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 10 16 170
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 5 6 2,282
A mixture autoregressive model based on Student's $t$-distribution 0 0 0 55 0 4 5 44
A mixture autoregressive model based on Student’s t–distribution 0 1 1 23 0 4 9 34
A note on the geometric ergodicity of a nonlinear AR–ARCH model 0 0 1 117 1 10 13 398
A review of systemscointegration tests 0 0 0 35 0 3 7 665
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 3 5 191
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 0 4 6 753
Cointegrated vector autoregressive processes with continuous structural changes 0 0 0 26 1 4 6 84
Cointegrating smooth transition regressions with applications to the Asian currency crisis 0 0 1 57 0 2 4 269
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 7 8 10 554
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 2 10 16 82
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 1 5 11 266
Comparison of unit root tests for time series with level shifts 0 0 0 118 3 9 13 696
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 0 329 4 14 17 1,123
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models 0 0 1 160 4 9 13 424
Forecasting with a noncausal VAR model 0 0 1 104 0 2 3 166
GMM Estimation with Noncausal Instruments 0 0 0 46 7 18 18 125
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 8 12 216
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 7 9 575
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 2 6 9 151
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity 0 0 0 65 3 7 9 280
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 3 762 3 7 22 3,714
Modeling Conditional Skewness in Stock Returns 0 0 0 384 0 6 6 1,133
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 6 9 137
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 4 7 365
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 7 11 665
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 5 6 205
Noncausal Vector Autoregression 0 0 1 101 6 13 21 245
Noncausal autoregressions for economic time series 0 0 5 98 3 13 27 306
Noncausal vector autoregression 0 0 0 88 1 6 9 253
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 3 4 397
On the estimation of Euler equations in the presence of a potential regime shift 0 0 0 16 0 3 7 82
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 1 6 9 199
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 1 10 16 339
Parameter Estimation in Nonlinear AR-GARCH Models 0 0 0 179 2 6 9 446
Parameter estimation in nonlinear AR-GARCH models 0 0 0 237 1 8 9 678
Parameter estimation in nonlinear AR-GARCH models 0 0 0 47 1 6 6 195
Parameter estimation in nonlinear AR–GARCH models 0 0 0 143 2 7 10 582
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 6 6 91
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 2 7 11 1,822
Stability of nonlinear AR-GARCH models 0 0 0 197 4 11 16 558
Stability of nonlinear AR-GARCH models 0 0 0 13 1 6 10 78
Stability of nonlinear AR-GARCH models 0 0 1 178 0 5 8 434
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model 0 0 0 57 1 5 9 476
Stationarity and ergodicity of vector STAR models 0 0 1 35 0 3 7 57
Subgeometric ergodicity and $\beta$-mixing 0 0 0 16 1 3 3 23
Subgeometrically ergodic autoregressions 0 0 0 18 0 5 9 50
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity 1 1 1 30 4 8 8 22
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 7 11 75
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 1 7 10 572
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 2 12 19 151
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 2 5 6 193
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 2 8 10 819
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 1 3 350
Testing for a unit root in noncausal autoregressive models 0 0 0 60 0 5 8 130
Testing for observation-dependent regime switching in mixture autoregressive models 0 1 1 26 0 3 5 33
Testing for predictability in a noninvertible ARMA model 0 1 1 74 0 9 12 157
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 5 11 13 421
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 7 13 270
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 4 6 324
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 1 5 9 260
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 8 21 22 317
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 2 5 7 540
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 2 5 13 337
Testing for unit roots in time series with level shifts 0 0 0 12 1 3 7 390
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 3 12 15 577
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 1 5 8 225
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 2 8 11 1,047
Unit root tests in the presence of innovational outliers 0 0 1 59 3 11 15 318
Total Working Papers 1 4 24 8,503 108 481 715 30,606

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 3 22 3 8 19 94
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 2 170 1 5 13 378
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root 0 0 0 9 4 5 7 36
