 150
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 6 124
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 0 0 0 1 2 2
TESTS FOR NONLINEAR COINTEGRATION 0 1 1 78 4 5 23 221
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 197 0 0 4 530
Testing cointegration in infinite order vector autoregressive processes 0 0 0 70 0 0 3 198
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 1 19 0 3 13 76
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 1 6 0 0 2 29
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 1 4 436
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 1 58 0 0 7 169
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 1 419 1 3 10 1,252
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 4 34 478
Testing for the cointegrating rank of a VAR process with a time trend 0 0 0 144 0 0 5 378
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 1 38 0 0 3 185
Testing linearity in cointegrating smooth transition regressions 0 0 1 119 1 1 6 370
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 1 51 1 5 10 230
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 3 206
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 0 0 0 2
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 1 2 5 85 2 5 17 161
Total Journal Articles 15 47 140 4,578 47 142 659 16,359
1 registered items for which data could not be found


Statistics updated 2020-09-04