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 4 156
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 0 3 2,277
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 0 116 0 0 4 385
A review of systemscointegration tests 0 0 0 35 0 0 2 659
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 1 4 187
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 1 2 79
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 1 1 545
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 1 16 2 3 11 70
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 1 3 3 258
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 1 2 684
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 159 0 0 3 411
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 0 0 2 1,106
Forecasting with a noncausal VAR model 0 1 2 104 0 1 2 164
GMM Estimation with Noncausal Instruments 0 0 0 46 0 0 0 107
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 0 3 205
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 2 567
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 1 1 143
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 1 65 0 1 5 272
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 1 3 5 762 3 7 20 3,699
Modeling Conditional Skewness in Stock Returns 0 0 1 384 0 0 2 1,127
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 1 3 359
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 0 0 1 128
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 5 654
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 35 0 0 3 199
Noncausal Vector Autoregression 0 1 2 101 1 2 6 226
Noncausal autoregressions for economic time series 2 3 6 97 6 11 17 291
Noncausal vector autoregression 0 0 0 88 0 0 1 244
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 0 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 1 92 0 1 3 191
Order selection in testing for the cointegrating rank of a VAR process 0 1 1 40 0 2 2 325
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 1 2 438
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 0 0 1 669
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 0 0 2 189
Parameter estimation in nonlinear AR–GARCH models 0 0 0 143 0 1 5 573
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 1 85
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 1 570 0 1 4 1,812
Stability of nonlinear AR-GARCH models 0 0 1 177 0 1 5 427
Stability of nonlinear AR-GARCH models 0 0 0 13 0 0 1 68
Stability of nonlinear AR-GARCH models 0 0 0 197 0 0 2 542
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 0 0 2 467
Stationarity and ergodicity of vector STAR models 0 1 1 35 0 1 1 51
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 0 0 1 20
Subgeometrically ergodic autoregressions 0 0 0 18 0 0 1 41
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 0 29 0 0 2 14
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 1 2 65
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 1 90 0 0 4 132
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 0 410 0 0 2 809
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 0 0 347
Testing for a unit root in noncausal autoregressive models 0 0 0 60 0 1 3 123
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 2 2 2 147
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 1 1 409
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 4 258
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 1 1 3 319
Testing for the cointegrating rank of a VAR process with an intercept 0 0 1 24 0 0 2 252
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 2 136 0 0 2 295
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 1 123 0 1 3 534
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 47 0 0 4 325
Testing for unit roots in time series with level shifts 0 0 0 12 0 0 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 1 218
Unit root tests for time series with a structural break: When the break point is known 0 0 0 287 0 0 1 1,037
Unit root tests in the presence of innovational outliers 1 1 1 59 1 1 4 304
Total Working Papers 4 11 33 8,491 18 53 194 29,954

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 2 2 21 0 2 2 77
A Multivariate Generalized Orthogonal Factor GARCH Model 0 2 5 170 0 3 9 368
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 0 345 0 2 3 859
A lag augmentation test for the cointegrating rank of a VAR process 0 0 0 39 0 1 3 142
A mixture autoregressive model based on Student’s t–distribution 1 1 2 2 1 1 2 8
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 0 2 5
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 0 1 3 7
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 0 0 2 212
Asymptotically Efficient Estimation of Cointegration Regressions 1 1 6 473 7 10 24 912
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 1 251
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 1 1 98 0 1 1 270
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 0 2 28
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 1 1 1 21 1 1 2 54
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 0 1 4 116
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 7 111 0 5 23 291
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 0 0 0 64
Forecasting with a noncausal VAR model 0 0 1 20 0 0 3 76
GMM Estimation with Non‐causal Instruments 1 1 1 20 1 1 4 93
Gaussian mixture vector autoregression 1 1 3 32 1 2 9 155
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 7 50 3 8 24 186
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 2 319 0 2 6 683
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 30 0 1 3 73
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 0 0 1 249
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 2 4 69
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 2 9 2,478
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 0 56 0 1 1 226
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 2 8 156
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 83 0 0 6 243
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 4 4 735
Noncausal Autoregressions for Economic Time Series 1 3 7 143 1 10 23 346
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 1 1 3 5
Optimal forecasting of noncausal autoregressive time series 0 1 1 56 0 2 3 143
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 1 37 0 0 5 125
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 3 7 27 445 5 14 50 924
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 0 21 0 0 3 100
Residual autocorrelation testing for vector error correction models 0 0 1 211 0 0 5 924
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 0 0 1 64
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 0 0 0 2
Stability of nonlinear AR‐GARCH models 0 0 0 21 0 0 3 103
Stability results for nonlinear error correction models 0 0 0 66 0 0 1 169
Stationarity and ergodicity of vector STAR models 0 0 0 2 0 1 1 17
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 1 47 0 0 4 174
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 1 2 142
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 1 1 0 0 2 5
TESTS FOR NONLINEAR COINTEGRATION 0 0 2 95 0 0 7 272
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 1 2 204 0 3 7 555
Testing cointegration in infinite order vector autoregressive processes 0 0 1 75 1 3 7 217
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 0 24 0 0 1 88
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 0 0 2 34
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 1 1 5 19
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 1 2 3 178
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 0 0 1 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 0 2 150 1 2 7 403
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 0 3 191
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 0 0 2 15
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 0 1 9
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 0 0 3 389
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 0 0 2 245
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 0 0 1 8
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 4 177
Total Journal Articles 9 24 90 5,153 26 93 333 18,244

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Statistics updated 2025-07-04