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 3 18 172
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 1 1 6 2,283
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 5 5 10 49
A mixture autoregressive model based on Student’s t–distribution 0 0 1 23 2 3 12 37
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 117 9 11 23 408
A review of systemscointegration tests 0 0 0 35 2 3 9 668
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 2 4 9 195
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 2 2 8 755
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 0 1 6 84
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 57 2 3 7 272
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 2 11 13 558
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 3 5 18 85
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 2 10 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 5 15 698
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 160 4 11 20 431
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 2 8 21 1,127
Forecasting with a noncausal VAR model 0 0 0 104 1 1 3 167
GMM Estimation with Noncausal Instruments 0 0 0 46 1 8 19 126
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 2 3 14 219
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 9 576
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 3 5 11 154
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 3 7 13 284
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 1 762 5 9 26 3,720
Modeling Conditional Skewness in Stock Returns 0 0 0 384 3 3 9 1,136
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 3 3 9 368
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 2 10 138
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 3 12 666
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 0 6 205
Noncausal Vector Autoregression 0 0 1 101 3 11 26 250
Noncausal autoregressions for economic time series 0 1 4 99 3 10 28 313
Noncausal vector autoregression 1 1 1 89 2 4 12 256
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 3 3 7 400
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 2 3 10 85
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 3 6 13 204
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 0 1 16 339
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 3 10 447
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 1 2 7 196
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 1 3 11 680
Parameter estimation in nonlinear AR–GARCH models 0 1 1 144 6 10 17 590
Reducing size distortions of parametric stationarity tests 0 0 0 8 1 1 7 92
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 0 2 11 1,822
Stability of nonlinear AR-GARCH models 0 0 0 197 2 6 18 560
Stability of nonlinear AR-GARCH models 0 0 1 178 3 3 11 437
Stability of nonlinear AR-GARCH models 0 0 0 13 2 3 12 80
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 0 1 9 476
Stationarity and ergodicity of vector STAR models 0 0 0 35 1 1 7 58
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 3 5 7 27
Subgeometrically ergodic autoregressions 0 0 0 18 1 1 10 51
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 1 1 30 3 7 11 25
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 2 2 12 77
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 4 6 15 577
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 2 6 23 155
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 3 6 10 197
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 1 5 13 822
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 3 3 6 353
Testing for a unit root in noncausal autoregressive models 0 0 0 60 5 8 16 138
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 1 26 4 5 10 38
Testing for predictability in a noninvertible ARMA model 0 0 1 74 3 4 16 161
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 2 7 14 423
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 2 14 272
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 3 4 10 328
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 3 4 11 263
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 0 8 22 317
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 2 4 9 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 1 4 14 339
Testing for unit roots in time series with level shifts 0 0 0 12 0 1 7 390
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 6 18 580
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 2 3 9 227
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 3 5 13 1,050
Unit root tests in the presence of innovational outliers 1 1 2 60 1 4 16 319
Total Working Papers 2 5 22 8,507 150 306 884 30,804

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 3 22 1 5 21 96
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 2 170 1 3 15 380
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 4 7 36
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 0 3 16 873
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 1 6 24 166
A mixture autoregressive model based on Student’s t–distribution 0 0 1 2 1 2 12 19
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 1 3 13 83
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 1 3 5 10
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 1 3 7 13
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 0 1 3 215
Asymptotically Efficient Estimation of Cointegration Regressions 0 1 5 477 3 8 38 942
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 5 6 15 98
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 2 2 14 265
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 2 2 10 52
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 1 1 9 279
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 2 13 41
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 21 6 6 11 64
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 3 4 7 42
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 1 1 35 3 8 16 131
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 3 114 3 7 22 309
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 2 2 10 74
Forecasting with a noncausal VAR model 0 0 0 20 0 5 11 87
GMM Estimation with Non‐causal Instruments 0 0 1 20 4 6 13 105
Gaussian mixture vector autoregression 0 0 1 32 2 6 20 173
Identification and estimation of non-Gaussian structural vector autoregressions 1 1 7 56 5 11 38 216
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 0 319 0 1 8 691
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 2 2 6 79
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 1 1 4 253
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 1 2 10 77
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 5 8 16 2,493
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 2 2 10 64
Modeling Conditional Skewness in Stock Returns 0 0 0 56 2 5 15 240
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 12 166
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 0 11 19 262
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 3 10 744
Noncausal Autoregressions for Economic Time Series 1 4 14 156 2 13 42 387
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 2 4 12 16
Optimal forecasting of noncausal autoregressive time series 0 0 0 56 3 7 15 157
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 3 3 10 135
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 4 7 15 89
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 4 6 12 81
Predicting U.S. Recessions with Dynamic Binary Response Models 4 8 31 471 7 19 71 984
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 1 3 5 110
Reducing size distortions of parametric stationarity tests 0 0 0 21 2 2 10 110
Residual autocorrelation testing for vector error correction models 0 0 5 216 3 7 28 952
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 2 2 5 126
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 2 2 11 75
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 0 0 6 8
Stability of nonlinear AR‐GARCH models 0 0 0 21 1 4 11 114
Stability results for nonlinear error correction models 0 0 2 68 1 2 8 177
Stationarity and ergodicity of vector STAR models 0 0 0 2 0 1 7 24
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 0 0 16 190
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 3 9 17 158
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 0 1 0 3 3 8
TESTS FOR NONLINEAR COINTEGRATION 0 0 0 95 1 2 7 279
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 3 16 568
Testing cointegration in infinite order vector autoregressive processes 0 0 1 76 0 2 19 234
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 2 3 17 105
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 1 1 3 37
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 8 450
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 6 9 15 33
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 1 1 7 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 2 3 11 1,277
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 3 4 7 518
Testing for the cointegrating rank of a VAR process with a time trend 0 1 4 154 2 4 14 416
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 3 4 8 199
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 4 5 10 19
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 3 5 14 29
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 1 3 10 399
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 0 2 11 256
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 10 224
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 1 4 12
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 4 4 8 185
Total Journal Articles 6 17 90 5,226 139 297 983 19,163

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Statistics updated 2026-05-06