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 2 3 8 160
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 0 2 2,277
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 0 1 1 40
A mixture autoregressive model based on Student’s t–distribution 0 0 0 22 2 4 5 30
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 3 3 4 662
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 0 1 2 749
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 1 1 2 80
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 57 1 1 2 267
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 0 2 546
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 2 7 72
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 1 1 6 261
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 2 5 687
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 1 1 160 1 4 6 415
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 1 3 5 1,109
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 1 3 5 208
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 3 568
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 1 2 3 145
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 1 1 3 273
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 4 762 3 6 24 3,707
Modeling Conditional Skewness in Stock Returns 0 0 1 384 0 0 2 1,127
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 2 5 361
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 3 4 131
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 3 8 658
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 0 3 200
Noncausal Vector Autoregression 0 0 2 101 3 4 11 232
Noncausal autoregressions for economic time series 1 1 5 98 2 2 15 293
Noncausal vector autoregression 0 0 0 88 1 1 4 247
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 1 1 2 394
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 1 4 4 79
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 2 2 4 193
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 1 3 6 329
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 1 2 4 440
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 0 0 1 189
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 0 1 2 670
Parameter estimation in nonlinear AR–GARCH models 0 0 0 143 2 2 5 575
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 0 3 5 1,815
Stability of nonlinear AR-GARCH models 0 0 0 13 4 4 5 72
Stability of nonlinear AR-GARCH models 0 0 0 197 3 4 7 547
Stability of nonlinear AR-GARCH models 0 0 1 178 0 0 5 429
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 3 3 4 471
Stationarity and ergodicity of vector STAR models 0 0 1 35 1 2 4 54
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 0 0 0 20
Subgeometrically ergodic autoregressions 0 0 0 18 0 4 4 45
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 0 0 0 29 0 0 1 14
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 2 3 4 68
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 2 3 3 565
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 3 7 8 139
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 1 1 1 188
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 1 1 3 811
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 2 2 2 349
Testing for a unit root in noncausal autoregressive models 0 0 0 60 1 1 5 125
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 25 1 2 2 30
Testing for predictability in a noninvertible ARMA model 0 0 0 73 1 1 3 148
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 0 2 410
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 3 8 263
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 1 4 320
Testing for the cointegrating rank of a VAR process with an intercept 0 0 1 24 1 3 5 255
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 1 136 1 1 2 296
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 1 1 3 535
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 4 5 9 332
Testing for unit roots in time series with level shifts 0 0 0 12 0 3 5 387
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 3 3 565
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 2 2 3 220
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 1 1 3 1,039
Unit root tests in the presence of innovational outliers 0 0 1 59 1 2 7 307
Total Working Papers 1 3 26 8,499 75 136 306 30,125

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 1 1 3 22 7 9 11 86
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 170 3 4 11 373
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 0 1 2 31
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 0 345 1 3 5 862
A lag augmentation test for the cointegrating rank of a VAR process 2 2 2 41 13 13 17 157
A mixture autoregressive model based on Student’s t–distribution 0 0 1 2 0 2 3 10
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 0 2 3 73
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 1 1 2 6
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 1 212
Asymptotically Efficient Estimation of Cointegration Regressions 0 1 3 474 5 10 28 926
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 1 1 84
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 1 3 5 255
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 1 1 43
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 4 4 5 274
Comparison of unit root tests for time series with level shifts 0 0 0 5 2 2 3 30
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 0 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 0 1 4 117
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 2 112 0 2 12 295
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 1 2 3 67
Forecasting with a noncausal VAR model 0 0 0 20 2 2 4 79
GMM Estimation with Non‐causal Instruments 0 0 1 20 1 3 7 96
Gaussian mixture vector autoregression 0 0 1 32 1 2 10 161
Identification and estimation of non-Gaussian structural vector autoregressions 0 3 9 54 2 7 28 198
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 1 3 8 687
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 1 1 2 250
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 0 5 71
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 3 3 8 2,481
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 1 2 4 58
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 2 3 228
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 2 9 159
NONCAUSAL VECTOR AUTOREGRESSION 0 1 1 84 0 2 7 246
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 1 5 736
Noncausal Autoregressions for Economic Time Series 2 5 14 151 7 14 37 364
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 1 1 3 6
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 1 2 6 146
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 0 0 3 126
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 0 1 3 77
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 0 0 2 71
Predicting U.S. Recessions with Dynamic Binary Response Models 1 8 24 458 5 16 49 947
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 4 103
Residual autocorrelation testing for vector error correction models 0 3 4 214 1 7 12 934
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 0 1 1 122
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 1 2 65
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 1 1 1 3
Stability of nonlinear AR‐GARCH models 0 0 0 21 0 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 0 4 20
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 1 1 2 175
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 3 4 8 559
Testing cointegration in infinite order vector autoregressive processes 0 0 2 76 3 3 14 225
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 1 25 2 3 5 92
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 0 1 2 444
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 0 0 2 20
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 1 5 180
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 0 2 2 1,268
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 2 2 513
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 152 1 3 10 408
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 2 2 4 194
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 2 2 3 11
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 2 3 5 18
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 0 2 3 391
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 0 2 5 250
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 2 3 4 218
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 0 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 6 28 83 5,192 89 176 450 18,493

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Statistics updated 2025-12-06