Access Statistics for Pentti Saikkonen

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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 1 1 1 40 1 1 6 121
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 951 1 1 10 2,244
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 4 107 0 2 14 338
A review of systemscointegration tests 0 0 4 26 0 0 13 631
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 2 180
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 4 329 0 0 11 733
Cointegrated vector autoregressive processes with continuous structural changes 0 0 1 22 0 0 1 60
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 1 5 49 0 3 13 239
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 0 7 533
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 3 3 0 0 8 8
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 2 48 0 0 7 245
Comparison of unit root tests for time series with level shifts 0 0 3 115 0 0 9 647
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 325 1 2 7 1,073
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 2 156 1 3 6 386
Forecasting with a noncausal VAR model 0 0 2 99 1 1 6 127
GMM Estimation with Noncausal Instruments 0 0 1 44 0 0 7 79
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 6 94 1 7 30 156
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 8 550
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 1 2 5 0 1 5 134
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 60 1 2 5 241
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 7 16 104 680 20 55 361 3,164
Modeling Conditional Skewness in Stock Returns 0 2 3 380 1 3 6 1,112
Modeling Expectations with Noncausal Autoregressions 0 0 1 48 0 0 3 111
Modeling Expectations with Noncausal Autoregressions 1 1 2 120 1 1 6 334
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 2 5 628
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 32 2 6 21 165
Noncausal Vector Autoregression 0 1 7 93 0 2 15 175
Noncausal autoregressions for economic time series 1 2 7 71 3 6 23 205
Noncausal vector autoregression 0 0 2 85 0 1 6 214
Nonlinear GARCH models for highly persistent volatility 0 0 1 82 1 1 9 373
On the estimation of Euler equations in the presence of a potential regime shift 0 0 1 16 0 0 2 64
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 2 85 1 3 14 162
Order selection in testing for the cointegrating rank of a VAR process 0 1 5 28 0 1 11 293
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 1 3 419
Parameter estimation in nonlinear AR-GARCH models 0 0 2 236 0 1 10 636
Parameter estimation in nonlinear AR-GARCH models 0 0 1 47 0 1 3 160
Parameter estimation in nonlinear AR–GARCH models 2 2 5 138 5 9 22 514
Reducing size distortions of parametric stationarity tests 0 0 0 6 0 0 3 72
Residual Autocorrelation Testing for Vector Error Correction Models 0 1 4 561 0 1 10 1,775
Stability of nonlinear AR-GARCH models 0 0 0 173 0 0 2 398
Stability of nonlinear AR-GARCH models 1 1 1 12 1 1 4 57
Stability of nonlinear AR-GARCH models 0 0 0 193 0 0 0 516
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 51 0 0 1 449
Supplementary appendix to "noncausal vector autoregression" 0 0 1 25 0 0 2 48
Test procedures for unit roots in time series with level shifts at unknown time 0 0 2 108 0 1 14 507
Testing for Predictability in a Noninvertible ARMA Model 0 1 3 44 0 1 9 154
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 408 1 2 7 774
Testing for a unit root in a time series with a level shift at unknown time 1 1 1 74 1 1 7 324
Testing for a unit root in noncausal autoregressive models 0 0 5 53 0 1 9 91
Testing for predictability in a noninvertible ARMA model 0 0 0 71 0 1 7 126
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 1 3 135 0 1 7 396
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 129 0 0 3 273
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 4 232
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 2 2 134 0 2 7 290
Testing for the cointegrating rank of a VAR process with an intercept 0 0 2 21 0 0 4 221
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 2 11 115 1 4 19 491
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 2 27 0 0 6 275
Testing for unit roots in time series with level shifts 0 0 1 6 2 2 7 362
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 7 537
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 10 0 0 3 199
Unit root tests for time series with a structural break: When the break point is known 0 0 2 274 0 1 8 983
Unit root tests in the presence of innovational outliers 1 1 3 52 1 1 9 271
Total Working Papers 15 39 227 7,814 52 137 854 27,275


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 2 11 1 2 7 33
A Multivariate Generalized Orthogonal Factor GARCH Model 1 1 5 149 1 1 13 313
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 0 24
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 1 5 325 1 3 18 793
A lag augmentation test for the cointegrating rank of a VAR process 0 1 2 37 0 2 5 130
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 13 1 1 3 62
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 68 0 0 2 192
Asymptotically Efficient Estimation of Cointegration Regressions 5 11 34 336 8 21 58 538
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 13 1 1 3 67
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 1 7 77 1 3 29 201
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 1 8 0 0 3 34
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 96 0 0 4 252
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 16 0 0 2 41
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 0 31
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 33 1 2 7 96
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 2 2 4 55 5 7 12 112
Estimation of Cointegration Vectors with Linear Restrictions 0 0 2 20 0 0 4 48
Forecasting with a noncausal VAR model 0 0 3 14 1 1 7 50
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 0 3 77
Gaussian mixture vector autoregression 0 0 1 7 1 2 15 53
Identification and estimation of non-Gaussian structural vector autoregressions 1 2 7 7 2 4 33 33
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 310 0 0 6 643
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 25 0 0 0 54
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 1 83 0 0 5 231
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 1 21 0 1 5 54
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 10 42 2,347
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 12 1 1 3 38
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 0 4 199
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 1 137
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 0 0 0 167
NONCAUSAL VECTOR AUTOREGRESSION 0 1 6 35 1 4 17 139
Non-linear GARCH models for highly persistent volatility 0 0 0 258 0 0 4 707
Noncausal Autoregressions for Economic Time Series 1 2 8 77 1 3 17 165
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 33 0 0 0 148
Optimal forecasting of noncausal autoregressive time series 0 0 2 33 0 0 7 86
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 1 2 32 0 1 6 94
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 1 15 0 0 2 53
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 2 68
Predicting U.S. Recessions with Dynamic Binary Response Models 1 1 12 227 1 4 28 490
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 1 2 19 0 1 3 85
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 0 89
Residual autocorrelation testing for vector error correction models 0 3 10 187 7 14 57 781
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 2 47 0 0 6 103
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 2 10 0 0 2 55
Stability of nonlinear AR-GARCH models 1 1 1 21 1 1 2 94
Stability results for nonlinear error correction models 0 0 0 57 0 1 4 136
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 39 1 2 12 129
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 1 48 0 0 7 107
TESTS FOR NONLINEAR COINTEGRATION 1 1 6 72 3 4 19 180
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 194 0 1 4 515
Testing cointegration in infinite order vector autoregressive processes 0 0 3 69 1 2 9 185
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 1 16 1 3 6 54
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 3 0 0 3 21
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 0 431
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 2 53 0 1 6 153
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 3 418 2 5 12 1,230
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 5 417
Testing for the cointegrating rank of a VAR process with a time trend 0 0 7 136 0 0 15 346
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 1 5 37 0 2 12 165
Testing linearity in cointegrating smooth transition regressions 0 0 1 113 1 1 14 339
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 49 0 0 1 213
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 4 199
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 76 0 0 2 135
Total Journal Articles 13 33 155 4,250 46 112 582 15,162


Statistics updated 2017-12-03