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 0 17 174
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 2 8 2,285
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 1 2 12 51
A mixture autoregressive model based on Student’s t–distribution 0 0 1 23 0 1 13 39
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 0 117 0 0 21 409
A review of systemscointegration tests 0 0 0 35 0 1 11 670
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 1 9 197
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 1 332 0 1 9 757
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 1 1 6 85
Cointegrating smooth transition regressions with applications to the Asian currency crisis 1 1 1 58 2 2 10 276
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 2 3 17 563
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 0 2 18 88
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 7 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 1 16 701
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 160 1 3 24 435
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 21 1,128
Forecasting with a noncausal VAR model 0 0 0 104 0 1 5 169
GMM Estimation with Noncausal Instruments 0 0 0 46 0 1 22 129
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 0 15 220
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 8 576
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 0 14 157
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 1 3 15 287
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 3 4 5 767 4 6 25 3,728
Modeling Conditional Skewness in Stock Returns 0 0 0 384 0 0 11 1,138
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 2 12 141
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 0 11 370
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 13 668
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 1 37 2 2 7 207
Noncausal Vector Autoregression 1 1 1 102 2 4 27 255
Noncausal autoregressions for economic time series 0 0 3 100 0 2 26 317
Noncausal vector autoregression 0 0 1 89 0 1 12 258
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 0 7 400
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 0 0 9 85
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 0 0 14 205
Order selection in testing for the cointegrating rank of a VAR process 0 0 0 40 0 1 14 341
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 11 449
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 0 1 9 198
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 1 2 14 683
Parameter estimation in nonlinear AR–GARCH models 0 0 1 144 1 1 19 592
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 1 9 94
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 1 1 14 1,826
Stability of nonlinear AR-GARCH models 0 0 0 197 0 1 18 561
Stability of nonlinear AR-GARCH models 0 0 0 13 0 1 13 81
Stability of nonlinear AR-GARCH models 0 0 0 178 0 0 9 438
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 0 3 11 479
Stationarity and ergodicity of vector STAR models 0 0 0 35 0 2 8 60
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 1 3 10 30
Subgeometrically ergodic autoregressions 0 0 0 18 1 5 14 56
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 1 30 1 8 19 33
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 12 77
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 1 16 578
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 1 2 25 158
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 10 197
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 0 2 14 824
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 1 8 355
Testing for a unit root in noncausal autoregressive models 0 0 0 60 0 3 18 142
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 1 26 0 1 11 39
Testing for predictability in a noninvertible ARMA model 0 0 1 74 1 1 16 163
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 1 14 424
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 2 14 275
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 0 9 328
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 0 0 13 265
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 0 1 23 318
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 0 0 8 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 0 48 0 0 13 340
Testing for unit roots in time series with level shifts 0 0 0 12 1 1 6 391
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 1 20 582
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 9 227
Unit root tests for time series with a structural break: When the break point is known 0 0 0 288 0 1 14 1,052
Unit root tests in the presence of innovational outliers 0 0 1 60 0 0 15 320
Total Working Papers 6 8 20 8,517 30 91 952 30,953

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 22 1 1 22 99
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 170 0 2 13 383
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 2 9 39
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 0 0 16 875
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 0 1 23 167
A mixture autoregressive model based on Student’s t–distribution 0 0 0 2 0 1 12 21
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 0 0 12 83
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 0 1 8 13
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 0 0 6 13
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 0 0 3 215
Asymptotically Efficient Estimation of Cointegration Regressions 1 1 6 479 2 6 33 949
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 0 15 98
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 0 0 13 265
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 0 10 52
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 0 2 14 284
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 2 17 45
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 21 0 0 9 65
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 2 9 44
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 35 1 1 16 132
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 0 4 115 0 1 18 312
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 0 1 10 75
Forecasting with a noncausal VAR model 0 0 0 20 1 2 12 89
GMM Estimation with Non‐causal Instruments 1 1 1 21 1 1 14 108
Gaussian mixture vector autoregression 0 0 1 33 0 0 17 176
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 3 56 1 8 34 228
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 1 320 0 1 8 692
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 31 0 1 7 81
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 0 0 4 253
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 1 9 80
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 2 17 2,495
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 0 0 9 65
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 0 15 241
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 10 167
NONCAUSAL VECTOR AUTOREGRESSION 1 1 2 85 1 1 21 265
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 1 10 745
Noncausal Autoregressions for Economic Time Series 0 0 9 157 2 4 45 398
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 0 1 12 17
Optimal forecasting of noncausal autoregressive time series 0 0 0 56 0 2 17 161
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 0 1 10 136
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 1 1 17 93
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 1 11 82
Predicting U.S. Recessions with Dynamic Binary Response Models 0 2 25 478 1 6 67 1,003
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 0 1 6 111
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 0 9 110
Residual autocorrelation testing for vector error correction models 0 0 7 218 1 3 29 957
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 0 6 11 132
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 0 12 76
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 1 2 9 11
Stability of nonlinear AR‐GARCH models 0 0 0 21 1 1 12 115
Stability results for nonlinear error correction models 0 0 2 68 0 5 13 182
Stationarity and ergodicity of vector STAR models 0 0 0 2 0 1 6 26
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 2 2 18 192
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 16 159
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 0 1 0 0 3 8
TESTS FOR NONLINEAR COINTEGRATION 0 1 1 96 0 3 13 285
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 0 14 569
Testing cointegration in infinite order vector autoregressive processes 0 0 0 76 0 0 13 235
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 2 27 1 3 19 109
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 0 1 7 41
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 7 450
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 2 2 17 37
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 0 5 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 0 1 13 1,280
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 2 10 521
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 155 0 1 12 418
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 1 9 201
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 1 2 17 32
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 1 12 21
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 0 0 11 400
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 1 2 11 259
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 3 13 228
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 2 8 16
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 8 185
Total Journal Articles 3 9 73 5,247 23 103 1,017 19,354

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Statistics updated 2026-10-11