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 17 173
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 1 6 2,283
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 0 5 10 49
A mixture autoregressive model based on Student’s t–distribution 0 0 1 23 1 4 13 38
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 117 1 11 24 409
A review of systemscointegration tests 0 0 0 35 1 4 10 669
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 4 9 195
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 1 3 9 756
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 0 0 5 84
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 57 2 5 9 274
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 1 5 14 559
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 0 3 17 85
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 1 10 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 3 15 699
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 1 5 22 1,128
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 160 0 7 20 431
Forecasting with a noncausal VAR model 0 0 0 104 0 1 3 167
GMM Estimation with Noncausal Instruments 0 0 0 46 2 3 21 128
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 3 14 219
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 9 576
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 1 4 12 155
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 0 4 12 284
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 1 1 2 763 2 8 26 3,722
Modeling Conditional Skewness in Stock Returns 0 0 0 384 2 5 11 1,138
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 0 1 10 138
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 4 10 369
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 2 13 667
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 0 6 205
Noncausal Vector Autoregression 0 0 0 101 1 6 26 251
Noncausal autoregressions for economic time series 1 2 5 100 2 9 30 315
Noncausal vector autoregression 0 1 1 89 1 4 13 257
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 3 7 400
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 0 3 10 85
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 0 5 13 204
Order selection in testing for the cointegrating rank of a VAR process 0 0 0 40 1 1 15 340
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 2 10 448
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 1 3 12 681
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 0 1 7 196
Parameter estimation in nonlinear AR–GARCH models 0 1 1 144 1 9 18 591
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 1 7 92
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 2 2 12 1,824
Stability of nonlinear AR-GARCH models 0 0 0 13 0 2 12 80
Stability of nonlinear AR-GARCH models 0 0 1 178 1 4 11 438
Stability of nonlinear AR-GARCH models 0 0 0 197 0 2 18 560
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 0 0 9 476
Stationarity and ergodicity of vector STAR models 0 0 0 35 0 1 7 58
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 0 4 7 27
Subgeometrically ergodic autoregressions 0 0 0 18 0 1 10 51
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 1 30 0 3 11 25
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 2 12 77
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 5 15 577
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 1 5 24 156
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 4 10 197
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 0 3 13 822
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 1 4 7 354
Testing for a unit root in noncausal autoregressive models 0 0 0 60 1 9 16 139
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 1 26 0 5 10 38
Testing for predictability in a noninvertible ARMA model 0 0 1 74 1 5 17 162
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 2 14 423
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 2 14 272
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 4 10 328
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 0 3 11 263
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 0 0 22 317
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 0 2 8 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 0 2 14 339
Testing for unit roots in time series with level shifts 0 0 0 12 0 0 7 390
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 3 18 580
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 2 9 227
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 1 4 14 1,051
Unit root tests in the presence of innovational outliers 0 1 2 60 1 2 17 320
Total Working Papers 2 6 22 8,509 36 234 904 30,840

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 2 4 21 98
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 170 0 2 12 380
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 1 1 8 37
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 1 2 15 874
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 0 2 24 166
A mixture autoregressive model based on Student’s t–distribution 0 0 1 2 0 1 12 19
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 0 1 13 83
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 2 3 7 12
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 0 1 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 0 0 5 477 0 3 37 942
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 6 15 98
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 0 2 14 265
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 2 10 52
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 1 2 10 280
Comparison of unit root tests for time series with level shifts 0 0 0 5 2 3 15 43
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model 0 0 1 21 1 7 12 65
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 4 7 42
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 0 0 1 35 0 3 15 131
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 3 114 1 5 19 310
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 0 2 10 74
Forecasting with a noncausal VAR model 0 0 0 20 0 1 11 87
GMM Estimation with Non‐causal Instruments 0 0 1 20 2 7 15 107
Gaussian mixture vector autoregression 1 1 2 33 3 8 22 176
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 6 56 2 10 35 218
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 0 319 0 0 8 691
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 1 3 7 80
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 0 1 4 253
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 2 4 10 79
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 6 15 2,493
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 1 3 11 65
Modeling Conditional Skewness in Stock Returns 0 0 0 56 1 3 15 241
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 11 166
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 1 4 20 263
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 1 9 744
Noncausal Autoregressions for Economic Time Series 0 3 14 156 4 12 46 391
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 0 2 12 16
Optimal forecasting of noncausal autoregressive time series 0 0 0 56 0 3 14 157
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 0 3 10 135
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 3 7 18 92
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 4 12 81
Predicting U.S. Recessions with Dynamic Binary Response Models 3 9 32 474 7 21 72 991
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 0 1 5 110
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 2 10 110
Residual autocorrelation testing for vector error correction models 0 0 5 216 0 4 28 952
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 0 2 5 126
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 1 3 12 76
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 1 1 7 9
Stability of nonlinear AR‐GARCH models 0 0 0 21 0 1 11 114
Stability results for nonlinear error correction models 0 0 2 68 0 1 8 177
Stationarity and ergodicity of vector STAR models 0 0 0 2 1 1 8 25
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 1 7 17 159
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 0 1 0 1 3 8
TESTS FOR NONLINEAR COINTEGRATION 0 0 0 95 3 4 10 282
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 1 3 14 569
Testing cointegration in infinite order vector autoregressive processes 0 0 1 76 1 2 19 235
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 0 2 17 105
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 2 3 5 39
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 2 9 17 35
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 1 7 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 1 3 12 1,278
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 4 8 519
Testing for the cointegrating rank of a VAR process with a time trend 0 1 4 154 0 3 14 416
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 4 8 199
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 0 5 14 29
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 1 5 11 20
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 1 2 11 400
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 1 2 12 257
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 10 224
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 2 5 13
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 4 8 185
Total Journal Articles 4 16 86 5,230 57 243 1,002 19,220

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Statistics updated 2026-06-04