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 2 2 347 2 10 15 872
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 4 7 23 164
A mixture autoregressive model based on Student’s t–distribution 0 0 1 2 1 8 11 18
A note on the geometric ergodicity of a nonlinear AR-ARCH model 0 0 0 15 2 9 12 82
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS 0 0 0 1 2 3 4 9
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS 0 0 0 1 2 5 6 12
Asymptotic relative efficiency of the classical test statistics under misspecification 0 0 0 76 1 3 4 215
Asymptotically Efficient Estimation of Cointegration Regressions 1 3 6 477 5 13 38 939
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 8 9 92
COINTEGRATING SMOOTH TRANSITION REGRESSIONS 0 0 0 89 0 8 13 263
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 7 8 50
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 0 4 9 278
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 10 13 40
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 2 5 58
Dependent versions of a central limit theorem for the squared length of a sample mean 0 0 0 7 0 2 3 38
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS 1 1 1 35 5 11 13 128
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 0 1 2 113 3 10 19 305
Estimation of Cointegration Vectors with Linear Restrictions 0 0 0 25 0 5 8 72
Forecasting with a noncausal VAR model 0 0 0 20 4 7 10 86
GMM Estimation with Non‐causal Instruments 0 0 1 20 1 4 10 100
Gaussian mixture vector autoregression 0 0 1 32 1 7 15 168
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 6 55 3 10 31 208
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 1 4 11 691
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 0 3 5 77
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters 0 0 0 87 0 2 3 252
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 4 8 75
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 2 6 11 2,487
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity 0 0 0 13 0 4 8 62
Modeling Conditional Skewness in Stock Returns 0 0 0 56 3 10 13 238
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 6 11 165
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 8 13 16 259
Non-linear GARCH models for highly persistent volatility 0 0 0 261 2 7 12 743
Noncausal Autoregressions for Economic Time Series 1 2 14 153 5 15 45 379
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift 0 0 0 0 2 8 10 14
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 4 8 13 154
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS 0 0 0 37 0 6 7 132
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models 0 0 0 19 3 8 11 85
Power of the Lagrange multiplier test for testing an autoregressive unit root 0 0 0 16 2 6 8 77
Predicting U.S. Recessions with Dynamic Binary Response Models 2 7 27 465 5 23 61 970
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems 0 0 0 26 2 4 4 109
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 5 8 108
Residual autocorrelation testing for vector error correction models 0 2 5 216 3 14 24 948
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION 0 0 0 52 0 2 3 124
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS 0 0 0 10 0 8 9 73
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS 0 0 0 0 0 5 6 8
Stability of nonlinear AR‐GARCH models 0 0 0 21 3 8 10 113
Stability results for nonlinear error correction models 0 2 2 68 1 7 7 176
Stationarity and ergodicity of vector STAR models 0 0 0 2 1 4 8 24
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 0 15 16 190
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 3 9 11 152
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION 0 0 1 1 2 2 3 7
TESTS FOR NONLINEAR COINTEGRATION 0 0 0 95 1 6 7 278
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 7 14 566
Testing cointegration in infinite order vector autoregressive processes 0 0 1 76 1 8 19 233
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 1 11 15 103
Testing for a Unit Root in Noncausal Autoregressive Models 0 0 0 7 0 2 4 36
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes 0 0 0 0 0 6 8 450
Testing for observation-dependent regime switching in mixture autoregressive models 0 0 0 4 2 6 8 26
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 3 7 183
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 1 7 9 1,275
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 2 4 515
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 153 1 5 13 413
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 1 4 195
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 0 6 9 24
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 1 4 6 15
Testing linearity in cointegrating smooth transition regressions 0 0 0 120 2 7 9 398
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes 0 0 0 52 1 5 10 255
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 5 9 223
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 0 2 3 11
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 4 5 181
Total Journal Articles 5 22 89 5,214 111 484 843 18,977

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Statistics updated 2026-03-04