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 2 6 158
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 0 3 2,277
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 1 1 1 40
A mixture autoregressive model based on Student’s t–distribution 0 0 0 22 2 3 3 28
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 1 1 117 0 2 4 388
A review of systemscointegration tests 0 0 0 35 0 0 2 659
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 4 188
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 1 2 2 749
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 0 0 1 79
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 57 0 0 1 266
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 1 2 546
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 1 6 71
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 1 5 260
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 2 4 686
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 1 1 1 160 3 3 5 414
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 1 2 4 1,108
Forecasting with a noncausal VAR model 0 0 2 104 0 0 2 164
GMM Estimation with Noncausal Instruments 0 0 0 46 0 0 0 107
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 2 2 4 207
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 3 568
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 1 1 2 144
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 0 0 3 272
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 4 762 1 5 22 3,704
Modeling Conditional Skewness in Stock Returns 0 0 1 384 0 0 2 1,127
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 2 3 130
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 1 4 360
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 2 6 656
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 1 36 0 1 3 200
Noncausal Vector Autoregression 0 0 2 101 1 2 9 229
Noncausal autoregressions for economic time series 0 0 4 97 0 0 14 291
Noncausal vector autoregression 0 0 0 88 0 1 3 246
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 0 1 393
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 2 3 3 78
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 1 92 0 0 3 191
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 1 2 5 328
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 1 3 439
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 1 1 2 670
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 0 0 1 189
Parameter estimation in nonlinear AR–GARCH models 0 0 0 143 0 0 4 573
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 1 85
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 3 3 5 1,815
Stability of nonlinear AR-GARCH models 0 0 0 13 0 0 1 68
Stability of nonlinear AR-GARCH models 0 0 1 178 0 0 5 429
Stability of nonlinear AR-GARCH models 0 0 0 197 1 2 4 544
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 0 1 1 468
Stationarity and ergodicity of vector STAR models 0 0 1 35 1 2 3 53
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 0 0 1 20
Subgeometrically ergodic autoregressions 0 0 0 18 3 4 4 45
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 0 29 0 0 2 14
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 1 1 2 66
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 1 1 1 563
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 3 4 5 136
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 0 187
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 0 0 2 810
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 0 0 347
Testing for a unit root in noncausal autoregressive models 0 0 0 60 0 0 4 124
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 25 1 1 1 29
Testing for predictability in a noninvertible ARMA model 0 0 0 73 0 0 2 147
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 1 2 410
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 5 8 263
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 1 1 4 320
Testing for the cointegrating rank of a VAR process with an intercept 0 0 1 24 2 2 4 254
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 1 136 0 0 1 295
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 1 123 0 0 3 534
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 2 48 1 2 6 328
Testing for unit roots in time series with level shifts 0 0 0 12 2 4 5 387
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 2 2 564
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 1 218
Unit root tests for time series with a structural break: When the break point is known 0 1 1 288 0 1 2 1,038
Unit root tests in the presence of innovational outliers 0 0 1 59 1 1 6 306
Total Working Papers 1 4 28 8,498 49 83 243 30,050

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 21 2 2 4 79
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 170 0 2 8 370
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 1 1 2 31
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 0 345 2 2 5 861
A lag augmentation test for the cointegrating rank of a VAR process 0 0 0 39 0 0 4 144
A mixture autoregressive model based on Student’s t–distribution 0 0 1 2 1 2 3 10
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 2 2 3 73
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 0 0 1 5
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 0 0 2 7
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 0 0 2 212
Asymptotically Efficient Estimation of Cointegration Regressions 1 1 4 474 5 7 24 921
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 1 1 1 84
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 2 2 4 254
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 1 1 1 43
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 0 0 1 270
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 0 1 28
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 21 0 0 4 56
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 1 1 1 36
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 0 34 1 1 4 117
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1 1 4 112 1 3 16 295
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 1 1 2 66
Forecasting with a noncausal VAR model 0 0 0 20 0 0 2 77
GMM Estimation with Non‐causal Instruments 0 0 1 20 1 2 6 95
Gaussian mixture vector autoregression 0 0 1 32 1 3 9 160
Identification and estimation of non-Gaussian structural vector autoregressions 1 4 9 54 2 8 27 196
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 2 2 7 686
Infinite-Order Cointegrated Vector Autoregressive Processes 0 1 1 31 0 1 3 74
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 0 0 1 249
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 1 5 71
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 0 6 2,478
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 1 2 3 57
Modeling Conditional Skewness in Stock Returns 0 0 0 56 2 2 3 228
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 7 157
NONCAUSAL VECTOR AUTOREGRESSION 1 1 2 84 2 2 8 246
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 0 4 735
Noncausal Autoregressions for Economic Time Series 1 5 12 149 4 9 30 357
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 0 0 2 5
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 1 2 5 145
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 0 0 4 126
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 1 2 3 77
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 1 2 71
Predicting U.S. Recessions with Dynamic Binary Response Models 4 10 25 457 6 15 48 942
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 0 0 0 105
Reducing size distortions of parametric stationarity tests 0 0 0 21 1 2 3 102
Residual autocorrelation testing for vector error correction models 3 3 4 214 5 9 11 933
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 1 1 1 122
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 1 1 2 65
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 0 0 0 2
Stability of nonlinear AR‐GARCH models 0 0 0 21 2 2 5 105
Stability results for nonlinear error correction models 0 0 0 66 0 0 0 169
Stationarity and ergodicity of vector STAR models 0 0 0 2 0 2 4 20
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 0 0 1 174
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 2 143
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 1 1 0 0 2 5
TESTS FOR NONLINEAR COINTEGRATION 0 0 1 95 0 0 4 272
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 1 5 556
Testing cointegration in infinite order vector autoregressive processes 0 0 2 76 0 2 11 222
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 1 25 0 2 3 90
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 0 0 2 34
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 1 1 2 444
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 0 1 2 20
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 1 2 5 180
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 1 2 2 1,268
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 1 2 512
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 152 1 3 9 407
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 1 3 192
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 1 1 3 16
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 0 1 9
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 2 2 3 391
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 2 2 5 250
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 2 216
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 1 2 9
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 3 177
Total Journal Articles 12 28 83 5,186 67 121 378 18,404

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Statistics updated 2025-11-08