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 1 4 8 161
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 3 3 5 2,280
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 1 2 2 41
A mixture autoregressive model based on Student’s t–distribution 0 0 0 22 1 5 6 31
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 117 4 4 8 392
A review of systemscointegration tests 0 0 0 35 1 4 5 663
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 4 188
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 1 2 3 750
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 1 2 3 81
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 57 0 1 2 267
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 0 2 546
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 4 6 11 76
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 1 6 261
Comparison of unit root tests for time series with level shifts 0 0 0 118 2 4 7 689
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 1 160 1 5 7 416
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 5 7 10 1,114
Forecasting with a noncausal VAR model 0 0 1 104 0 0 1 164
GMM Estimation with Noncausal Instruments 0 0 0 46 1 1 1 108
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 3 5 208
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 3 3 6 571
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 2 4 5 147
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 0 1 3 273
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 4 762 1 5 22 3,708
Modeling Conditional Skewness in Stock Returns 0 0 1 384 2 2 4 1,129
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 0 2 3 131
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 3 5 7 364
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 5 9 660
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 2 2 5 202
Noncausal Vector Autoregression 0 0 2 101 1 5 11 233
Noncausal autoregressions for economic time series 0 1 5 98 2 4 16 295
Noncausal vector autoregression 0 0 0 88 1 2 5 248
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 1 2 3 395
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 2 5 6 81
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 1 3 5 194
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 3 5 9 332
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 3 5 441
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 1 1 2 190
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 3 4 5 673
Parameter estimation in nonlinear AR–GARCH models 0 0 0 143 2 4 6 577
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 0 570 1 4 5 1,816
Stability of nonlinear AR-GARCH models 0 0 1 178 1 1 6 430
Stability of nonlinear AR-GARCH models 0 0 0 197 2 6 9 549
Stability of nonlinear AR-GARCH models 0 0 0 13 0 4 5 72
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 1 4 5 472
Stationarity and ergodicity of vector STAR models 0 0 1 35 0 2 4 54
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 1 1 1 21
Subgeometrically ergodic autoregressions 0 0 0 18 1 4 5 46
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 0 29 0 0 1 14
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 2 5 6 70
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 1 4 4 566
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 1 7 9 140
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 1 1 188
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 4 5 7 815
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 2 2 349
Testing for a unit root in noncausal autoregressive models 0 0 0 60 1 2 6 126
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 25 1 3 3 31
Testing for predictability in a noninvertible ARMA model 0 0 0 73 2 3 5 150
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 1 1 3 411
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 4 8 265
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 1 4 320
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 2 5 6 257
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 3 4 4 299
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 1 2 4 536
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 1 6 10 333
Testing for unit roots in time series with level shifts 0 0 0 12 0 2 5 387
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 5 5 567
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 1 3 4 221
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 3 4 6 1,042
Unit root tests in the presence of innovational outliers 0 0 1 59 1 3 7 308
Total Working Papers 0 2 23 8,499 95 219 384 30,220

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 3 22 1 10 12 87
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 170 0 3 11 373
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 1 2 31
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 1 1 346 3 6 8 865
A lag augmentation test for the cointegrating rank of a VAR process 0 2 2 41 2 15 19 159
A mixture autoregressive model based on Student’s t–distribution 0 0 1 2 0 1 3 10
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 2 4 5 75
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 0 1 2 6
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 1 1 3 8
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 1 1 2 213
Asymptotically Efficient Estimation of Cointegration Regressions 1 2 4 475 2 12 30 928
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 1 1 84
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 1 4 6 256
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 2 3 3 45
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 2 6 7 276
Comparison of unit root tests for time series with level shifts 0 0 0 5 3 5 6 33
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 21 0 0 4 56
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 1 2 2 37
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 34 2 3 5 119
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 1 112 2 3 12 297
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 2 4 5 69
Forecasting with a noncausal VAR model 0 0 0 20 0 2 3 79
GMM Estimation with Non‐causal Instruments 0 0 1 20 0 2 6 96
Gaussian mixture vector autoregression 0 0 1 32 2 4 11 163
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 8 54 0 4 27 198
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 1 4 8 688
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 1 1 4 75
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 0 1 2 250
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 0 4 71
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 4 9 2,482
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 0 2 4 58
Modeling Conditional Skewness in Stock Returns 0 0 0 56 2 4 5 230
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 4 9 161
NONCAUSAL VECTOR AUTOREGRESSION 0 1 1 84 1 3 7 247
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 2 6 737
Noncausal Autoregressions for Economic Time Series 1 4 13 152 3 14 35 367
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 2 3 5 8
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 0 2 6 146
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 2 2 5 128
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 2 3 5 79
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 2 71
Predicting U.S. Recessions with Dynamic Binary Response Models 2 7 24 460 6 17 50 953
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 1 1 1 106
Reducing size distortions of parametric stationarity tests 0 0 0 21 2 4 6 105
Residual autocorrelation testing for vector error correction models 2 5 6 216 4 10 15 938
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 1 2 2 123
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 5 6 7 70
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 1 2 2 4
Stability of nonlinear AR‐GARCH models 0 0 0 21 3 5 5 108
Stability results for nonlinear error correction models 2 2 2 68 2 2 2 171
Stationarity and ergodicity of vector STAR models 0 0 0 2 0 0 4 20
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 7 8 9 182
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 1 1 3 144
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 1 1 0 0 2 5
TESTS FOR NONLINEAR COINTEGRATION 0 0 1 95 2 2 6 274
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 5 9 560
Testing cointegration in infinite order vector autoregressive processes 0 0 1 76 4 7 17 229
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 2 4 7 94
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 1 2 444
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 3 3 5 23
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 1 2 5 181
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 1 2 3 1,269
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 3 3 514
Testing for the cointegrating rank of a VAR process with a time trend 1 1 3 153 1 3 9 409
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 2 4 194
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 0 3 5 18
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 2 4 5 13
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 2 4 5 393
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 2 4 7 252
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 4 5 219
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 2 3 10
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 3 177
Total Journal Articles 10 28 85 5,202 104 260 524 18,597

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Statistics updated 2026-01-09