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 1 48 1 2 5 154
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 961 1 1 3 2,276
A mixture autoregressive model based on Student's $t$-distribution 0 0 2 55 0 0 2 39
A mixture autoregressive model based on Student’s t–distribution 0 0 0 22 0 0 1 25
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 116 1 1 6 385
A review of systemscointegration tests 0 0 0 35 0 0 1 658
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 2 4 186
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 0 0 0 747
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 0 0 1 78
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 0 56 0 0 0 265
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 0 0 544
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 1 16 1 1 8 66
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 0 255
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 1 1 683
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 1 2 3 1,106
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 159 1 2 5 411
Forecasting with a noncausal VAR model 0 1 1 103 0 1 1 163
GMM Estimation with Noncausal Instruments 0 0 0 46 0 0 0 107
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 1 103 0 1 3 204
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 1 566
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 0 0 142
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 1 65 1 1 4 271
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 1 2 759 3 9 22 3,692
Modeling Conditional Skewness in Stock Returns 1 1 1 384 2 2 4 1,127
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 0 1 1 128
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 2 2 358
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 4 5 654
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 35 1 2 3 199
Noncausal Vector Autoregression 0 1 1 100 1 3 5 224
Noncausal autoregressions for economic time series 0 0 4 93 0 1 7 279
Noncausal vector autoregression 0 0 1 88 1 1 2 244
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 1 1 1 393
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 0 0 0 75
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 2 92 1 1 3 190
Order selection in testing for the cointegrating rank of a VAR process 0 0 0 39 0 0 0 323
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 1 1 437
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 1 1 3 189
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 1 1 1 669
Parameter estimation in nonlinear AR–GARCH models 0 0 0 143 1 2 6 572
Reducing size distortions of parametric stationarity tests 0 0 0 8 1 1 1 85
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 1 570 0 1 5 1,811
Stability of nonlinear AR-GARCH models 0 0 0 197 2 2 3 542
Stability of nonlinear AR-GARCH models 0 0 2 177 2 2 5 426
Stability of nonlinear AR-GARCH models 0 0 0 13 1 1 1 68
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 1 57 0 0 3 467
Stationarity and ergodicity of vector STAR models 0 0 0 34 0 0 0 50
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 0 0 1 20
Subgeometrically ergodic autoregressions 0 0 1 18 0 0 3 41
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 0 29 0 1 2 14
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 1 64
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 2 562
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 3 90 1 1 8 132
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 0 187
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 1 410 1 1 3 809
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 0 1 347
Testing for a unit root in noncausal autoregressive models 0 0 0 60 1 2 2 122
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 25 0 0 0 28
Testing for predictability in a noninvertible ARMA model 0 0 0 73 0 0 0 145
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 0 0 408
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 2 4 257
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 1 2 2 318
Testing for the cointegrating rank of a VAR process with an intercept 0 1 1 24 0 1 1 251
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 1 2 136 0 1 2 295
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 1 123 1 1 2 533
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 47 0 1 3 324
Testing for unit roots in time series with level shifts 0 0 0 12 0 1 2 383
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 1 562
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 1 217
Unit root tests for time series with a structural break: When the break point is known 0 0 1 287 0 0 2 1,036
Unit root tests in the presence of innovational outliers 0 0 0 58 1 3 3 303
Total Working Papers 1 6 36 8,479 37 72 179 29,891

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 19 0 0 1 75
A Multivariate Generalized Orthogonal Factor GARCH Model 1 1 4 168 2 3 8 365
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 0 29
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 1 345 0 0 2 857
A lag augmentation test for the cointegrating rank of a VAR process 0 0 0 39 1 1 2 141
A mixture autoregressive model based on Student’s t–distribution 0 0 1 1 0 0 2 7
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 1 15 0 0 1 70
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 0 1 2 5
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 1 1 2 6
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 1 76 0 0 2 211
Asymptotically Efficient Estimation of Cointegration Regressions 0 0 8 471 1 3 22 901
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 0 0 83
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 0 0 2 250
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 0 0 42
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 97 0 0 0 269
Comparison of unit root tests for time series with level shifts 0 0 1 5 0 0 2 27
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 20 1 1 1 53
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 0 35
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 34 1 2 3 115
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 10 111 1 3 22 286
Estimation of Cointegration Vectors with Linear Restrictions 0 0 2 25 0 0 2 64
Forecasting with a noncausal VAR model 0 0 1 20 0 1 3 76
GMM Estimation with Non‐causal Instruments 0 0 0 19 0 1 2 90
Gaussian mixture vector autoregression 0 0 3 31 1 2 12 153
Identification and estimation of non-Gaussian structural vector autoregressions 2 4 8 49 5 7 19 177
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 0 317 0 1 5 680
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 30 1 1 2 72
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 1 87 0 1 2 249
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 1 2 67
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 2 3 14 2,476
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 0 0 0 54
Modeling Conditional Skewness in Stock Returns 0 0 1 56 0 0 2 225
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 4 6 154
NONCAUSAL VECTOR AUTOREGRESSION 0 0 2 83 1 4 9 243
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 0 0 731
Noncausal Autoregressions for Economic Time Series 0 2 7 139 2 7 22 334
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 0 1 2 4
Optimal forecasting of noncausal autoregressive time series 0 0 0 55 0 1 1 141
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 1 37 2 2 6 125
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 0 0 0 74
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 2 4 34 438 5 11 62 909
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 1 26 0 0 1 105
Reducing size distortions of parametric stationarity tests 0 0 1 21 0 1 4 100
Residual autocorrelation testing for vector error correction models 0 1 2 211 0 2 6 924
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 0 0 0 121
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 1 1 1 64
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 0 0 0 2
Stability of nonlinear AR‐GARCH models 0 0 0 21 0 3 4 103
Stability results for nonlinear error correction models 0 0 1 66 0 0 2 169
Stationarity and ergodicity of vector STAR models 0 0 0 2 0 0 0 16
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 47 0 1 7 174
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 1 141
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 0 0 0 1 1 4
TESTS FOR NONLINEAR COINTEGRATION 0 1 5 95 1 3 11 271
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 203 1 1 4 552
Testing cointegration in infinite order vector autoregressive processes 0 1 1 75 0 3 5 214
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 24 1 1 3 88
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 0 0 0 32
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 0 442
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 2 4 0 0 6 18
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 1 1 176
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 2 425 0 0 3 1,266
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 3 511
Testing for the cointegrating rank of a VAR process with a time trend 0 1 4 150 0 2 10 400
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 1 3 191
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 1 1 1 9
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 2 2 2 15
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 0 1 4 389
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 0 0 3 245
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 1 214
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 1 1 8
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 2 4 176
Total Journal Articles 5 16 111 5,125 36 91 339 18,134

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 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

Statistics updated 2025-03-03