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 1 1 1 47 1 1 2 148
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 1 2 959 0 3 6 2,271
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 53 0 0 0 34
A mixture autoregressive model based on Student’s t–distribution 0 1 1 20 1 3 5 22
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 0 113 1 2 4 375
A review of systemscointegration tests 0 0 1 35 0 1 2 656
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 0 182
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 0 0 1 746
Cointegrated vector autoregressive processes with continuous structural changes 0 0 1 25 0 0 1 76
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 0 55 0 0 0 264
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 0 2 542
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 2 14 0 0 5 53
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 1 255
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 0 0 682
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 159 0 0 1 404
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 2 2 328 0 2 3 1,099
Forecasting with a noncausal VAR model 0 0 1 102 0 1 2 162
GMM Estimation with Noncausal Instruments 0 0 1 46 3 3 5 104
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 1 100 0 0 3 196
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 1 563
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 0 1 142
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 1 2 64 0 1 4 264
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 5 756 1 4 43 3,639
Modeling Conditional Skewness in Stock Returns 0 0 1 382 0 0 1 1,121
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 0 0 355
Modeling Expectations with Noncausal Autoregressions 0 0 0 49 0 0 0 123
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 0 649
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 34 0 0 0 196
Noncausal Vector Autoregression 0 0 0 97 1 2 6 214
Noncausal autoregressions for economic time series 0 0 3 88 0 1 6 268
Noncausal vector autoregression 0 0 0 87 0 1 3 238
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 1 2 2 390
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 0 0 0 75
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 1 89 0 1 2 184
Order selection in testing for the cointegrating rank of a VAR process 0 1 2 39 0 1 7 323
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 0 0 0 435
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 1 1 1 185
Parameter estimation in nonlinear AR-GARCH models 0 0 1 237 0 1 3 667
Parameter estimation in nonlinear AR–GARCH models 0 0 1 143 0 0 1 564
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 2 84
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 2 569 0 0 4 1,805
Stability of nonlinear AR-GARCH models 0 0 0 193 0 1 2 532
Stability of nonlinear AR-GARCH models 0 0 0 13 0 0 1 67
Stability of nonlinear AR-GARCH models 0 0 0 175 0 0 2 420
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 56 0 0 0 464
Stationarity and ergodicity of vector STAR models 0 0 0 34 0 0 2 49
Subgeometric ergodicity and $\beta$-mixing 0 2 3 15 0 2 3 15
Subgeometrically ergodic autoregressions 0 1 1 16 0 1 2 37
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 1 28 28 0 2 8 8
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 0 62
Test procedures for unit roots in time series with level shifts at unknown time 0 0 1 119 0 0 5 559
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 1 86 0 0 8 119
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 3 185
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 409 0 1 2 804
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 2 3 346
Testing for a unit root in noncausal autoregressive models 0 0 0 59 0 0 1 119
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 24 0 0 1 26
Testing for predictability in a noninvertible ARMA model 0 0 1 73 0 0 2 144
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 134 0 0 0 292
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 0 0 408
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 0 0 251
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 138 0 1 2 314
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 22 0 0 1 249
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 122 0 1 2 529
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 46 1 1 2 321
Testing for unit roots in time series with level shifts 0 0 1 12 0 0 1 381
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 1 2 558
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 1 14 0 0 1 216
Unit root tests for time series with a structural break: When the break point is known 0 0 2 286 0 0 3 1,032
Unit root tests in the presence of innovational outliers 0 0 1 58 0 0 1 300
Total Working Papers 1 12 73 8,413 12 44 190 29,562

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 0 16 2 2 5 71
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 1 163 0 1 3 352
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 0 0 28
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 1 2 343 0 1 6 851
A lag augmentation test for the cointegrating rank of a VAR process 0 0 0 39 0 0 0 139
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 1 14 1 1 2 68
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 0 0 0 3
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 1 1 0 0 1 4
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 73 0 0 0 205
Asymptotically Efficient Estimation of Cointegration Regressions 0 1 15 452 2 6 30 851
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 18 0 0 0 82
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 88 1 2 3 244
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 0 0 42
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 97 0 1 2 269
Comparison of unit root tests for time series with level shifts 0 0 1 4 0 2 5 24
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 0 19 0 0 0 51
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 0 0 35
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 33 0 0 0 110
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 4 97 0 2 12 247
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 23 0 0 1 61
Forecasting with a noncausal VAR model 0 0 1 19 1 1 2 73
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 0 2 85
Gaussian mixture vector autoregression 0 0 0 24 1 4 8 129
Identification and estimation of non-Gaussian structural vector autoregressions 0 2 6 25 1 3 19 127
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 315 0 0 7 670
Infinite-Order Cointegrated Vector Autoregressive Processes 0 1 1 28 0 1 1 66
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 86 0 0 1 246
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 0 0 65
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 0 2 2,443
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 1 1 13 0 1 1 53
Modeling Conditional Skewness in Stock Returns 0 0 3 55 0 0 4 220
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 0 148
NONCAUSAL VECTOR AUTOREGRESSION 0 1 1 76 0 2 5 227
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 0 3 728
Noncausal Autoregressions for Economic Time Series 0 0 3 119 1 2 9 278
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 0 0 0 2
Optimal forecasting of noncausal autoregressive time series 0 1 2 53 0 2 6 135
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 1 35 1 1 2 116
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 17 0 0 2 72
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 0 69
Predicting U.S. Recessions with Dynamic Binary Response Models 2 10 42 354 9 21 77 766
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 24 0 0 1 103
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 1 95
Residual autocorrelation testing for vector error correction models 0 0 2 206 1 2 12 910
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 50 1 2 2 118
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 0 0 63
Stability of nonlinear AR‐GARCH models 0 0 0 21 0 0 0 99
Stability results for nonlinear error correction models 0 0 0 65 0 0 0 165
Stationarity and ergodicity of vector STAR models 0 0 0 2 0 1 2 14
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 2 3 45 0 2 4 159
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 0 139
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 0 0 0 0 0 2
TESTS FOR NONLINEAR COINTEGRATION 1 1 3 86 2 2 10 249
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 1 4 201 0 1 9 545
Testing cointegration in infinite order vector autoregressive processes 0 1 2 73 0 2 6 208
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 0 20 0 0 1 81
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 0 1 1 32
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 0 1 441
Testing for observation-dependent regime switching in mixture autoregressive models 0 1 1 1 0 1 3 7
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 0 0 175
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 1 2 422 0 1 2 1,260
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 3 506
Testing for the cointegrating rank of a VAR process with a time trend 0 1 2 146 0 1 2 383
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 0 0 188
Testing identification via heteroskedasticity in structural vector autoregressive models 0 1 1 1 1 2 3 8
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 1 2 6 383
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 51 0 0 4 239
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 0 211
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 0 0 1 7
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 1 1 88 0 1 1 171
Total Journal Articles 3 29 109 4,870 26 77 296 17,416

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Statistics updated 2023-01-04