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 8 11 16 169
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 2 5 7 2,282
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 3 4 5 44
A mixture autoregressive model based on Student’s t–distribution 1 1 1 23 3 6 9 34
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 117 5 9 13 397
A review of systemscointegration tests 0 0 0 35 2 6 7 665
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 3 3 6 191
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 3 4 6 753
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 2 4 5 83
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 57 2 3 4 269
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 1 1 3 547
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 4 9 15 80
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 4 5 10 265
Comparison of unit root tests for time series with level shifts 0 0 0 118 4 7 11 693
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 5 11 14 1,119
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 160 4 6 10 420
Forecasting with a noncausal VAR model 0 0 1 104 2 2 3 166
GMM Estimation with Noncausal Instruments 0 0 0 46 10 11 11 118
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 8 9 12 216
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 4 7 9 575
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 2 5 7 149
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 4 5 7 277
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 3 762 3 7 22 3,711
Modeling Conditional Skewness in Stock Returns 0 0 1 384 4 6 8 1,133
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 5 6 8 136
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 5 8 365
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 3 7 10 663
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 3 5 7 205
Noncausal Vector Autoregression 0 0 1 101 6 10 16 239
Noncausal autoregressions for economic time series 0 1 5 98 8 12 24 303
Noncausal vector autoregression 0 0 0 88 4 6 9 252
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 2 4 5 397
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 1 4 7 82
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 4 7 9 198
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 6 10 15 338
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 3 5 8 444
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 4 7 9 677
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 4 5 6 194
Parameter estimation in nonlinear AR–GARCH models 0 0 0 143 3 7 9 580
Reducing size distortions of parametric stationarity tests 0 0 0 8 6 6 7 91
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 4 5 9 1,820
Stability of nonlinear AR-GARCH models 0 0 0 13 5 9 10 77
Stability of nonlinear AR-GARCH models 0 0 1 178 4 5 10 434
Stability of nonlinear AR-GARCH models 0 0 0 197 5 10 14 554
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 3 7 8 475
Stationarity and ergodicity of vector STAR models 0 0 1 35 3 4 7 57
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 1 2 2 22
Subgeometrically ergodic autoregressions 0 0 0 18 4 5 9 50
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 0 29 4 4 4 18
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 5 9 11 75
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 5 8 9 571
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 9 13 18 149
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 3 4 4 191
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 2 7 9 817
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 1 3 3 350
Testing for a unit root in noncausal autoregressive models 0 0 0 60 4 6 9 130
Testing for observation-dependent regime switching in mixture autoregressive models 1 1 1 26 2 4 5 33
Testing for predictability in a noninvertible ARMA model 1 1 1 74 7 10 12 157
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 5 6 8 416
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 5 7 13 270
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 4 4 7 324
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 2 5 8 259
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 10 14 14 309
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 2 4 6 538
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 2 7 11 335
Testing for unit roots in time series with level shifts 0 0 0 12 2 2 6 389
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 7 10 12 574
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 3 6 7 224
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 3 7 9 1,045
Unit root tests in the presence of innovational outliers 0 0 1 59 7 9 13 315
Total Working Papers 3 4 24 8,502 278 448 644 30,498

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 4 12 16 91
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 170 4 7 14 377
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 1 1 3 32
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 2 2 347 5 9 13 870
A lag augmentation test for the cointegrating rank of a VAR process 0 2 2 41 1 16 20 160
A mixture autoregressive model based on Student’s t–distribution 0 0 1 2 7 7 10 17
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 5 7 10 80
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 1 2 2 7
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 2 3 5 10
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 1 2 3 214
Asymptotically Efficient Estimation of Cointegration Regressions 1 2 5 476 6 13 34 934
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 8 8 9 92
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 7 9 13 263
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 5 7 8 50
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 2 8 9 278
Comparison of unit root tests for time series with level shifts 0 0 0 5 6 11 12 39
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 21 2 2 6 58
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 1 2 3 38
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 34 4 6 9 123
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 1 2 113 5 7 17 302
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 3 6 8 72
Forecasting with a noncausal VAR model 0 0 0 20 3 5 6 82
GMM Estimation with Non‐causal Instruments 0 0 1 20 3 4 9 99
Gaussian mixture vector autoregression 0 0 1 32 4 7 15 167
Identification and estimation of non-Gaussian structural vector autoregressions 1 1 8 55 7 9 33 205
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 2 4 10 690
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 2 3 6 77
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 2 3 3 252
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 4 4 8 75
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 3 7 11 2,485
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 4 5 8 62
Modeling Conditional Skewness in Stock Returns 0 0 0 56 5 7 10 235
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 3 7 11 164
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 4 5 9 251
Non-linear GARCH models for highly persistent volatility 0 0 0 261 4 6 10 741
Noncausal Autoregressions for Economic Time Series 0 3 13 152 7 17 42 374
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 4 7 8 12
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 4 5 9 150
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 4 6 9 132
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 3 5 8 82
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 4 4 6 75
Predicting U.S. Recessions with Dynamic Binary Response Models 3 6 27 463 12 23 61 965
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 1 2 2 107
Reducing size distortions of parametric stationarity tests 0 0 0 21 3 6 8 108
Residual autocorrelation testing for vector error correction models 0 2 5 216 7 12 21 945
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 1 2 3 124
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 3 8 10 73
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 4 6 6 8
Stability of nonlinear AR‐GARCH models 0 0 0 21 2 5 7 110
Stability results for nonlinear error correction models 0 2 2 68 4 6 6 175
Stationarity and ergodicity of vector STAR models 0 0 0 2 3 3 7 23
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 8 16 16 190
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 5 6 8 149
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 1 1 0 0 1 5
TESTS FOR NONLINEAR COINTEGRATION 0 0 0 95 3 5 7 277
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 5 9 14 565
Testing cointegration in infinite order vector autoregressive processes 0 0 1 76 3 10 18 232
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 8 12 15 102
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 2 2 4 36
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 6 6 8 450
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 1 4 6 24
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 2 3 7 183
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 5 6 8 1,274
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 2 3 514
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 153 3 5 12 412
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 1 3 4 195
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 6 8 11 24
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 1 5 6 14
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 3 5 7 396
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 2 4 9 254
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 4 7 9 223
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 2 4 11
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 4 4 5 181
Total Journal Articles 7 23 89 5,209 269 462 768 18,866

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Statistics updated 2026-02-12